OptionMetrics Moves to Novel Methodology for International Options Calculations, Drawing from Options Market for Highest Levels of Accuracy
OptionMetrics, an options database and analytics provider for institutional investors and academic researchers worldwide, is announcing its new options implied methodology, offering even greater accuracy in options calculations in the U.S., Europe, Asia Pacific. OptionMetrics replaces the zero curve (used by other providers) with its implied yield curve, constructed with a term structure of overnight rates and implied risk-free rates from options on major indices, for more accurate implied volatility, forward price, index dividend, and borrow rate calculations.
This press release features multimedia. View the full release here: https://www.businesswire.com/news/home/20220208005229/en/
Pictured in this chart are the implied rates (solid line) versus the zero curve rates (dotted line) for the Euro from January 2020 through December 2021. The chart illustrates how OptionMetrics’ new options implied methodology, constructed with a term structure of implied risk-free rates from options on major indices, offers greater accuracy over those based on zero curve rates (typically used by other providers) in options calculations such as implied volatility, forward price, index dividend, borrow rate and others. In applying leading overnight rates from the options market (such as with SOFR replacing LIBOR) and data from index options, OptionMetrics’ methodology more accurately reflects the cost of borrowing and lending in the options markets in Europe, North America and Asia Pacific. (Graphic: Business Wire)
In leveraging data from index options, OptionMetrics more accurately reflects costs of borrowing and lending in options markets. The methodology reduces implied volatility spreads and offers true volatility and Greek calculations compared to leveraging private bank lending rates or other measures that may include credit risk or unrealistic borrowing assumptions.
Overnight rates, such as SOFR, are also used in the methodology for options expiring in less than 30 days to reduce noise associated with short-dated contracts. As the new standard over LIBOR, SOFR also has nearly zero credit risk exposure.
OptionMetrics constructs term structures of implied rates curves for the:
- Dollar using SOFR (Secured Overnight Financing Rate) and S&P 500 Index options,
- Swiss Franc using SARON (Swiss Average Rate Overnight) and SMI Index options,
- Euro using ESTR (Euro Short-Term Rate) overnight rates and EUROSTOXX 50 options,
- British Pound using SONIA (Sterling Overnight Index Average) and FTSE 100 options,
- Yen using TONAR (Tokyo Overnight Average Rate) and Nikkei 225 options.
OptionMetrics applies a specialized smoothing filter to remove noise from estimates.
“At OptionMetrics, we are committed to ensuring the most accurate options data, Greeks, and implied volatility calculations. Our options implied methodology draws from the options market to more accurately reflect borrowing and lending risks, continuing our strategy to provide the most accurate data to backtest strategies and assess risk,” said OptionMetrics CEO David Hait, Ph.D.
Volatilities are automatically calculated with the new rates across OptionMetrics’ IvyDB US, IvyDB Europe, IvyDB Asia Pacific, and IvyDB Global Indices. No changes are made to table format, file naming, historical calculations.
Email info@optionmetrics.com for more.
To view this piece of content from cts.businesswire.com, please give your consent at the top of this page.
View source version on businesswire.com: https://www.businesswire.com/news/home/20220208005229/en/
Contact information
Hilary McCarthy
Clearpoint Agency
774.364.1440
Hilary@clearpointagency.com
About Business Wire
For more than 50 years, Business Wire has been the global leader in press release distribution and regulatory disclosure.
Subscribe to releases from Business Wire
Subscribe to all the latest releases from Business Wire by registering your e-mail address below. You can unsubscribe at any time.
