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Pricing and Market Data

Derivatives - Volatility Surfaces

An overview of Derivatives - Volatility Surfaces 

Volatility Surface: a 3-D visualization that plots volatility smile and term structure of volatility in a consolidated three-dimensional surface on a given underlying asset. Option traders quickly determine the shape of the implied volatility surface and identify any areas where the slope of the plot (and therefore relative implied volatilities) seems out of line. The surface is also used to price options as it is important for an investor to ensure that their portfolio’s theoretical value is as close as possible to the market value.

Refinitiv offers a variation of exchange traded surfaces across different product suites: from real time created “on the fly” using Eikon desktop surface app SURF, on demand through the Instrument Pricing Analytics API, on RICs and disseminated on Elektron, Eikon, Eikon excel and Datascope Select products. Surface are also available on Datastream with long time series histories. In addition, functionality within Eikon excel to request a surface on demand.

Key Facts 

  • Geographical coverage
    Global
  • History
    ATM volatility indices from 2008
    RIC surfaces from 2013
  • Data format
    CSV
    JSON
  • Delivery mechanism
    API
    Desktop
    Excel
    FTP
    SFTP
  • Data frequency
    Continuous

Features & Benefits

What you get with Derivatives - Volatility Surfaces 

  • Offers comprehensive coverage, consisting of all exchange type assets, Eikon's SURF app, and Instrument Pricing Analytics (IPA) API compute volatility surfaces on request and response system. RIC-based surfaces are available in real time for 60 main commodity products and end-of-day for 65 equity index, ETFs, STIRs and fixed income products available on Eikon, Datascope and Eikon excel. Datastream offers end-of-day surfaces on all options assets.
  • Surfaces are available by delta ( from 10d – 45d for puts and calls with an ATM, intervals of 5 deltas) in constant maturities for up to 24 months or by actual options expiries. Eikon SURF app and IPA API ranges can be adjusted to user preference.
  • Surfaces are available by money in 10% intervals (50%-70% ranges and 130%-150% ranges) and in 5% intervals (75%-125% ranges), in constant maturities for up to 24 months or by actual options expires. Eikon SURF app and IPA API ranges can be adjusted to user preference.
  • Surfaces are available by strike using options expiry dates.
  • To facilitate the comparison of options between assets, strikes, and expiries, Refinitiv provides surfaces of implied volatilities fitted with an SVI parametric model. Depending on the number of option contracts available, Refinitiv offers the possibility to calibrate a smile curve for each expiry using a local version of the SVI model (SVI) or the surface globally (SSVI) to derive implied volatilities for all expiries and strikes.
  • Instrument Pricing Analytics (IPA) offers an elastic, cloud-based API that allows you to access pricing analytics pre-configured with Refinitiv data from any internal workflow, including volatility surfaces. The volatility service produces high quality pricing data that can support trading strategies, valuation, and risk systems. It provides volatility measures across expiries and strikes for equities, ETFs, indices, commodities, and FX options.
  • IPA powers also the volatility surface [SURF] and Option Pricer [OPR] applications in Eikon, ensuring analytics consistency between desktop users and enterprise applications.
  • The IPA service currently covers around 7,800 surfaces across Equity, Index, ETF, and Commodities futures across geographies. It covers also FX volatilities for a wide range of currency pairs.For each surface, Refinitiv maintains a list of available contracts that is updated every day after market close to ensure that the best available options are used.

  

How it works

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