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SD-MM Market Data portal provides an extremely wide variety of detailed spreadsheets that contain market implied volatilities for a range of strikes and deltas in both OTC and exchange conventions.

To obtain the volatility surface at all points including extremely out-of-the-money points, SD-MM VolSurface utilizes the SuperDerivatives benchmark pricing model, described by industry authorities as the “de-facto standard globally”.

Indeed, SD-MM VolSurface data is obtained as “snapshots” at many closing hours around the globe, of the tradable prices used within the SuperDerivatives real time pricing systems across all asset classes.

Wide Cross-Asset Coverage

SD-MM VolSurface provides accurate volatility and correlation data for the following asset classes:

FX – Over 130 currency pairs including all major (G7) and emerging markets. Market-implied correlation rates are available for highly illiquid currency pairs.

Interest Rates – in all currencies where interest rate markets exist from major currencies (G7) to emerging markets. Both swaptions and cap/floors as well as detailed underlying yield curve information.

Equities – comprehensive coverage of thousands of single stocks and indices in all major global exchanges. Separate spreadsheets are available per geographical region (North America, Europe, Asia-Pacific, Japan).

Commodities – energy products, precious and base metals, agriculture commodities in all global exchanges and markets.

Surface Detail and Range

SD-MM VolSurface delivers real market implied volatilities for an extremely wide range of strikes and deltas.

The strikes generally range from 1 delta Put to 1 delta Call and appear in several formats. For example in FX they appear also as 1 to 99 Delta Call (or Put) and are grouped in 5-Delta intervals for all option maturities.

 


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SD-MM VolSurface data is obtained as “snapshots” at many closing hours around the globe, of the tradable prices used within the SuperDerivatives real time pricing systems across all asset classes.

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An equivalent strike-referenced scale is also available for stocks and indices covering 40% to 200% of current market price, depending on the maturities.

All standard benchmark tenors and maturities are covered from 1 day and on; in some assets (such as major currency swaptions) the tenors stretch all the way to 30 years.

For exchange traded instruments, both standard and exchanged-specified absolute-date maturities are used, supporting flexible use in both OTC and exchange markets.

Each data point in the volatility surface shows both the strike and the market implied volatility.