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.
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? See how Lavender computes greeks →
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 ~6,000 underlying names. Implied volatility and Greeks computed and refreshed continuously. Delivered via REST, built for production.
Real-time Montage included Navigate the full OPRA universe visually. Every chain shows forward price, borrow rate, and Greeks through second order — all ticking live. No code required.
Already have a greeks provider? Run both.
Lavender is designed to complement your existing setup — not replace it. Run Gateway alongside your current provider. Where the two agree, you trade with confidence. Where they diverge — near ex-dates, deep ITM, illiquid strikes — you gain insight from both views. An independent second source isn't a luxury. For serious operations, it's risk management.
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.
Anyone paying $500+/mo for Greeks — Lavender gives you an independent comparison at a fraction of the cost.
One price. Everything included.
$300 / instance / month Up to 3 users
Month-to-month · Cancel any time
Dividend-aware, early-exercise-aware Greeks across ~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
Real-time Montage included
Running multiple instances or need more than 3 users?
Contact us at info@lavender-ts.com