| Option Pricing | The SpiderRock Connect trading platform includes a family of proprietary pricing models that are used to compute prices, implied volatilities, common option greeks, and various scenario risk slides for equity and futures options. |
| Live Volatility Surfaces | SpiderRock Connect operates servers that continually compute implied volatility surfaces for all option expiration months with live market quotes. |
| Volatility Time Calculation | In the latest version of SpiderRock Connect, the time decay has been updated to account for volatility that occurs both during and after trading hours. |
| Interest Rate Term | There are now 3 different rate curves (OIS, Libor, and SpxBox), and they are stored and updated in the SRSE SRAnalytics table under msgGlobalRates. |
| Client Volatility Surfaces | SpiderRock Connect's surface volatilities are modeled and stored in terms of strike moneyness and volatility percent. This is an approach that normalizes the structure of the curve in a way that is less dependent on the current underlying price and ATM volatility and is more consistent across all strikes and time-to-expiration. |
| FLEX Volatility Interpolation | This paper presents the method used for calculating implied volatilities for FLEX options by interpolating between known SpiderRock surfaces. |