Lavender Gateway · for developers and quants
API access to Lavender's pricing and risk engine — independently computed, dividend-aware, early-exercise-aware Greeks with calibrated forward prices, across ~6,000 underlyings — equities, ETFs and index options. Same wire format as nine common vendors: swap the host, your code runs unchanged.
7-day trial · payment method required · no charge if you cancel before it ends · or run /greeks free in Discord, no payment method required
check verify the Greeks against your own framework before you rely on one · $450 / instance / month after trial · Up to 3 users per instance · Windows 10+, macOS 12+, Linux (x64)
The modeling gaps
If your Greeks don't account for these effects, your hedges are off — and you may be carrying risk you can't see.
Continuous dividend yield is a convenient fiction. Near ex-dates it produces hedge ratios that are materially wrong — and you don't find out until your P&L tells you.
check Lavender models dividends as discrete cash events
Pricing American options with European models understates the value of deep in-the-money calls near ex-dividend dates. Your delta says one thing; the market says another.
check early exercise valued, not assumed away
Without proper borrow calibration, forward prices are inconsistent and put-call parity breaks down. Greeks computed from the wrong forward are wrong from the start, and the error compounds through every sensitivity.
check test put-call parity on a hard-to-borrow name
Instantaneous theta is a mathematical abstraction. It doesn't tell you what your position actually loses by this time tomorrow — especially across weekends and holidays.
check compare theta and decay on a Friday afternoon
What you get
Discrete dividends, explicit early exercise handling, and a real borrow rate, for stable forwards and consistent call and put Greeks.
Vanna, charm, volga, speed, color, ultima and more — computed robustly across the full chain, not just at the money.
Decay measures what your position actually loses by the same time next trading day, weekends and holidays included. Theta gives the smooth per-day rate. Both are computed; you choose which fits your workflow.
Implied volatility and Greeks computed and refreshed continuously across ~6,000 underlyings — equities, ETFs and index options. Delivered over REST, built for production.
one contract, as Gateway returns it
// SPY Dec 2026 570 Call "osym": "SPY 261218C00570000", "und_price": 567.41, "lav_vol": 0.1847, "lav_theo": 22.14, // core "delta": 0.4823, "gamma": 0.0341, "vega": 0.2187, "theta": -0.0892, "decay": -0.0631, "rho": 0.1204, // second order "vanna": 0.4221, "charm": -2.1382, "volga": 5.9757, // third order "speed": 0.0003, "zomma": -0.0750, "color": -3.0092, "ultima": -58.6674
Verification
Every number Gateway returns is documented and inspectable. The assumptions behind each Greek are exposed on every response — so you can see exactly what went in, and validate the output against your own framework before you rely on it.
Each response carries the assumptions behind the number — dividends, forwards, rates. Nothing is hidden and nothing has to be taken on faith.
check every input behind a number is on the response, to compare with your own source
Correct Greeks near ex-dividend dates, deep in the money, and across long weekends — the regimes where common shortcuts quietly diverge from the market.
check run a deep ITM call the week of an ex-date
Gateway runs locally on your own machine, so your code calls localhost rather than a vendor's servers.
check your code calls a local address, not a vendor's servers
A single call, a whole picture
One request returns the implied volatility structure you actually trade against — the downside wing, the money, and the upside wing, each with the market around it.
check compare the 25-delta wings against your own surface
SPY · 2026-12-18 · implied vol skew
bid mid ask 25Δ put 0.2113 0.2140 0.2167 ATM 0.1832 0.1847 0.1862 25Δ call 0.1704 0.1729 0.1754
Point-in-time. Greeks move live.
Before you pay us anything
Computed live by the same engine Gateway serves over REST. The timestamp is when they were computed, not when this page was built. No trial, no payment method, nothing installed.
Drag sideways to pan.
Put these next to your current source and the gaps will cluster in four places: near an ex-dividend date, where a discrete cash event is not a continuous yield; deep in the money, where early exercise has value; in hard-to-borrow names, where the forward is not the textbook one; and in the front expiry, where calendar time and market time diverge.
Those are the four modeling decisions behind the engine. If you find a difference that none of them accounts for, we would like to know — that is a more useful email than a sales enquiry.
A single strike proves the method, not the fit. Run /greeks on any listed name in Lavender Discord — free, no payment method — or take the 7-day trial and point your own code at the endpoint.
Agreement tells you little. It is the disagreements, and whether we can explain each one, that tell you whether the engine is worth having.
check call and put priced consistently off one surface, timestamped to the second
Vendor compatibility
Lavender speaks your vendor's wire format. Change the host in your existing code — everything else stays the same. If you already use any of these, you are already integrated.
One scaling note: eight of the nine use the same per-1% convention as the Lavender API for vega and rho. ThetaData is the exception — it returns vega, rho and epsilon per unit, 100× larger. ThetaData v2 and v3 are both supported.
Who it's for
For people whose P&L depends on the accuracy of their Greeks — and who would rather not take a single number on faith. It is an analytics engine, not a signal service.
Running strategies where modeling differences translate directly into P&L, and where an independent second source is a risk management tool rather than a luxury.
Integrating options analytics into proprietary platforms, backtesting frameworks or execution systems. Nine vendor-compatible endpoints mean you are likely already integrated.
Comparing Greeks across models, validating positions against an independent source, and analyzing how sensitivities diverge near ex-dates, deep in the money, or in illiquid strikes.
Building from scratch or moving from another provider. Lavender works as your primary Greeks engine — the modeling a professional desk requires, month-to-month pricing, and setup measured in minutes.
For the traders you build for
Lavender Terminal puts the same engine in front of them as a desktop workspace — whole-book risk, scenario analysis, a live volatility surface. What you compute and what they see cannot disagree.
Pricing & trial
7-day free trial
$450 / instance / month
Up to 3 users per instance · Month-to-month, cancel any time · Windows 10+, macOS 12+, Linux (x64)
Full access for 7 days · live Greeks in minutes · Payment method required · no charge if you cancel before it ends.
Not ready to commit?
Join Lavender Discord and run /surf, /skew, /term or /greeks on any listed ticker — the same engine that powers Gateway. 100 commands per day, no payment method.
Enterprise
Multiple instances, a firm-wide arrangement, or the engine running on your own inputs inside your own environment.
Options risk management for trading desks. One engine behind Lavender Desk, Terminal, Gateway and Discord.
© 2026 Lavender Trading Solutions LLC · 30 N. Gould Street, Ste. 64595, Sheridan, WY 82801
Lavender Terminal is an analytics tool and does not provide investment advice.