What we do
Forward Curve Methodology
The forward curve algorithm uses trades, quotes, publically available settle data, ISO/RTO data, and known historical information. Those inputs provide the shapes, spreads, and historical correlations necessary to generate granular data. Data is shaped along the entirety of the curves using the liquid front seasons. Granular curve shapes allow more accurate pricing of individual contract months.
Spreads are utilized for illiquid products to provide the inputs for formulaic pricing. Further, correlations are utilized to interpolate day over day changes when necessary. Implied day over day changes keep the curves in line with the overall trend(s) of the market in absence of trades or quotes.
The implied volatility algorithm uses trades, quotes, publicly available settle data, and historical data. Utilizing those inputs the algorithm cleans, and calculates implied volatilities for each individual price. Time spreads and historical relationships are used to create synthetic implied volatilities when no options data is available.
Individual brokers within all the companies under OTCGH are registered with the NFA as ‘Associated Persons’ of EOX Holdings LLC