Livevol Argus - Market Compliance and Surveillance

The move to a highly automated multi-exchange option market has put a strain on the resources and abilities of market participants to monitor and react to quickly evolving market situations. This new environment requires firms to move towards an information-intensive and highly automated approach to monitoring market activity.

To that end, Livevol introduces the Argus Database. Argus provides a rich data capture around executions disseminated on the consolidated OPRA feed, as well as low latency query capable equity and option market quotes. Argus includes order flow information, live and historical statistics and volatility calculations, and powerful skew and Transaction Cost Analysis (TCA) data sets.

Clients can leverage Argus to:

Monitor Execution Quality

Track and calculate options execution quality by order type, order size, destination among other criteria. Obtain a truer quality measure by benchmarking executions against theoretical option values or against recently traded implied volatilities. Knowledge gleaned from these measures can help a trader ascertain where an order should be placed within the bid/ask spread to enhance odds of fill without paying the full bid/ask spread.

Track Order Impact and Order Flow

Trade Analysis - DELL Aug17 14 P

Use Livevol’s one-of-a-kind Options TCA data sets for additional insight into order impact. Livevol captures pre-trade and post-trade markets in discrete intervals for every single trade in the options market.

Generate Custom Reports

Five Minute Bars

Leading options exchanges can use Argus database to scan the market for obvious errors, trade-throughs, and locked/crossed markets. Large brokers can scan the live option feed for actionable trade ideas based on numerous metrics. Trading firms can backtest trading strategies or scan the live market for unusual trading patterns. Regulatory organizations can access both live and historical options trades to research unusual option activity.

Identify Trading Opportunities

Livevol’s rich data capture of Greeks and Implied Volatilities around historical and live options markets makes it possible to run extremely powerful scans for trading opportunities. Pre-built skew, vertical spread, and time spread tables vastly decrease the time to run queries on the entire options market.

Enrich Internal Datasets

The Argus Database is accessible through a programming API where the data can be pulled in and blended with a firm’s internal data sets, and used to execute live trading decisions.

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