IHS Markit datasets available via the Data Lake
Implied volatility surfaces, forwards and implied dividend yields for approximately 80 equity indices across global markets. Volatility surfaces are available for at-the-money and skew across a wide strike range, with maturities up to 10Y for the main indices. The volatility surface is calibrated by leveraging exchange data, augmented by skew and long dated maturity data sourced directly from major market makers.
REST, Python, S3 Proxy
- Dividen Yield
- Lognormal volatility
- Implied Volatility
- Exchange Options
- Equity Index
|Dataset Name||Dataset Description||Data Format||Publishing Frequency|
|Equity Index Option Volatility Exchange Close||Equity volatility surfaces and forward curves are key ingredients for the pricing of equity-linked derivatives. The IHS Markit OTC Derivatives Data product publishes volatility surfaces for all major global equity indices along with the corresponding forward curve. Volatility surfaces and forwards are calculated from a combination of exchange information and consensus data, which are blended in the calibration process. Volatility skews are published for exchange expiries spanning from 1W up to 10Y/20Y maturity, depending on the underlying index. The spot, implied dividend yields and discount factors are also published to provide a comprehensive data set. Data are typically sampled for a set of predefined strikes relative to the spot level. Equity Index volatility surfaces are published daily after exchange close.||CSV||Weekday|
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