FAQ: QuikVol® Option Volatility Data

QuikVol Option Volatility Data is powered by QuikStrike, a benchmark pricing and analysis platform.

Who is Bantix?

Bantix 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 on the CME Group website. More advanced versions are available as part of CME Direct, as well as the more advanced Professional and Enterprise subscription editions.

What type of data does Bantix QuikVol provide?

Bantix provides market implied option volatility curves and realized futures volatility data.

The following fourth order volatility curve types for listed and constant maturity expirations are available:

  • Strike
  • Delta
  • Moneyness1 – normalizes x-axis by days to expiration (DTE)
    • LOG(K/F) / SQRT(DTE) where K=strike and F=future
    • Normal Model: (K-F) / SQRT(DTE)
  • Moneyness2
    • LOG(K/F)
    • Normal Model: (K-F)
  • Standard Deviation

See FAQ question below with evaluation instructions for details on how to use each equation type.

The following 5-, 10-, 20-, 30- and 60-day realized futures volatility data are available:

  • Listed expiration
  • Front, second and third rolling contracts
  • Constant maturity contracts (interpolated)

Do you provide all expirations for all products? Even deferred contracts?

For most products we are deriving volatility data for all available, active expirations (this includes active short-dated options in the Ag complex).

For energy products, we will only grab three years of expiration contracts. This is generally the portion of the term structure that has most, if not all, of the open interest. The exception to this three-year window is the Eurodollar product. Most of the ED$ curve have a solid open interest base, so we cover the entire curve.

Can I see the data in chart format in CME DataMine? Elsewhere?

CME DataMine does not show any of the data graphically, but you can see charts of all the data we offer, as well as other information, via the QuikVol user interface. The QuikVol tool is accessible as part of the QuikStrike Essentials toolbox.

Check out other QuikStrike tools.

Is strike level derived data available in CME DataMine? Elsewhere?

CME DataMine only supports expiration level curve equations at this point.Bantix believes that the strike level data is easy to create with the equation data.

See a sample calculation in the How do I use the curve coefficient data to calculate the strike level volatility? question below.

If you would prefer to download strike level information, email our QuikVol data provider at support@quikstrike.net as they have an option to have the data delivered via a strike level format. The pricing is the same for both versions of the data. QuikVol’s UI is geared toward viewing and downloading the data, so you may want to give it a try.;

What type or level of downloads can I receive?

Data can be purchased for a single (or multiple) asset class(es) or for the entire set of asset classes. Data will be delivered/available on a product level basis.

What is the data source for this derived volatility data?

The prices used to create the option volatility curves is a combination of CME Group settlement and SPAN file data. When strike open interest (OI) is available for an expiration (CME DataMine EOD files only contain settlement prices for strikes with OI), this data is used to create the volatility curves. For expirations with little or no OI, the expirations with actual, derived curves will be used to (linearly) interpolate curves for these “empty” expirations.

For data from 2007 through 2010, SPAN file data was used to create volatility curves. Data from 2011 forward, will use EOD settlement data (augmented with SPAN when and if possible).

How is data calculated?

Strike-based curves are created by using the at-the-money (ATM) straddle implied volatility and all out-of-the-money (OTM) implied volatilities to create a least squares (fourth order) polynomial fit for this set of points. The curve is fit between all available strikes from the -2 to +2 delta range.

Note: For Eurodollars, the curve is always forced to go through the ATM strike. We believe that this is especially important for active contracts with a limited strike range like the Eurodollar contract.

For the other curve types (Delta, Moneyness1, Moneyness2 and Standard Deviation), the strike curve is used to create a set of points that represent the curves’ data. Those points are then fit (in the same fashion mentioned above). Each curve has a low strike and high strike associated with the curve. For the non-strike curves, this strike is a low and high data point on the curve (i.e. Delta, Moneyness, etc.).

Volatility points on the curve can then be calculated by stepping through the points from low to high, or ANY point in between, and evaluating the polynomial equation. One of the strengths of the fitted curve volatility equation is that the user can calculate a volatility for any point on the curve without being limited to a listed strike, fixed delta step, etc.

How do you handle expirations with little or no open interest? Settlement data?

For expirations with little or no OI, the expirations with actual, derived curves will be used to (linearly) interpolate curves for these empty expirations.

How do you handle limit up and down settlement days?

Options continue to trade when a future is locked limit up or down. On days when the futures settle in this state, QuikVol finds the at-the-money strike by looking for the strike where put and call settlement are closest to each other and derives a put-call parity futures price. This price is then used as the futures price input for deriving the implied volatility for the rest of the settlement prices.

Can I get option settlement data, volume and open interest as part of this download?

No, since data is stored and delivered at the expiration level, strike level data is not available. However, you can get option settlement prices from DataMine as well as a limited date range from Bantix and the QuikStrike tools.

