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Equity Variance Swap

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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.

Industry Domain:


Financial Markets

Publisher:


IHS Markit

Content Type:


Structured

Access/Delivery Methods:


REST, Python, S3 Proxy

Keywords

  • Equity
  • EQ
  • Variance Swap
  • Theoretical Variance
  • Spot
  • Volatilities
  • Variance
  • Derman
  • Var
  • Vol
  • FairVol
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Data Set

Dataset NameDataset DescriptionData FormatPublishing Frequency
Equity Variance SwapVariance 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.CSVWeekday
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