Please click here to access a document referencing the methodology. For any questions not covered by the below FAQs, please contact craig.paton@derivia.com.
The SRP Greeks data service is provided through a combination of Structured Retail Products (SRP - www.structuredretailproducts.com ) data collected and maintained by SRP and derivative pricing calculations powered by Future Value Consultants (FVC – www.futurevc.co.uk).
The data is displayed on the SRP website and can also be accessed via an API.
See the methodology here for more information on the process.
SRP and FVC currently reference the following Greeks.
| Greek | Description |
|---|---|
| Delta | Measures how much an option’s price can be expected to move for every unit change in the underlying |
| Vega | Measures how much an option's price changes in response to a one percentage point change in the implied volatility of the underlying asset |
| Theta | Change in the option price resulting from the passing of time |
| Relative Delta | Change in relative product price with the relative spot price (current spot divided by strike spot). |
| Gamma | Rate of change of Delta over time |
| Dividend Sensitivity (DivSens) | (Dividend Sensitivity) Change in valuation per 100bps absolute increase in dividend yield at every time point |
| Vanna | Ratio of change of Delta to the change in underlying (Vega) |
| Charm | Ratio of change of Delta to the passage of time |
| Position Delta | Size of the position sensitivity to the underlying. Change in valuation per 1% underlying move is approximately 0.01 times this quantity |
The Greeks calculations are updated every working day and refreshed at 12 noon GMT to display the current day’s values.
Please note that SRP will also provide five years of historical Greeks data on the below underlyings.
The standard model used by FVC for equity derivatives and structured products is a Dupire local volatility model. This model is widely used by practitioners and can be constructed from forward curves of interest rates, dividend yields and issuer credit spreads and volatility surfaces by strike, maturity and across underlyings.
See the methodology here for more information on the volatility model.
A collection of principal underlyings has been nominated by SRP to form the universe of underlyings for this service. There are currently 15 underlyings covered by SRP and FVC:
The total number of underlyings may differ from the number of principal underlyings because of the presence in the universe of products of underlying baskets and worst-ofs.(See question 8.)
Please note we will look to add more underlyings in due course.
Get in touch to submit any requests or to discuss requirements.
These underlyings are present in a number of principal markets covered by SRP including the Austria, France, Germany, Hong Kong SAR, Italy, Japan, South Korea, Switzerland, UK, USA.
For more information, please see the SRP Academy Terminology guide here.
Product count: number of products linked to the underlyings featured in question 5 that underpin the calculation of the Greeks sensitivies
Issuer count: issuers responsible for the creation of the product count
Underlying count: see question 5 above for the list of principal underlyings covered. Please note that the number in the scalar properties summary may differ from the number of principal underlyings in question 5 given the existence of baskets of indices or single stocks.
Total notional: Aggregated sum of all sales volume issued across all products in the Greeks universe, converted into USDm of all products
Total valuation: Sum of notional x product price in USDm across all products. For an individual product the product price is defined to be the relative price per notional, with 1 or 100% representing par. Notional x product price is therefore the USDm currency valuation and the sum will give the aggregate total valuation.
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