We are excited to announce a significant milestone in our technology offerings. Stable beta versions of our GraalVM-based APIs for .NET, Swift, and C++ is already released. This new suite of APIs marks a leap forward in our commitment to delivering cutting-edge solutions for our clients. Technical details For current dxFeed API users If you … More
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
To: dxPrice subscribers We are pleased to announce the new update to the Black-Scholes model, which is used for the Implied Volatility and Greeks calculation in dxFeed. To improve the calculation of Theta, we will now freeze the time to maturity parameter when there are 30 minutes left until the option expires. Technical details … More
dxFeed will be carrying out scheduled maintenance on Saturday, May 20, 2023.
MoredxFeed 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.
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