RiskTech Forum

Hanweck Introduces Volume Weighted Relative Liquidity Measure

Posted: 7 June 2018  |  Source: Hanweck


Hanweck, a leading provider of real-time risk analytics on global derivatives markets and data provider for the Options Liquidity Matrix, introduced its new Volume Weighted Relative Liquidity (VWRL) measure. The Hanweck VWRL metric measures bid-ask spread as a percentage of option mid-point price. The measure normalizes metrics for different priced options, and places greater weight on those spreads with greater trading volume. The result is a metric that better reflects the true liquidity and spreads of a given options class.

Robert Levy, Hanweck Head of Business Development, said, “For many years, we have drawn on our vast database of historical options data to produce the Options Liquidity Matrix. More recently, we have begun exploring new liquidity measures that build on this data and incorporate more sophisticated quantitative techniques. The VWRL, as well as a related vega-weighted liquidity measure focused on volatility as an asset class, are the result of those efforts and we are pleased to make these proprietary metrics available to our customer base.”

The VWRL was featured in a recent Hanweck analysis surrounding liquidity on February 5, 2018, and due to subsequent demand, is now available on a subscription basis.

The VWRL is an addition to Hanweck’s existing suite of market quality metrics, which includes: