IHS Markit datasets available via the Data Lake
Variance swap rates for approximately 20 equity indices and 50 stocks. Variance swap levels are implied from the Equity Vanilla volatility surface, augmented by same day broker quotes.
REST, Python, S3 Proxy
- Variance Swap
- Theoretical Variance
|Dataset Name||Dataset Description||Data Format||Publishing Frequency|
|Equity Variance Swap||Variance swaps are financial derivatives which allow investors to take a position in the variance of an underlying asset such as a stock or an index. The IHS Markit OTC Derivatives Data product provides Variance Swap data for a large set of underlyings. The data are modelled by leveraging the Derman replication method and adjusted accordingly to observed market or consensus levels. Variance Swap data are published daily after exchange close.||CSV||Weekday|
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