Latest releases from Business Wire
Yamaha Motor: Consolidated Business Results Summary - First Half of Fiscal Year Ending December 31, 2025 -5.8.2025 20:00:00 EEST | Press release
Yamaha Motor Co., Ltd. (Tokyo: 7272) announces its consolidated business results for the first half of fiscal 2025. This press release features multimedia. View the full release here: https://www.businesswire.com/news/home/20250805154633/en/ Yamaha Motor Co., Ltd. Revenues for the period were 1,277.8 billion yen (a decrease of 70.6 billion yen or 5.2% compared with the same period of the previous fiscal year), operating income was 84.1 billion yen (a decrease of 70.0 billion yen or 45.4%), and net income attributable to owners of parent was 53.1 billion (a decrease of 59.8 billion yen or 52.9%). For the first half-year consolidated accounting period, the U.S. dollar traded at 148 yen (an increase of 4 yen from the same period of the previous fiscal year) and the euro at 162 yen (an increase of 3 yen). Declining unit sales in motorcycles, personal watercraft, and golf cars led to lower revenues. For operating income, the decrease in unit sales and higher R&D expenses in the core motorcy
Textron Aviation Announces Additional Garmin Avionics Upgrade Option for Cessna Citation CJ15.8.2025 19:00:00 EEST | Press release
Textron Aviation Inc., a Textron Inc. (NYSE: TXT) company, today announced customers can now upgrade their Cessna Citation CJ1 with the all-Garmin retrofit solution following Federal Aviation Administration (FAA) supplemental type certification (STC). Customers can have the upgrade installed at any of the company’s global service network locations to add significant technological advances and new capabilities to their aircraft. This press release features multimedia. View the full release here: https://www.businesswire.com/news/home/20250805392790/en/ Textron Aviation announced customers can now upgrade their Cessna Citation CJ1 with the all-Garmin retrofit solution following Federal Aviation Administration (FAA) supplemental type certification (STC). The Garmin avionics upgrade — including the new, larger 12-inch G600 TXi flight display, TXi EIS, GTN™ 750Xi GPS/NAV/COMM and GFC™ 600 digital autopilot — is a cutting-edge solution for the CJ1 cockpit. The system offers situational aware
Beaulieu International Group and Digimarc Demonstrate Digital Watermarks as a Scalable Solution for Digital Product Passports in the Flooring Industry5.8.2025 18:00:00 EEST | Press release
Beaulieu International Group (B.I.G.), a global leader in material and flooring solutions, and Digimarc Corporation (NASDAQ: DMRC), a pioneer in digital watermarking technologies, have successfully demonstrated that invisible digital watermarks are a highly effective solution for delivering CPR-mandated construction Digital Product Passports (DPP) to the flooring industry while uniquely meeting its complex needs. “Facilitating the circular economy through DPP compliance is a top priority for Beaulieu, because eventually, all flooring products will be removed and replaced,” said Nele Cattoor, B.I.G.’s Regulatory Compliance Lead. “The challenge was to find a data carrier that not only functions while the flooring is in place, but also survives the damage that inevitably occurs during removal. This data carrier must therefore be imperceptible to the human eye—something that could be integrated directly onto the surface of our flooring solutions—without affecting the design, appearance, or
ElevenLabs Launches Eleven Music in Collaboration with Music Industry Partners5.8.2025 16:52:00 EEST | Press release
ElevenLabs, the leading AI audio research and product company, today announced the launch of Eleven Music, expanding on its mission to build the most comprehensive AI audio platform in the world. Eleven Music enables businesses, creators, artists, and everyday users to generate studio-grade music from natural language prompts. Eleven Music was built in partnership with artists, labels, and publishers, and includes guardrails to protect rightsholders. Eleven Music users can effortlessly generate their ideal track, in any genre or style, with or without vocals, in numerous languages – and in a matter of minutes. Generated tracks can be used for nearly any application. ElevenLabs plans to integrate Eleven Music into its full suite of tools, including its Conversational AI platform. “As an AI audio company, expanding into music was a natural progression, and we are thrilled to introduce Eleven Music today,” said Mati Staniszewski, CEO and Co-Founder of ElevenLabs. “We’ve heard massive dema
Andersen Consulting Enters Collaboration Agreement with Systematix5.8.2025 16:30:00 EEST | Press release
Andersen Consulting enhances its digital transformation and cybersecurity capabilities with the addition of collaborating firm Systematix, a leading technology consultancy known for delivering innovative digital enablement solutions that drive operational efficiency, growth, and competitive advantage. Founded in 1975, Systematix offers end-to-end consulting and implementation services across digital transformation, enterprise application development, ERP, business analytics, IT strategy, and cybersecurity. With hundreds of seasoned consultants and technologists, Systematix helps clients navigate complex business challenges by leveraging emerging technologies and tailoring scalable solutions across a range of robust industries, including financial services, healthcare, manufacturing, and public sector organizations. “For five decades, we’ve built a reputation for delivering robust technology solutions and resources that help organizations adapt, compete, and thrive in an increasingly di
In our pressroom you can read all our latest releases, find our press contacts, images, documents and other relevant information about us.
Visit our pressroom