How it works
Lavender is built on a single pricing engine that computes implied volatility and Greeks using economically realistic models — discrete dividends, early exercise handling, calibrated forward prices, and trader-intuitive time decay.
That engine powers everything: a professional desktop workstation in Terminal, a production analytics API in Gateway, and volatility analytics on demand in Discord. Whatever you use, you are working from the same numbers — computed the same way, every time.
Three products, one source of truth
Explore
On-demand volatility analytics — /surf, /skew, /term, /greeks. Instant charts on any listed ticker, privately, 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 hedge you can send.
7-day free trial · then $390 / seat / month · Windows 10 / Server 2016 or later
What the engine does differently
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 places that approximation costs you.
Continuous dividend yield is a convenient simplification. Near ex-dates it produces hedge ratios that are materially wrong. Lavender treats dividends as discrete cash events — the way they actually occur — which produces stable, accurate Greeks in exactly the situations where approximations break down: around ex-dividend dates, for deep in-the-money calls, and for short-dated options where dividend timing drives value.
check compare a deep ITM call the week of an ex-date
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. Lavender explicitly models early exercise behavior and computes optimal exercise boundaries across strikes and maturities, so your Greeks stay accurate in the regimes where the distinction reaches your P&L.
check exercise boundaries are computed, 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. Lavender calibrates implied borrow per expiry, enforcing put-call parity and producing consistent call and put Greeks. This is the foundation everything else stands on.
check test put-call parity on a hard-to-borrow name
Most platforms report instantaneous theta — a mathematical abstraction that doesn't reflect what your position loses by this time tomorrow. Lavender also computes one-trading-day decay: the expected change from now to the same time on the next trading day, with weekends and holidays handled. On a Friday, theta shows one abstract day; decay shows the three-day weekend.
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
Independently computed option Greeks for traders, developers and researchers. One engine behind 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.