Hanweck Readies European Version of VoleraFeed

Demand for European data in Volera­Feed has largely been coming from US traders seeking cross-border trading opportunities and access to European options markets, he adds.

VoleraFeed is aimed at traders who need values for volatilities and Greeks in real time, and can also serve as an input into risk management or black-box trading systems, Hanweck says, adding that VoleraFeed re-computes volatilities and greeks on options within 10 to 20 milliseconds following a change in the underlying stock price.

Hanweck is building the expanded VoleraFeed on low-latency data vendor Activ Financial's data platform, by connecting its Volera hardware-based options analytics engine-which uses graphics processing units from Nvidia-to Activ's UK ticker plant to run analyses against Activ's low-latency options datafeeds. Hanweck will also use Activ to disseminate the feed, by feeding the resulting calculations back into Activ's ticker plant for distribution to users, who can access VoleraFeed as a dataset on the ActivFeed product.

"The real growth [of equity options in Europe] is going to arise from a greater take-up from the buy-side and retail side as European options become more part of their trading strategy," says David Hann, managing director of EMEA at Activ. "Tools such as VoleraFeed ingesting European feeds are going to assist both sides of the market to embrace options into their strategy quicker than they would otherwise."

Instances of VoleraFeed hosted by Activ for individual clients can be customized to include specific features such as proprietary valuation models or yield curves.

The analytics calculated for the European market will be the same as those currently calculated for the US market, and will use similar models and assumptions, to provide users with consistent values for data across the US and Europe, Hanweck says. In the US, Hanweck sources underlying data from Activ, SpryWare and Interactive Data, which supply the Volera engine with national best bid and offer prices from the Options Price Reporting Authority, Level 1 equity feeds for the New York Stock Exchange, NYSE Amex and Nasdaq to populate underlying equity prices, and real-time interest rates computed from Eurodollar futures. The vendors also distribute VoleraFeed to their respective clients.

In addition, some US clients are beginning to feed the Volera engine with raw, multicast feeds direct from exchanges to achieve lower latency as a result of not having to publish the data back into a vendor's ticker plant.

Hanweck says the vendor plans to extend VoleraFeed to Asian markets as well in late 2010 or early 2011, pending a partnership to source options data in the region.