A publication of Waters Information Services Inc.
April 14 1997
Xyris Software, the New York-based financial systems consulting house, has released
XyrisOption, a pricing and analytics application for exchange-traded options. The package
is based on custom-built options pricing systems developed by Xyris for several securities
houses, including Bear Stearns and NatWest Markets in London and Merrill Lynch in New
York.
"Xyris has done bespoke work for us for a number of years," says Vincent
VanPelt, a managing director at Bear Stearns in London. "The product grew out of this
work. It’s a good real-time system; Xyris has done a good job of working with us and
making it a useable trading tool, as opposed to systems that have been designed by
theoreticians and programmers."
Trader-Friendly System
VanPelt says most options pricing packages are mathematically accurate, but they
don’t approach things in the right way for traders. "Xyris’s system
expresses variables in the same way you would expect a trader to," he says.
He cites the example of a forward curve built using a March future, a June future and a
September future. "You can define the spreads between those points by using an
interest rate curve and a dividend yield curve, theoretically calculating what those
spreads should be and expressing that in terms of index points: the September future
trades 20 points over the June future."
Xyris’ product uses the index points approach, he adds, which is more in tune with
how traders approach data. The software vendor has "the right mindset", says
VanPelt, because it has been working closely with traders for a long period of time.
Maurice McGinley, president of Xyris, cites the system’s user interface as its key
selling point. XyrisOption’s competitors include Track Data’s MX and May
Consulting’s MicroHedge, he says. These rival options pricing products "look and
feel like DOS applications", he claims. "Because of our experience, we felt we
could offer something that was fully featured and easy to use," he adds.
Fast Options Chains
XyrisOptions features include fast option chain retrieval, access to an unlimited
number of open option chains, unlimited display layouts and support for multiple
exchanges. It also features an OTC options calculator, comprehensive filtering and
sorting, ainterest rates for all major countries and flexible dividend and skew input
settings.
The package runs under Microsoft Windows NT. It can be connected to Reuter’
Triarch digital data distribution platform via the data vendor’s Source/Sink Library
interface. Reuters distributes XyrisOption in the US, through a licensing agreement with
Xyris.
McGinley adds that other Xyris consulting clients include Nomura securities,
Metalgesellschaft and JP Morgan. A trial copy of XyrisOption is available from the
vendor’s site at http://www.xyris.com.
