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CDS Index Options Pricing

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Contains all end-of-day CDS credit options prices using direct contributions from major market makers with coverage expanded beyond observable instruments using implied volatility modeling. It Contains Deltas, Strikes and Implied Volatility.

Industry Domain:


Financial Markets

Publisher:


IHS Markit

Content Type:


Structured

Access/Delivery Methods:


REST, Python, S3 Proxy, SQL

Keywords

  • LIQUIDITY METRICS
  • ANALYTICS
  • SPREAD
  • DEPTH
  • CREDIT
  • PVR
  • IMPLIED VOLATILITY
  • FORWARD SPREAD
  • FORWARD PRICE
  • RISKY PV01
  • STRIKE PRICE
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Data Set

Dataset NameDataset DescriptionData FormatPublishing Frequency
CDS Index Options PricingContains all end-of-day CDS credit options prices using direct contributions from major market makers with coverage expanded beyond observable instruments using implied volatility modeling. It Contains Deltas, Strikes and Implied Volatility.ParquetWeekday
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