The magic OPRA feed

[Random.Capital]

If you had a magic device that would let you receive implied data at line rate from a line rate OPRA/FAST feed, what would you like to see?

Per-tick greek recalcs? Alternate volatility measures? "Theoretical" pricing from standard models?

This is Dr. Crane...I'm listening.

 

[rosy2]

where's the ATM straddle in vol terms
where's the 25 delta puts and calls in vol terms
where's the ATM puts and calls in vol terms
electronic eye for complex orders that I can pick off

Which bid/offers are slow to adjust when the underlying moves?

 

[digmedaddyo]

There is technology for institutional/large traders that picks up complex orders screened by strategy and relationship to bid-ask.