Bantix Technologies, LLC, provides access to QuikStrike® end-of-day implied option volatility curves for more than 40 CME Group products via its QuikVol® historical volatility tools. The new datasets include both listed and constant maturity expiration curves as well as realized historical volatility for all related futures products.
The data will cover all liquid option products from the beginning of 2007 (when available) with updates each evening. All data will be available via file download or API access for anyone with an annual subscription. For those interested in the data but not an annual subscription, ad hoc downloads will also be available. Users can view and download custom datasets via the QuikVol set of tools available within all versions of QuikStrike.
Bantix uses multiple end-of-day settlement and risk data sources to create fitted volatility curves for each product’s liquid, listed expirations. A full term structure of constant maturity curves is then interpolated from the listed expiration curves (with DTEs ranging from five to 360 days depending on the product and its overall expiration availability). The following fourth order curve types are available for each expiration:
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Bantix Technologies is a Chicago-area-based software development firm specializing in the delivery of web-based tools. QuikStrike, their flagship options pricing and analysis product, has been available and in production since 2004. A free, introductory version of QuikStrike is available through CME Group. More advanced versions are available as part of CME Direct as well as the more advanced Professional and Enterprise subscription editions.