Can I get future settlement data, volume and open interest as part of this download?

Since our data is delivered at the expiration level, and futures are expiration level products, we do provide the price, volume and open interest as part of each record (for data from 2011 forward only).

What is the file format of the Bantix QuikVol data?

The data will be delivered in CSV file format.

What is the average daily file size?

There is one record per option expiration tracked and one record for each futures contract (on a per product basis). Therefore, the individual product files are not very large (files sizes range from 2kb to 48kb).

How many files are available per day?

There will be 42 options and 42 futures files that are dispersed over six different asset classes.

What is the delivery frequency of the data?

Once per day since the information is end-of-day data.

What time is delivery time of the data each day?

The files will be delivered by midnight Central Time (CT).

Are files compressed?

The files will be compressed.

How far back historically is data available?

Data is available from January 1, 2007 (or from where the data for a given product starts to be available) and forward. Below is a list of each product and its availability.

Will Bitcoin (BRR or BTC) realized volatility be available anytime soon?

We are working on having Bitcoin (BRR or BTC) realized volatility available soon in CME DataMine. In the meantime, QuikVol has this information available.

If you would like access to this information, contact QuikVol support@quikstrike.net.

QuikStrike also has Bitcoin option volatility curves available. This is data derived from QuikStrike proprietary calculations. For more details contact support.

What pricing models are used to initially create the implied volatility calculations?

We use the following formulas for each type of option product:

  • American Options
    • Bjerksund Stensland 2002
  • European Options
    • Black 76
  • Short-term Interest Rate (STIR) Options
    • Bachelier (Normal Price Distribution)
  • Average Price Options (APO)
    • Curran APO
  • Calendar Spread Options
    • Bachelier (Normal Price Distribution)

What asset classes and products are included?

  • Agriculture Futures and Options
    • Corn
    • Chicago Wheat
    • Soybeans
    • Soybean Oil
    • Soybean Meal
    • Live Cattle
    • Feeder Cattle
    • Lean Hogs
    • Class III Milk
    • Cash-Settled Cheese
    • Class IV Milk
    • Dry Whey
    • Non-Fat Dry Milk
    • Cash-Settled Butter
  • Energy Futures and Options
    • WTI Crude Oil
    • Henry Hub Natural Gas
    • Brent Last Day Financial
    • RBOB Gasoline
    • USLD Heating Oil
  • Equities Futures and Options
    • E-mini S&P 500
    • E-mini Nasdaq
    • E-mini Russell 2000
  • FX Futures and Options
    • AUD/USD
    • CAD/USD
    • EUR/USD
    • GBP/USD
    • JPY/USD
    • CHF/USD
  • Metals Futures and Options
    • Gold
    • Silver
    • Copper
    • Platinum
    • Palladium
    • Iron Ore
  • Interest Rates Futures and Options
    • Eurodollars
    • US 2-Year Note
    • US 5-Year Note
    • US 10-Year Note
    • US Ultra 10-Year Note
    • US 30-Year Long Bond
    • US Ultra Treasury Bond
    • Fed Funds

How do I use the curve coefficient data to calculate the strike level volatility?

Here is one example of how Bantix reaches  the delta-based curve (but all curves are evaluated in the same fashion). For purposes of our example, we used the delta because we believe that it is the most generic across all products. The PutDeltaLow column, with a value of 0.05, represents the 5-delta put. To continue the volatility curve evaluation, step up (with 0.05 delta increments) to the 0.10 (10-Delta put), 0.15 (15-Delta put) etc. until you get to the PutDeltaHigh or 0.95 value (5-Delta call). The at-the-money (ATM) volatility is the 0.50 value (makes sense right). You can use any delta value to evaluate a volatility at a given point but the spreadsheet example is a typical calculation method for creating a delta-based curve.

And, our other curves follow in the same fashion. You will start with the low strike, money-ness or standard deviation value and step up by a strike increment, or other decimal value for the money-ness and standard deviation values until you get to or near the high value. However, to reiterate, you can use any value between the low and high values to evaluate a point on the curve.

Note: Our curves are created to be calculated between the low and high values. If you attempt to evaluate a point outside that range, you may not get a proper value (this is a function of curve fitting in general). However, we have found that this is generally not the case on delta-based curves and does not happen all that often. What we typically do to combat any potential issue we find is the following:

  • Use the final left or right value and evaluate the strike outside this range at that volatility value OR
  • Find the difference between the last two strikes on both sides and calculate some sort of interpolation (usually linear) and step through the strikes with this increment for further evaluation outside the given range

Can I see a data sample for the implied option volatility curves? Column list and explanation?

