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 | Change in portfolio value, in US$m, per US$1 move in the underlying asset |
| Vega | Change in portfolio value, in US$m, per 1% move in implied vol |
| Theta | Decline in portfolio value, in US$m, per one business day decrease in time to maturity |
| Relative Delta | Change in relative product price with the relative spot price (current spot divided by strike spot). |
| Gamma | Change in delta, in US$m, per 1% change in the underlying asset |
| DivSens (Epsilon) | Change in position sensitivity (valuation), in US$m, per 1% rise in dividend yield |
| Vanna | Change in delta, in US$m, per 1% rise in implied vol |
| Charm | Change in delta, in US$m, per one business day decrease in time to maturity (also known as 'delta decay') |
| Position Delta | Change in position sensitivity (valuation), in US$m, per 1% move in the underlying asset |
| Position Gamma | Change in position delta, in US$m, per 1% move in the underlying |
| Position Charm | Change in position delta, in in US$m, per one business day decrease in time to maturity |
| Position Vanna | Change in position delta, in in US$m, per 1% rise in implied vol |
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.
We also provide historical data for the following date range (1 October 2019 to 31 December 2024) for all the 18 benchmarks and single stocks currently in the SRP Greeks universe. The historical data covers all first, second and position Greeks. The historical data values are provided weekly, for every Friday (with the exception of bank holidays) within the date range above.
Users can access the historical data in the same way they access the daily Greeks calculations - the same menu search and filters apply.
Please note that you are currently unable to combine a historical and current data search. Any search would have to be done exclusively within a range compatible with the historical data (1 October 2019 to 31 December 2024) or with the daily calculations (January 2025 onwards).
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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