Market Search

Data Points

List of dxFeed Options Scanner data points
PDF

Data Points

List of dxFeed Options Scanner data points
PDF

Overview

dxFeed Options Scanner is a powerful SaaS platform that enables real-time scanning of the entire options and equities universe using a wide variety of criteria.

dxFeed Options Scanner solves some of the financial industry’s most challenging questions:

  • How to find the right investment instruments
  • How to get real-time trading triggers

Why Options Scanner?

Pre-built data points
Theoretical options pricing,
Greeks and IV calculation, VIX
and ATM IV and others
Custom data points
dxScript programming language for time series analysis to set more targeted criteria
Easy integration
A powerful SaaS platform that enables instrument searches via seamless REST API integration
Unbeatable coverage
2mln+ instruments: the entire
universe of US and European
options and equities
Low latency
Data centers residing in the
closest proximity to exchanges
Consulting & expertise
Data analysts and system
architects consult on complex
solutions

How dxFeed Options Scanner works

Highlights

400+
supported data points
2M+
instruments
50B+
events processed and aggregated daily

Data available

Theoretical prices

Model-free approach to receive theoretical options prices that: – Enter into the existing bid / ask if possible – Are arb-free – Are extrapolated when no quotes exist

Aggregations of options data on the underlying level

Сall, Put, total volume, and open interest. VIX and ATM implied volatility, calculated for an option series closest to the required residual maturity

Options descriptive data

Symbol, underlying, CFI, expiration, strike price

Greeks and implied volatility

Calculated using the Black-Scholes model

Aggregated data

Latest daily candles

Historical indicators

Average volumes, prices, historical volatilities, technical indicators

Maturity curves on the underlying level

Time value, strike moneyness per option, implied volatility by time to expiration

All data available for underlyings

Fundamentals, prices & candles, quotes and more

 

Use case: option strategy based on IV to SV ratio

Problem­­­

In modern financial markets it is becoming increasingly difficult to keep up with the flow of information. The right set of tools is often the key to understanding what’s important and what’s not. This is especially true in the case of option markets where the number of outstanding contracts is enormous.

Solution

Here we examine one possible scenario of options analysis using dxFeed Options Scanner.

The ratio of implied (IV) and statistical (SV) volatility of the underlying security measures the relation between the theoretical and the market price of the option. A high ratio indicates the option is overpriced (e.g, investors treat the asset as a hedge) and vice versa (e.g., insufficient liquidity).

If the ratio is sufficiently high, (e.g., greater than 1.3), it is a possible sign that option-selling strategies are viable. There’s a range of applicable approaches, such as selling the naked or covered option, or shorting the straddle (a combination of a call and put), to name a few. While the choice of a particular strategy is up to each trader’s style and risk preference, dxFeed Options Scanner allows them to quickly highlight cases for further analysis. We would also like to narrow our search down to the options near the money, with a strike price between 0.95 and 1.05 of the latest available price of the underlying security.

Learn more