One analytics engine. Three ways to access it.
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 Lavender offers: a research community on Discord, a production analytics API via Gateway, and a professional desktop interface in Terminal.
Whatever you use, you're working from the same numbers. Computed the same way. Every time.
Three products. One source of truth.
EXPLORE
Lavender Discord
Daily volatility observations, IV/RV commentary, and market structure analysis — delivered in a research community for serious options practitioners.
Free to join.
BUILD
Lavender Gateway
Independently computed Greeks delivered via REST API — nine vendor-compatible endpoints, full OPRA coverage, ticking continuously.
Available now.
TRADE
Lavender Terminal
A professional desktop interface for visualizing risk, navigating options chains, and building trade ideas — powered by the same analytics engine.
Coming soon.
Time decay you can actually trade from
Most platforms report instantaneous theta — a mathematical abstraction that doesn't reflect what your position actually loses by this time tomorrow.
Lavender measures the expected change from now to the same time on the next trading day, accounting for weekends and holidays.
Theta, charm, veta, and color all follow this convention. What you see is what your position loses. No adjustment required.
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 most: around ex-dividend dates, for deep ITM calls, and for short-dated options where dividend timing is a significant driver of value.
Dividends modeled as the discrete events they are
Early exercise handled correctly
Pricing American options with European models understates the value of deep ITM 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 remain accurate in the regimes where the distinction actually matters to your P&L.
Calibrated forward prices and borrow rates
Without proper borrow rate 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 the implied borrow rate per expiry, enforcing put-call parity and producing consistent call and put Greeks. This is the foundation everything else is built on.
Full-chain analytics across ~6,000 OPRA names
Lavender computes implied volatility and greeks continuously across the full OPRA universe — approximately 6,000 underlying names, every strike and expiry.
Extended greeks through third order — vanna, charm, volga, speed, color, ultima — are computed robustly across the full chain, not just at-the-money.
Visual analytics and volatility surface exploration are coming in Lavender Terminal.
Already have a greeks provider? Run both.
“Where they agree, you have confirmation. Where they diverge, you have a signal worth investigating.”
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.
For systematic traders and quant researchers, an independent second source isn't an added cost. It's a risk management tool.
Start with Gateway today
Up to 3 users per instance · Month-to-month Cancel any time
The full analytics engine — dividend-aware, early-exercise-aware greeks, extended sensitivities, nine vendor-compatible APIs, and the real-time Montage.
Available now at $300/month per instance.
Most users are running greeks within the hour.