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Equity Stock Volatility
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Implied volatility surfaces, forwards and implied dividend yields for approximately 1000+ equity stocks on various exchanges. 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.
Industry Domain:
Financial Markets
Publisher:
IHS Markit
Content Type:
Structured
Access/Delivery Methods:
REST, Python, S3 Proxy
Keywords
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Data Set
| Dataset Name | Dataset Description | Data Format | Publishing Frequency |
|---|---|---|---|
| Equity Stock 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 single name equities along with the corresponding forward curve. Volatility surfaces and forwards are calculated from a combination of exchange information and consensus data, which are blended together in the calibration process. Volatility skews are published for exchange expiries spanning from 1W up to 10Y/20Y maturity, depending on the underlying name. Along with volatilities and forward levels, the exchange 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. Stock volatility surfaces are published daily after exchange close. | CSV | Weekday |
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