OptionMetrics Preps Historical Tick Analytics
The vendor is sourcing full-tick trade-and-quote data from the Options Price Reporting Authority and US equities data via Chicago-based ticker plant and data provider SpryWare, which collects and archives the data, then makes it available hourly via a file transfer site.
"We are working on a way to archive the data," says OptionMetrics chief executive David Hait. "It's one thing to store it, but another to use it for implied volatility calculations. It takes 20 minutes to run volatility
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