Σ28 Implied Volatility Source

SIGMA28

Empowering clients with implied volatility data analysis for equity options.

SIGMA28 started collecting and processing equity option implied volatility data in 1999 from all European option exchanges and expanded our coverage to the US and Canada in 2008. We now collect, process and filter over 1700 underlying names and this number is ever growing.

Our extensive knowledge of plain vanilla and exotic Equity derivatives, from a trading and risk management perspective, has resulted in a historical database of implied volatility that is not only structured in a way that makes sense, but also made sure that data cleanness is of exceptional quality.

 

 

Why SIGMA28?

• The only low latency implied volatility data provider for professionals
• Access to current day's implied volatility in a historic context
• Make your proprietary analysis through scripting
• Data history covering extreme market conditions with the full implied volatility spectrum: ideal for time series analysis
• No further internal IT costs or maintenance involved

API service

Use the IV database through our API service

IV API data-service targets developers and quantitative analysts who want to (back) test and use proprietary coding for trading, market making into their own business platform.

The XML format allows easy integration to most third party applications. Both actual strike, actual maturity and uniform implied volatility data can be accessed.

Volatility is inescapable. We make it tradable.

Order a test license