Lavender Gateway
Independent Options Analytics. One line to switch.
Lavender Gateway delivers independently computed option greeks — dividend-aware, early-exercise-aware, with calibrated forward prices — ticking continuously across ~6,000 OPRA names. Compatible with nine vendor APIs. Change the host in your existing code. Everything else stays the same.
7-day free trial, then $300 / instance / month · supporting up to 3 users · Month-to-month
Why your current greeks may be costing you
Wrong dividends, wrong delta Continuous dividend yield is a convenient fiction. Near ex-dates it produces hedge ratios that are materially wrong.
Ignoring early exercise Pricing American options with European models understates the value of deep ITM calls near ex-dividend dates.
Broken forward prices Without borrow rate calibration, put-call parity breaks down and every Greek computed from that forward is wrong from the start.
Time decay that misleads Instantaneous theta doesn't tell you what your position actually loses by this time tomorrow — especially over weekends and holidays.
What Lavender Gateway Delivers
Dividend-aware, early exercise-aware Greeks Discrete dividends, early exercise handling, and implied borrow rates calibrated per expiry. Put-call parity enforced.
Trader-intuitive time decay Theta, charm, veta, and color measure the expected change from now to the same time on the next trading day — accounting for weekends and holidays.
Extended Greeks through third order Vanna, charm, volga, speed, color, ultima, and more — computed robustly across the full chain.
Want to understand the methodology behind the numbers?
Nine vendor-compatible APIs Drop-in compatibility with Alpaca, AlphaVantage, Intrinio, LiveVol, MarketData.app, Orats, Polygon.io, ThetaData, and Tradier. Change the host — your existing code works unchanged.
Full OPRA — ticking continuously all 6,000+ underlying names. Implied volatility and Greeks computed and refreshed continuously. Delivered via REST, built for production.
Run it as your primary greeks engine — or alongside an existing provider.
Lavender Gateway works as your primary Greeks engine — or alongside your existing provider as an independent second source. Where two good models agree, you trade with confidence. Where they diverge — near ex-dates, deep ITM, illiquid strikes — you gain insight from both views.
Built for serious practitioners
Quantitative & systematic options traders — Running strategies where modeling differences translate directly to P&L.
Developers building trading systems — Nine vendor-compatible endpoints mean you're likely already integrated.
Volatility researchers & hedge fund analysts — Comparing Greeks across models and validating positions with an independent source.
Solo traders and small shops needing a primary Greeks source — Building from scratch or moving from another provider? Lavender works as your primary Greeks engine — institutional-grade math, month-to-month pricing, setup measured in minutes.
Start with a 7-day free trial. One price after.
7 days free, then $300 / instance / month Supporting up to 3 users
Dividend-aware, early-exercise-aware Greeks across all 6,000+ OPRA names
Extended Greeks through third order
Nine vendor-compatible API endpoints
Calibrated forward prices and borrow rates per expiry
Trader-intuitive time decay — theta to next trading day
Running multiple instances or need more than 3 users?
Contact us at info@lavender-ts.com