How Lavender Works
Lavender Trading Solutions provides advanced volatility surfaces and Greeks for professional options traders.
Lavender computes implied volatility and Greeks using economically realistic option models. Time is modeled based on how markets actually trade.
Discrete dividends are treated as real cash events. Early exercise is explicitly modeled, and funding rates are calibrated with high precision.
Volatility surfaces are constructed using smoothing techniques and robust data cleansing to produce stable, forward-consistent analytics for research, risk, and trading.
Economically Realistic Volatility & Greeks
Lavender is designed to model the primary economic drivers of option value and risk. Our analytics account for how time, dividends, funding, and exercise behavior influence volatility and Greeks across strikes and maturities.
Market-Aware Time Modeling
Lavender models time based on how markets actually trade. Trading hours, overnight sessions, and weekends contribute differently to variance, producing time decay and term structure behavior that reflects real market dynamics.
Discrete Dividend Support
Lavender supports discrete dividends and applies economic adjustments to reflect how dividend events are priced in markets. This produces more stable volatility and Greeks around ex-dividend dates.
Early Exercise Modeling
Lavender explicitly models early exercise behavior for American options and computes optimal exercise boundaries across strikes and maturities. This allows volatility and Greeks to remain consistent in regimes where exercise decisions materially affect option value.
Volatility Surface Construction & Smoothing
Lavender builds continuous volatility surfaces across strike and maturity using smoothing techniques designed to preserve term structure and skew while reducing microstructure noise. This produces stable surfaces suitable for analytics, visualization, and downstream risk calculations.
Precision Funding Calibration
Lavender calibrates funding using put-call parity to maintain high-precision forward consistency. This ensures volatility and Greeks remain aligned with observed market forwards.
Start exploring - free. Easy sign-up. No credit card required.Data Cleansing & Structural Hygiene
Lavender applies systematic data cleansing to raw option inputs, filtering bad prints, resolving structural inconsistencies, and stabilizing inputs before surface construction. This prevents illiquid or erroneous quotes from distorting volatility and Greeks.