Volatilities

Calculated using advanced options analytics methodologies with full transparency on all components used in the models.

Options Implied Volatilities

  • Listed surfaces by contract: exchange ID, ticker symbol, currency, expiration date, put/call indicator and strike price

  • Closing mid implied volatilities for all strikes and expiries

Interpolated Implied Volatility Surfaces

  • Price-Relative (moneyness): Strike relative to underlying price (100 = at the money)

  • Delta-Relative: Call-equivalent delta (50 = at the money)

  • Expiries and constant maturity volatility surfaces from 1 week up to 2 years

Volatility Indexes

  • Constant maturity volatility indexes term structure from 1 week up to 2 years.

  • Historical end-of-day volatility indexes values

Historical Volatilities

  • Constant maturity historical volatilities from 10 days up to 180 days

  • Close to Close historical volatilities

  • Open-High-Low-Close historical volatilities, which take into account the underlying opening price jumps and drift.

Volatility Percentile Ranking

  • Implied volatility to historical volatility percentiles ratios.

  • Comparison between undervalued and overvalued options.

  • Comparison between expensive and cheap options