Volatility Software: IVexplorer©

This desktop application allows our clients to analyze the current day’s implied volatility data. An intelligent skin around the database has been developed for time series analysis of the volatility surface. Irregularities on the volatility surface can be scanned for both skew and term structure. Our users are able to filter, sort and interpret the data based on various statistical regression methods. SIGMA28 is committed to innovation.

We work closely together with leading universities for academic financial research in the field of Autoregressive Integrated Moving Average (ARIMA) models and empirical calibration of the volatility surface..

Advanced analysis

In addition to standard functionality, the application offers extensive scripting that enables our clients to design more complex proprietary analysis and views. Factors like hetero- and homoscedastic behavior and testing for normality can also be brought into the analysis.

Screening the markets for opportunities

Our filter functionality enables clients to run analyses on a user-selected list of names. It functions as a starting point to screen the market and guides users towards underlying names that show potential opportunity and need to be examined in more detail. Users can sort the results to show relatively cheap or expensive implied volatilities. This can be performed on its’ own term structure, relative to a reference ticker or relative to realized volatility.

In a nutshell

  • Extended volatility analysis
  • Exceptional data quality
  • Single and multi name analysis
  • Clear visualization of results
  • Proprietary scripting possible
  • No IT maintenance
  • Instantly live: log in and start

Workflows

Volatility Trading: From basic directional volatility trading, to term structure, skew and advanced correlation trading, IVexplorer© offers clear and solid time series volatility analysis.

Flow Trading: Make instant decisions to offload the client flow or keep it on your books. Within the same stock of Index – or through a sector equivalent.

Market Making: See where today’s volatility opportunities – and risks – are. So you can tweak your bid-offer curves to your preferred side.

IVexplorer© as ideal starting point

Screen the market for relative cheap or expensive implied volatilities. We’ll be happy to explain how.

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