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 |