News Column

Special Notice - OptionMetrics for OFR/FSOC

July 18, 2014



Notice Type: Special Notice

Posted Date: 17-JUL-14

Office Address: Department of the Treasury; Bureau of the Public Debt (BPD); Bureau of the Fiscal Service; Avery 5F200 Third Street Parkersburg WV 26106-5312

Subject: OptionMetrics for OFR/FSOC

Classification Code: 76 - Books, maps & other publications

Solicitation Number: SS-OFR-14-0081

Contact: Brandon Burnworth, Contract Specialist, Fax (304) 480-7204, Email PSB3@bpd.treas.gov - Gina Hanna, Contracting Officer, Email PSB3@bpd.treas.gov

Description: Department of the Treasury

Bureau of the Public Debt (BPD)

Bureau of the Fiscal Service

INTENT TO SOLE SOURCE OptionMetrics. SS-OFR-14-0081

The Bureau of the Fiscal Service (Fiscal Service), on behalf of the Office of Financial Research (OFR) and Financial Stability Oversight Council (FSOC), intends to contract with OptionMetrics, 1776 Broadway STE 1800, New York, NY 10019-2014, on a sole source basis, under authority of FAR 6.302-1, for access to information on the global option markets for widely held global equities and indices for the purpose of analyzing historical price, trading trends and risk mitigation. OptionMetrics has been identified as the only source capable of providing the required content in an arrangement that meets the needs of the OFR and FSOC.

OptionMetrics provides historical pricing information, end of day pricing data updated daily, implied volatility calculations and the ability to back test risk models for purposes of research and analysis. Volatility (and therefore risk) in the option markets are usually calculated for both a given option and for classes of options. Several types of volatility are of particular interest: a) volatility smiles where the option strike price is substantially different from the price of the underlying asset; b) volatility term structures where the implied volatility of options is examined for the same or similar options with different maturities; c) standard volatility and risk measures and potential profit/loss guideposts used in options trading strategies (alpha, beta, delta, vega, theta, and gamma); and, d) volatility surfaces which are 3-D plots of volatility smile and the term structure of volatility on a consolidated three dimensional surface for all options on a given underlying asset.

The models used to calculate the current and future option pricing (including back testing) must be transparent and in use in the current finance and academic literature as well as in active use by institutional traders and investment banks. The current "standard" models for options research are the Black Scholes model for European priced options (the pricing schema is different for European options) and the industry standard Cox-Ross Rubinstein model for American priced options. For transparency and comparative analysis across academia non-proprietary pricing models are required. Data which predates the last two recessions (the tech bubble and the mortgage induced crisis) is required for back testing predictive models. The data must also include news, briefs, articles, and SEC filings and corporate actions.

Optionmetrics is the only data service devoted exclusively to the option market which is not primarily focused on trading valuations and strategies. Optionmetrics is the industry and academic standard for research and while it does provide information for appropriate valuation of options it also permits the development of back tested models using non-proprietary algorithms and transparent industry and academic models for historical research and risk mitigation. Optionmetrics provides historical pricing, corporate, and filing information back to 1996 - predating the last two recessions. Optionmetrics is the only source which provides the pre-calculated volatility statistics using the transparent industry and academic standard models (Cox-Ross Rubinstein model and Black Scholes model) as well as charting and research tools for constructing models for risk mitigation.

NO SOLICITATION IS AVAILABLE. A request for more information, or a copy of the solicitation, will not be considered an affirmative response to this Special Notice. Telephone responses or inquiries to this Special Notice will NOT be accepted.

Fiscal Service will consider written responses received no later than July 31, 2014 at 2:00 pm EST. Responses must be submitted electronically to PSB3@bpd.treas.gov, Attn: BBURNWORTH/GH. Responses must include sufficient evidence that clearly shows the vendor is capable of providing the requested data. If no written response is received that clearly demonstrates an ability to meet all requirements, is more advantageous to the Government, and is received by the aforementioned deadline, Fiscal Service shall make award on a sole source basis to OptionMetrics.

Qualified contractors shall provide the following:

1. The name and location of your company, contact information, and identify your business size (Large Business, Small Business, Disadvantaged Business, 8(a), Service Disabled Veteran Owned Small Business, HubZone, etc.). Please ensure contact information includes the name of the point of contact, email address, and telephone number should the Government have questions regarding individual responses.

2. Whether your services are available through a Government contract vehicle or Open Market.

3. A brief capabilities statement (not to exceed 5 pages) that includes a description of your company's standard line of business, as well as a list of customers your company currently provides these products/services for. 4. DUNS Number.

The following file extensions are not allowable and application materials/data submitted with these extensions cannot be considered:

.bat, .cmd, .com, .exe, .pif, .rar, .scr, .vbs, .hta, .cpl, and .zip files.

Microsoft Office compatible documents are acceptable.

No other information regarding this Special Notice will be provided at this time.

This notice does not restrict the Government to an ultimate acquisition approach. All firms responding to this notice are advised that their response is not a request that will be considered for contract award. All interested parties will be required to respond to any resultant solicitation separately from their response to this notice.

A determination by the Government not to compete the proposed acquisition based upon responses to this notice is solely within the discretion of the Government. Information received will normally be considered solely for the purpose of determining whether to conduct a competitive procurement.

Link/URL: https://www.fbo.gov/spg/TREAS/BPD/DP/SS-OFR-14-0081/listing.html


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