Indicator Construction

Better data makes better decisions

Spread Indicators and the LIQ Index use options data that has been normalized and smoothed to create arbitrage free volatility surfaces.

Building the LIQ Index

Curated ticker selections

Every day we evaluate the scope of issues to track. Opportunity is dynamic, and as issues heat up and pass the liquidity threshold, we include them in our Top250 for indicator construction.

Stable and consistent values

Expiration gets closer every single day. That means the same security has different properties over time.

For comparison across names and history, we interpolate a consistent delta, DTE, or percentage value from our scrubbed market data.

Spread Indicators track a constant maturity so you can identify what's really moving.

Indicator Details

Activity moves prices

Changes in Spread Indicators means markets are moving, and opportunity follows that.

For overlay strategies, tracking spread prices helps inform entries and timing.

Traders will find opportunity when spreads shift and LIQ surges.

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