NYSE Technologies is set to roll out its Options Analytics low-latency data feed, which includes implied volatilities and Greeks data for U.S. listed options, as well as quotes on options and underlying assets. The service monitors the entire U.S. OPRA composite NBBO feed and U.S. Level 1 composite feeds for underlying stocks and indices, with volatilities and greeks calculated using GPU technology provided by Hanweck Associates.
Hanweck is a pioneer of using GPUs - Graphics Processing Units - for mathematical calculations. The parallel nature of GPU chips make them very suitable for high throughput, floating point arithmetic. Hanweck uses GPUs for its own VoleraFEED options analytics feed, as well as for powering the International Securities Exchange's Implied Volatilities and Greeks data feed. The ISE is an investor in Hanweck.
The Options Analytics feed uses a binomial-tree pricing model, accommodating both American and European style options. Data recalculations are triggered for changes in the option price and the underlying asset price, as well as for each trade. Calculations typically take 10 to 20 milliseconds per complete options chain.