Everything, asked plainly.

Lavender provides independently computed option Greeks — dividend-aware, early-exercise-aware, with calibrated forward prices — ticking continuously across ~6,000 underlyings — equities, ETFs and index options.

One analytics engine powers three products: free, private, on-demand volatility analytics in Discord; a locally-running REST API in Gateway; and a professional desktop workstation in Terminal. Whatever you use, you are working from the same numbers, computed the same way, every time.

Lavender was founded by Jonathan K. Weedon, a technologist and market architect with more than two decades of experience building professional-grade options systems. He founded Derivix in the mid-2000s — writing every core component himself, from pricing models and volatility engines to risk systems and the full execution stack — before its acquisition by FlexTrade.

He then spent more than a decade at one of the world's largest volatility trading firms.

Read the founder's letter →

Options and volatility traders, quantitative researchers, and developers whose P&L depends on the accuracy of their Greeks — and who know that one source isn't enough.

It is especially relevant for anyone working with American options, dividend-paying underlyings, or strategies where early exercise is a real consideration.

Most platforms compute Greeks using Black-Scholes or simplified models with continuous dividend yield assumptions. Those are exact for European options and an approximation for the American ones you trade — they work reasonably well in normal conditions but produce materially wrong hedge ratios near ex-dates, deep in the money, and for short-dated American options where early exercise is a real consideration.

Lavender uses discrete dividend modeling, explicit early exercise handling, and calibrates the implied borrow rate per expiry — enforcing put-call parity and producing consistent call and put Greeks even in hard-to-borrow names.

If your current provider already handles these correctly, running Lavender gives you an independent second source. Where two good models agree, you have confirmation. Where they diverge, you have a signal worth investigating.

No. Lavender is an analytics and decision-support system designed to work alongside your existing brokers and execution relationships. It provides independent Greeks and risk analytics — it does not execute trades or act as a broker in any capacity.

No. Lavender provides analytics, models and tools so you can make better-informed decisions yourself. It does not provide trade signals, investment advice, or recommendations of any kind.

All three products are available today.

• Lavender Terminal — 7-day free trial, then $390 / seat / month, on Windows.
• Lavender Gateway — 7-day free trial, then $450 / instance / month, up to 3 users.
• Lavender Discord — free, private, on-demand analytics, open to use today.

A locally-running analytics server that computes implied volatility and Greeks and delivers them via REST API. It runs on your machine at localhost:2112. It includes nine vendor-compatible endpoints, so your existing code works with a one-line host change.

$450 / instance / month, Up to 3 users per instance, after a 7-day free trial. Runs on Windows 10+, macOS 12+, Linux (x64).

View the documentation →

No. Gateway does not deliver bid/ask, volume, open interest or trade data. It computes and delivers independently calculated Greeks and implied volatility. Market data fields in vendor-compatible responses exist only for wire compatibility — they are zeroed or null. Gateway is an analytics engine, not a data feed.

Core: delta, gamma, vega, theta, rho and decay.

Second order: vanna, volga, charm, veta and vera.

Third order: speed, zomma, color and ultima.

Additional first order: epsilon (dividend sensitivity) and lambda (leverage ratio).

Extended Greeks are available on the native Lavender API using greeks=all. All are computed robustly across the full chain — not just at the money.

Lavender computes both. Theta is the conventional partial derivative — the standard per-calendar-day rate most systems report. Decay measures the expected price change from now to the same time on the next trading day, accounting for weekends and holidays.

The two are close on a typical weekday and diverge significantly on Friday afternoons and around holidays. On a Friday, theta shows one abstract day of decay; decay shows what your position actually loses over the three-day weekend.

Theta is available on all endpoints including the vendor compatibility layers. Decay is available on the native Lavender API.

Dividends are modeled as discrete cash events, not as a continuous yield. This produces accurate Greeks near ex-dividend dates, where continuous yield assumptions create material errors in delta and other sensitivities.

The borrow rate is calibrated per expiry to enforce put-call parity and produce consistent call and put Greeks, even in hard-to-borrow names.

Yes. Gateway explicitly models early exercise behavior and computes optimal exercise boundaries across strikes and maturities. This produces accurate Greeks for deep in-the-money calls near ex-dividend dates — a regime where European-style models produce systematically wrong results.

