VolQuant 3.1 with Backtesting is here!

Our new release, version 3.1, builds upon the VolQuant platform to include interactive backtesting. Testing can now be immediately performed by users to determine the volatility captured when dynamically hedging delta-neutral positions. Various parameters can be selected to simulate a position and backtested to determine the best scalp or stop width for the selected period.

Backtesting Options

User-defined settings include:

  1. specific market periods,
  2. excluded day(s),
  3. constant or actual days-to-expiration,
  4. rolling to the at-the-money strike on each close,
  5. setting implied volatility to the market or user-defined, as well as
  6. typical option pricing inputs.

The results are shown in a customizable display containing selected aggregate and individual data.

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Backtest Options Trading Positions

Our scalp/stop data and theta move-to-cover data can be used to further evaluate differences between underlying historical volatilities and implied volatility. While VolQuant provides data for high and low captured volatilities for predefined periods, market makers and delta-neutral traders wanted to further drill down and customize the backtesting. Now users can backtest with user-defined values matching their current or potential positions.

Free 10-day trial – click here!

Current User? Get a Free Upgrade to version 3.1 — Contact us here


We are pleased to announce the release of VolQuant 2.0.

After several months of testing we are pleased to announce that VolQuant 2.0 will be released on March 1st, 2018. It will include many of the features users of the current version have requested, in addition to new fields in the provided data. (more…)

Beta testing begins.

Version 2.0 of the VolQuant workstation GUI is in the beta test stage. The anticipated release is the middle of February 2018. A specific release date will be given as beta testing progresses.

VolQuant workstation GUI is coming soon.

In addition to the current API, VolQuant data will be directly accessible and displayed in a user friendly application on your computer. Subscribers will no longer need to administer the downloading, storing and presentation of VolQuant data. (more…)

VolQuant import application is now available.

In addition to the VolQuant API, data can now be accessed using the Echelon application. Echelon is a user interface which uses the VolQuant API to download data and write to a flat file for importing to your database, an Excel file, or directly to SQL Server.

Theta-Cover data is now available.

A recurring subscriber request has been for a value representing the amount of underlying movement needed to cover an option’s decay. Fields have been added and are generally referred to as “Theta-Cover”. Current users, please contact VolQuant for a detailed (more…)

Intraday data is now available.

VolQuant is now offering intraday data to its subscribers. All QIS API versions support access to the intraday data and no change to your current implementation is required. Current users, please contact VolQuant for copy of the updated API documentation containing information on intraday data access.