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The FX Options Vol Converter, powered by QuikStrike, calculates listed options pricing available on CME options into an OTC-equivalent volatility surface, allowing OTC users to easily compare pricing relationships between both options markets.

In the conversion process, the CME premium price for all strikes and maturities are adjusted, converted, and interpolated based on well-studied, quantitative option models and methodologies, resulting in a precise, continuous OTC-equivalent volatility surface for each currency pair.

The FX Options Vol Converter historical dataset provides intraday volatility surface updates at 8am and 3pm in London and New York respectively. 

https://www.cmegroup.com/trading/fx/cme-fx-options-vol-converter.html#the-tool

Dates Available

Historical data is not available for time prior to DataMine Launch 8/10/2021


Sample Files 

ReportSample File

JPU London 3pm

8/9/2021



Products Available 

Currency Pair

AUD/USD

CAD/USD
EUR/USD

GBP/USD

JPY/USD




FAQ

What is the file format of this data?

  • The files come in CSV format.

How many files are available per day?

  • 4 files are delivered during each day

What is the delivery frequency of the data?

  • New data will be made available 4 times during each trading day.

What time will the files be delivered each day?

  1. 8am GMT  - London
  2. 8am EST - New York
  3. 3pm GMT - London
  4. 3pm EST - New York

Are the files compressed?

  • No

What is the size of each file?

  • 4KB

Are sample files available?

  • Yes. See above

Where can I find more information and a user guide for the FX Options Vol Converter?

Is there a certain process I must use to be able to use the data?




How is Implied Volatility represented?

  • Decimal format. For example, 5% IV is represented as .05



Field Name

Excel Column

Example Value

Supported Values

Description

snap_time

A

8/5/2021 19:00m/d/yyyy h:mmSnapshot Timig dn GMT
tenorB1DStringExpiration Bucket by Time 
expiry_dateC8/6/2021m/d/yyyyExpiration Date
dteD1integerDays to Expiration
forwardE109.7555681decimalForward reference price
option_typeFUSD Call (JPY Put)StringOption Definition
bid10dG0.067359578

Decimal

10 delta Implied Volatility Bid
mid10dH0.090380474Decimal10 delta Implied Volatility Mid
ask10dI0.099029755Decimal10 delta Implied Volatility Ask
bid25dJ0.066613348Decimal25 delta Implied Volatility Bid
mid25dK0.082751953Decimal25 delta Implied Volatility Mid
ask25dL0.09148863Decimal25 delta Implied Volatility Ask
bid50dM0.066137787Decimal50 delta Implied Volatility Bid
mid50dN0.079183Decimal50delta Implied Volatility Mid
ask50dO0.087327609Decimal50 delta Implied Volatility Ask
bid75dP0.087328Decimal75 delta Implied Volatility Bid
mid75dQ0.08043148Decimal75 delta Implied Volatility Mid
ask75dR0.087299746Decimal75 delta Implied Volatility Ask
bid90dS0.066248Decimal90 delta Implied Volatility Bid
mid90dT0.085790846Decimal90 delta Implied Volatility Mid
ask90dU0.090821093Decimal90 delta Implied Volatility Ask
mid25rr
V
0.002320474Decimal

25 Delta Risk Revesal Implied Volatility Mid (Call - Put)

mid20rrW0.004589628Decimal20 Delta Risk Revesal Implied Volatility Mid (Call - Put)
mid25bfX0.002409031Decimal25 Delta Butterfly Implied Volatility Mid (Wings - 2ATM)
mid10bfY0.008902975Decimal10 Delta Butterfly Implied Volatility Mid (Wings - 2ATM)













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