As an annualized decimal. 0.25 means 25% annualized IV; 1.50 means 150%.

Nine: Alpaca, AlphaVantage, Intrinio, LiveVol, MarketData.app, Orats, Polygon.io, ThetaData and Tradier. Each layer replicates the wire format of that vendor's options endpoint — the same JSON structure your code already handles, served from localhost. ThetaData v2 and v3 are both supported.

One scaling note: eight of the nine use the same per-1% convention as the Lavender API for vega and rho. ThetaData is the exception — it returns vega, rho and epsilon per unit, 100× larger.

If you already use one of the nine compatible vendors, the change is one line — point your existing code at localhost:2112 instead of your current host. Nothing else changes.

If you are building a new integration, the native Lavender API supports JSON, CSV, NDJSON and HTML output. A basic Python integration is a few lines of code.

No. Access is configured at the gateway level when you run Gateway.exe and enter your subscription email. All REST endpoints work without authentication headers on individual calls.

If you are migrating from a vendor, your existing API keys and auth headers stay in your code exactly as they are — the gateway accepts and ignores them. Since it runs on localhost, your vendor credentials never leave your machine.

Setup instructions appear on the success page immediately after checkout:

• Download Gateway.exe
• Run it and enter the email address associated with your subscription
• The gateway starts on localhost:2112
• Paste http://localhost:2112/l1/greeks?root=SPY&format=html into any browser

A full Greeks chain for SPY renders as an HTML table. The four steps above typically take a few minutes.

Yes to both. Gateway supports Excel integration, and all client-facing connections use REST over HTTPS only — there are no WebSocket requirements, which matters for firewall-constrained environments.

Yes — 7 days on both Terminal and Gateway, with full access. Same analytics engine, nothing held back.

Payment method required · no charge if you cancel before it ends. Here is exactly how to cancel — it takes about a minute.

You can cancel in a few clicks, without emailing us or making a phone call. Here is exactly how:

1. 1Go to the Lavender billing portal.
2. 2Enter the email address you used when you subscribed. Stripe emails you a secure sign-in link — there is no password to remember. If it has not arrived in a minute or two, check spam.
3. 3Once you are in, click your active plan.
4. 4You will see the product you are subscribed to and a Cancel plan button. Click it and confirm.

That is it. Cancel during your free trial and you are not charged at all. Cancel later and you keep access through the end of the billing period you have already paid for.

Month-to-month means exactly that. No annual commitment, no cancellation fee, no phone call, and no retention script.

Having trouble? Email support@lavender-ts.com and a real person will cancel it for you. You will not be charged while we sort it out.

The billing portal is where you manage everything about your subscription — cancel, change your payment method, download invoices, or update billing details. It is run by Stripe, our payment processor.

You do not have a Lavender password. Access works by email: enter the address you subscribed with at the billing portal and Stripe sends you a secure sign-in link.

Two things catch people out: it must be the same email you used at checkout, and the sign-in link sometimes lands in spam. If neither is the problem, email support@lavender-ts.com.

Tell us. Email support@lavender-ts.com before day 7 and we will sort something out — we would rather you reached a real decision than an accidental one.

Whatever your firm requires — we will provide it. In practice, most people need some combination of:

• An invoice or receipt. Every payment generates one automatically, and you can download invoices any time from the billing portal. Billing details can be set to your firm's name and address rather than your own.
• Contract terms to review. There is no contract to negotiate — it is month-to-month with no minimum term and no auto-renewing annual commitment. The full terms are on our user agreement page.
• A W-9, vendor form, or security questionnaire. Email enterprise@lavender-ts.com and we will complete it.

Two things that tend to make approval simpler: the 7-day trial means you can evaluate it before asking anyone for anything, and because you can cancel from your own portal at any time, there is no long-term commitment for anyone to weigh up.

How your firm handles software spending is your call, not ours. For multiple seats, several instances, or a firm-wide arrangement, email enterprise@lavender-ts.com.

Email enterprise@lavender-ts.com and tell us how your desk is set up — Terminal seats for traders, Gateway for the people building behind them, and the option to run the engine on your own inputs inside your own environment.