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FX Option Volatility

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Derived FX option volatility surfaces (tenor x moneyness) and forward points for over 120 currency pairs. Volatility surfaces are calibrated by combining interdealer brokers quotes to data sourced directly from major market participants. Data available for 10+ intraday snaps.

Industry Domain:

Financial Markets


IHS Markit

Content Type:


Access/Delivery Methods:

REST, Python, S3 Proxy


  • Forex Exchange
  • FX
  • Currecy pairs
  • FX Forward
  • Delta
  • Risk Reversal
  • Market Strangle
  • ATM Forward
  • Volatility
  • Lognormal volatility
  • Implied Volatility
  • FX Spot
Interested in this data? Download free data samples, dictionaries and documentation

Data Set

Dataset NameDataset DescriptionData FormatPublishing Frequency
FX Option VolatilityThe IHS Markit OTC Derivatives Data product publishes volatilities surfaces for 120+ FX pairs. Volatility surfaces are calibrated by combining same-day broker data with consensus information. Volatility surfaces are sampled in delta terms for different tenors. FX Volatilities are published together with the the FX Forward curve which is used in the calibration process, and the Risk Reversal and Market Stangle (10 and 25 delta) which are implied from the calibrated skew. 11 snaps are currently available for all the covered FX pairs.CSVWeekday
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