Lavender Gateway delivers dividend-aware, early-exercise-aware Greeks with calibrated forward prices, ticking continuously across ~6,000 OPRA names. Run it as your primary Greeks engine — or alongside your existing provider for an independent second view. Same wire format as nine common vendors. One line to switch.
If your Greeks don't account for these effects, your hedges are off — and you're taking risk you can't see.
Continuous dividend yield is a convenient fiction. Near ex-dates, it produces hedge ratios that are materially wrong — and you don't find out until your P&L tells you.
Pricing American options with European models understates the value of deep ITM calls near ex-dividend dates. Your delta says one thing. The market says another.
Without proper borrow rate calibration, forward prices are inconsistent and put-call parity breaks down. Greeks computed from the wrong forward are wrong from the start.
Instantaneous theta is a mathematical abstraction. It doesn't tell you what your position will actually lose by this time tomorrow — especially over weekends and holidays.
Every Greek Lavender publishes can be replicated independently. The math is documented, the inputs are exposed on every API response, and a published reference implementation matches our European Greeks to within 0.01%.
European-style options (SPX, NDX, RUT) are priced with the Black-76 formula on the calibrated forward. Reference implementations in Python, R, and Excel match our published Greeks to within 0.01% on price, delta, gamma, vega, theta, and rho.
American-style options are priced with a CRR tree that checks early-exercise optimality at every node. This produces correct Greeks for deep ITM puts, calls near ex-dividend dates, and other regimes where European closed-form models systematically diverge.
The forward price for each expiry is calibrated directly from live option markets — not derived from a theoretical S·e^(r-q)T. The implied borrow rate is solved per tenor to enforce put-call parity, producing consistent call and put Greeks even in hard-to-borrow names.
Two time fields per expiry: t (variance-weighted, excludes overnight, weekends, and holidays — used wherever σ√T appears) and t_disc (calendar time, used for discounting). This is why short-dated options across long weekends price correctly.
Lavender speaks your vendor's wire format. Change the host in your existing code — everything else stays the same.
Nine compatibility layers. If you're already using any of these, you're already integrated with Lavender.
Whether Lavender is your primary Greeks engine or running alongside another provider, these are the things that matter most.
Run Lavender alongside your existing provider. Where the two agree, you trade with confidence. Where they diverge — near ex-dates, deep ITM, illiquid strikes — you have a signal worth investigating.
Vanna tells you how delta moves with vol. Charm tells you how it decays through time. Speed, color, volga, ultima — the second and third-order sensitivities that separate precise hedging from guessing.
Nine vendor-compatible endpoints mean zero integration work for most users. No new parsers, no schema mapping, no migration project. Change one URL and your existing code pulls Greeks from Lavender.
Lavender is for people whose P&L depends on the accuracy of their Greeks — and who know that one source isn't enough.
Month-to-month. Most users are running Greeks within minutes.
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