To: dxPrice subscribers We continue to improve Theta calculation for expiring options. We will now use the extrinsic value of an option as an approximation for Theta on the day of expiration, which proves to be more accurate. Technical details Calculating Theta accurately is almost impossible on the day of expiration when using the Black-Scholes … More

To: dxPrice subscribers We are pleased to announce an update to the dividend yield and the interest rate publication format. To improve readability, we will now publish annualized continuously compounded rates instead of simple rates. Technical details Currently, dxPrice calculates and publishes simple dividend return and simple risk-free interest return. The calculations are performed for … More

dxFeed now applies Implied Volatility flattening logic to the calculation of the deep out-of-the-money option metrics when the Black-Scholes model is applied.