How it works
Lavender prices American options the way they actually behave — against a real dividend schedule, a real borrow and the possibility of early exercise — and every input behind every number is shown on the way through.
That engine powers everything: desk-wide risk and trading on one screen in Lavender Desk, a desktop workstation in Terminal, a local REST API in Gateway, and volatility charts on demand in Discord. Whatever you use, you are working from the same numbers — computed the same way, every time.
Four products, one source of truth
Run a desk
Desk-wide options risk and trading on one screen. Your clearing firms' positions, your brokers' executions and the whole desk's risk — live, in one place, and run for you. Work an order, see the position, see the risk, trade again, without leaving the screen.
Sold through a conversation · hosted FIX and drop copy run for you
Explore
On-demand volatility analytics — /surf, /skew, /term, /greeks. Instant charts on any listed ticker, with nothing to install.
Free · 100 commands per day
Build
Independently computed Greeks delivered via REST API — nine vendor-compatible endpoints, ~6,000 underlyings — equities, ETFs and index options, ticking continuously. Change the host and your existing code works unchanged.
7-day free trial · then $450 / instance / month · Up to 3 users per instance
Trade
A professional desktop workstation for whole-book risk, scenario analysis, and reading the volatility surface — on the same engine, with a suggested hedge to close the gap.
7-day free trial · then $390 / seat / month · Windows 10 / Server 2016 or later
Where the numbers differ, and why it matters
Some vendors compute Greeks with Black-Scholes because it is fast — exact for European options, an approximation for the American ones you trade. These are the situations where that approximation reaches your P&L, and where Lavender's numbers will disagree with your current screen.
Dividends are discrete cash events, and a model that smears them into a yield produces a hedge ratio that is wrong in the days that matter most. Compare a deep in-the-money call the week of an ex-date and the difference is visible in the delta.
check compare a deep ITM call the week of an ex-date
An American call that should be exercised is worth more than a European model says it is. Your delta says one thing and the market says another. Lavender values the exercise decision rather than assuming it away.
check price the same call as American and as European
If the forward is wrong, every sensitivity computed from it is wrong, and call and put Greeks stop being consistent with each other. Lavender shows the borrow and the forward it used, so put-call parity is something you can test rather than take on trust.
check test put-call parity on a hard-to-borrow name
Instantaneous theta is not what your position loses by this time tomorrow. Lavender also reports one-trading-day decay, with weekends and holidays where they fall — so on a Friday afternoon you see the three days, not one.
check compare theta and decay on a Friday afternoon
Coverage
Implied volatility and Greeks computed continuously across every strike and expiry — SPX, NDX, RUT and VIX included, weeklies included.
Extended Greeks through third order — vanna, charm, volga, speed, color, ultima — are computed robustly across the full chain, not just at the money.
check pull any illiquid strike and see whether the Greeks are there
Already have a Greeks provider?
Lavender is designed to complement your existing setup, not replace it. Where the two agree, you trade with confidence. Where they diverge — near ex-dates, deep in the money, illiquid strikes — you gain insight from both views.
For systematic traders and quant researchers, an independent second source isn't an added cost. It's a risk management tool.
And if your trader's screen and your analyst's backtest come from two different vendors, they will disagree — and someone spends a morning reconciling them. On Lavender they can't disagree. Same engine, same numbers, two interfaces.
Where to start
Options risk management for trading desks. One engine behind Lavender Desk, Terminal, Gateway and Discord.
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Lavender Terminal is an analytics tool and does not provide investment advice.