Announce something here

Canari EURO Intraday Volatility Greeks Quotes

Canari EURO Intraday Volatility Greeks Quotes by

Canari EURO Intraday Volatility Greeks Quotes

Historical intraday implied volatility with quotes, greeks, forward, spread, for European stocks.

Here are the approaches that we use:

  • Fitting: Spline fitting of bid and offer separately
  • Model: Black And Scholes, unique volatility input (no local volatility). A price adjustment is computed for American calls in presence of a dividend in order to account for exercise optionality. This price adjustment is indicated in the “complete” files.
  • Dividends: The IV is calibrated using the dividends ex ante (the ones actually paid in fine). Uniform fiscal ratio of 93% applied to gross dividend. Forward level implied over all strikes of each maturity.
  • Rates: Risk free rate: ECB official rate curve Box rate: Implied based on Eurostoxx50.

The starting date is 04/2019, the sampling interval is five minutes.

Column Type Description
_seq uint Internal sequence number used to keep data rows in order
timestamp string Timestamp of the Data (underlying field is nc_publish_date_actual)
muts uint64 Microseconds Unix Timestamp. An integer representation of a timestamp with microsecond precision that can be compared directly to other timestamps. (underlying field is nc_publish_date_actual)
symbol string Trading Symbol
matu int maturity date (YYYMMDD)
Spot double underlying spot price
Fwd double Forward price
PutOrCall string Put/Call
StrikePrice double Strike
ContractMultiplier double lot size
ExerciseStyle string American/European
bid double best bid on Eurex
ask double best ask on Eurex
sigma double Implied vol (B&S model, spline fitting)
Spread double bid/offer spread (in bps of spot) of the 6th tightest option spread for the maturity
price double fair value based on calibrated IV
delta double delta based on calibrated IV
vega double vega based on calibrated IV
adjust double price adjustment for american call options stemming from shortcomings of the B&S monovolatility model
calib_ok string Boolean indicating if calibration is in line with actual screen prices
Timestamp_txt string