The collaboration will focus on the interdependencies between equity spot and options markets.
BMLL, a provider of historical Level 3, 2 and 1 data and analytics, is making SpiderRock’s Options Print Set data available through the BMLL Data Lab, officials say.
The addition of SpiderRock’s Options Print Set data will help clients “analyze the interaction between options markets and underlying cash equity behavior within a single framework,” officials say. “The BMLL and SpiderRock partnership allows institutional clients to better understand, predict, and capitalize on the complex market interdependencies between equity spot and options markets.”
In particular, the partnership “offers a unified environment for studying how options hedging flows affect spot liquidity patterns, and how underlying market microstructure in turn affects options pricing and risk,” officials say.
BMLL’s data offerings are available across equities, exchange-traded funds (ETFs), futures and US equity options markets. Clients can simultaneously access SpiderRock’s data and BMLL’s historical equities, futures, and options market data used to support quantitative research, strategy development, and market structure analysis.
Officials add that the launch is “supported by a joint white paper, which demonstrates how SpiderRock’s options analytics can be used alongside BMLL’s intraday equity data to estimate dealer gamma positioning and analyze resulting price dynamics in the underlying stock.”
In addition, the paper demonstrates “how net short-gamma positioning can amplify intraday momentum through delta-hedging activity, and how these dynamics can be studied systematically using an integrated data approach,” officials add.
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