How Greeks Stay Current¶

Most option contracts trade infrequently. An underlying like AAPL might have 5,000+ listed contracts, but only a fraction see active quoting at any moment. Greeks computed from the last trade quickly become misleading as the underlying moves.

Lavender solves this by repricing every contract continuously — recomputing implied volatility and Greeks from the current underlying price and market conditions rather than waiting for the specific contract to trade. The full universe of ~6,000 optionable names ticks continuously during market hours.

See it for yourself¶

The claim that Lavender ticks continuously across the entire universe is testable, not theoretical. Paste any OPRA-listed ticker into your browser:

http://localhost:2112/l1/greeks?root=<TICKER>&center=atf&format=html

Refresh and watch the spot, IV, and Greeks update -- regardless of how thinly the contract itself is quoted. Every Lavender endpoint (native and vendor-compat) supports format=html, so the same trick works on any compat URL too.

Try it on a long-tail name where the contract itself rarely prints -- the response still updates because Lavender is repricing continuously, not waiting for the contract to trade.

Implementation details are proprietary; the behavior is verifiable.

In Terminal

Terminal shows this directly — the Montage reprices every contract continuously as you watch, including thinly quoted strikes, with no URL to paste.

P&L attribution¶

Because every contract is repriced continuously, the change in a position's value between two snapshots can be decomposed into the Greek exposures that drove it. This is the attribution Lavender uses to explain P&L over any window:

\[ \Delta \text{P\&L} = \delta \cdot \Delta S + \tfrac{1}{2}\,\gamma \cdot \Delta S^2 + \nu \cdot \Delta\sigma + \text{decay} \cdot \Delta t + (\text{trade cash}) + \text{residual} \]

where \(\Delta S\) is the move in spot, \(\Delta\sigma\) the move in implied vol, and \(\Delta t\) the elapsed time.

A few points make this decomposition behave correctly across real trading windows:

The time term uses decay, not theta. Decay is the next-trading-day reprice (it accounts for weekends and holidays), so the time attribution matches the P&L a position actually realizes rather than a calendar-day theta estimate.
Trade cash is its own line. Cash from any trades executed inside the window is broken out explicitly rather than being folded into the residual, so the attribution cleanly separates market moves from your activity.
Residual captures the rest. Whatever the explicit terms above don't account for — remaining higher-order sensitivities and surface-shape changes — lands in the residual.
Ex-dividend windows stay clean. On dividend-paying American names the decay attribution stays consistent across an ex-dividend date instead of showing a spurious jump.

Confidence¶

Each root carries a confidence score (0–1) indicating how well the Lavender model fits the available market data. Names with wide bid/ask spreads or thin quoting are still returned but with lower confidence, so consumers can filter or weight accordingly. The confidence value is available via the confidence field in the Lavender API.