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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
Publisher:
IHS Markit
Content Type:
Structured
Access/Delivery Methods:
REST, Python, S3 Proxy
Keywords
Interested in this data? Download free data samples, dictionaries and documentation
Data Set
| Dataset Name | Dataset Description | Data Format | Publishing Frequency |
|---|---|---|---|
| FX Option Volatility | The 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. | CSV | Weekday |
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