Download QuikVol Options sample file

Field Name Value Type Description
Date 6/12/2018 Date String Trade Date
Symbol LOQ18 String Listed, Constant Maturity or Rolling Contract Symbol
ExpDate 7/17/2018 Date String Contract Expriation Date, if any
DTE 35 Decimal Days to Expiration
Strike 66.5 Decimal ATM Strike Price
Vol 0.240515356 Decimal ATM Volatility
Future 66.28 Decimal Future Price used for calculations
StrikeLow 81.5 Decimal Lowest strike price to be used to evaluate equation
StrikeHigh 55 Decimal Highest strike price to be used to evaluate equation
S0 -4.180410459 Decimal Coefficient for x0 term in polynomial equation
S1 0.303325116 Decimal Coefficient for x1 term in polynomial equation
S2 -0.007175166 Decimal Coefficient for x2 term in polynomial equation
S3 0.00007049 Decimal Coefficient for x3 term in polynomial equation
S4 -0.00000024 Decimal Coefficient for x4 term in polynomial equation
DeltaLow 0.05 Decimal Lowest delta value to be used to evaluate equation
DeltaHigh 0.95 Decimal Highest delta value to be used to evaluate equation
D0 0.302841994 Decimal Coefficient for x0 term in polynomial equation
D1 -0.490802354 Decimal Coefficient for x1 term in polynomial equation
D2 1.567278943 Decimal Coefficient for x2 term in polynomial equation
D3 -2.230388561 Decimal Coefficient for x3 term in polynomial equation
D4 1.139980033 Decimal Coefficient for x4 term in polynomial equation
MoneynessLow 0.034941183 Decimal Lowest moneyness value to be used to evaluate equation
MoneynessHigh -0.031533552 Decimal Highest moneyness value to be used to evaluate equation
M0 0.240515356 Decimal Coefficient for x0 term in polynomial equation
M1 -0.676923052 Decimal Coefficient for x1 term in polynomial equation
M2 58.69151794 Decimal Coefficient for x2 term in polynomial equation
M3 665.7074633 Decimal Coefficient for x3 term in polynomial equation
M4 3570.269464 Decimal Coefficient for x4 term in polynomial equation
Moneyness2Low 1.229631865 Decimal Lowest moneyness value to be used to evaluate equation
Moneyness2High 0.829812915 Decimal Highest moneyness value to be used to evaluate equation
M2-0 0.240515356 Decimal Coefficient for x0 term in polynomial equation
M2-1 2.680643891 Decimal Coefficient for x1 term in polynomial equation
M2-2 -5.916905488 Decimal Coefficient for x2 term in polynomial equation
M2-3 3.898370877 Decimal Coefficient for x3 term in polynomial equation
M2-4 -0.66315935 Decimal Coefficient for x4 term in polynomial equation
STDLow 81.5 Decimal Lowest standard deviation value to be used to evaluate equation
STDHigh 55 Decimal Highest standard deviation value to be used to evaluate equation
STD0 -27.81891693 Decimal Coefficient for x0 term in polynomial equation
STD1 0.799309677 Decimal Coefficient for x1 term in polynomial equation
STD2 -0.008882334 Decimal Coefficient for x2 term in polynomial equation
STD3 0.00005823 Decimal Coefficient for x3 term in polynomial equation
STD4 -0.00000016 Decimal Coefficient for x4 term in polynomial equation

Can I see a data sample for the realized futures volatility data? Column list and explanation?

Download QuikVol Futures sample file

Field Name Value Type Description
Date 6/21/2018 Date String Trade Date
Symbol TYU18 String Listed, Constant Maturity or Rolling Contract Symbol
ExpDate 9/19/2018 Date String Contract Expriation Date, if any
DTE 90 Decimal Days to Expiration
Open 119.5 Decimal Opening Price
High 119.921875 Decimal High Price
Low 119.421875 Decimal Low Price
Settle 119.859375 Decimal Settlement Price
Volume 1566709 Decimal Contract Volume
OI 3469995 Decimal Contract Open Interest
HV5 0.030838871 Decimal 5-Day Historical Realized Volatility
HV10 0.027059581 Decimal 10-Day Historical Realized Volatility
HV20 0.059439273 Decimal 20-Day Historical Realized Volatility
HV30 0.053671814 Decimal 30-Day Historical Realized Volatility
HV60 0.043493566 Decimal 60-Day Historical Realized Volatility

Disclaimer

Neither futures trading nor swaps trading are suitable for all investors, and each involves the risk of loss. Swaps trading should only be undertaken by investors who are Eligible Contract Participants (ECPs) within the meaning of Section 1a(18) of the Commodity Exchange Act. Futures and swaps each are leveraged investments and, because only a percentage of a contract’s value is required to trade, it is possible to lose more than the amount of money deposited for either a futures or swaps position. Therefore, traders should only use funds that they can afford to lose without affecting their lifestyles and only a portion of those funds should be devoted to any one trade because traders cannot expect to profit on every trade.

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