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Implied Volatility Data

Sigma28 started collecting and processing equity option implied volatility data in 1999 from most European option exchanges and expanded our coverage to other parts of the world in 2008. We now collect, process and filter over 3500 underlying names and this number is ever growing. Our deep understanding of plain vanilla and exotic equity derivatives, from both a trading and risk management perspective, has enabled us to build a historical database of implied volatility that is well structured with high quality, exceptionally clean data.

DATA QUALITY

SIGMA28’s infrastructure is set up to feed the option pricing models with implied parameters only. Robust systems and processes are in place that create implied volatility surfaces that are simply uncompromised in quality.

SET-UP AND DATA STRUCTURE

The implied volatility for each option is calculated as soon as the market opens. Every single business day, we calculate the volatility surface up to 80 times for each of the 3000+ names. That is every 5 minutes for each. The actual surfaces are structured into uniform ones in a flash and ready for consumption. Skew uniformity is available as a percentage of the at-the-money forward or on the basis of delta.

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DATA HISTORY & COVERAGE

Our implied volatility data history goes back up to 15 years. We calculate, process and structure implied volatility data from all major option exchanges across the globe. Including Indices, stocks, ADRs, volatility Indices and all types of ETFs.

FULL SERVICE DATA COVERAGE: DATA ENHANCEMENT

Most listed option markets have limited quotes for both skew and maturity, resulting in data voids on the volatility surface. Clearly a problem for valuation, structuring and risk management workflows. SIGMA28’s data enhancement algorithm robustly addresses these data voids. The tenor enhancement is up to 10 year out. Skew enhancement ranges from 25% to 300% of the at-the-money forward levels.

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API : Feeding your system with
implied volatility data

This service gives our clients access to our Historical Implied Volatility Database through our API’s or FTP. The XML format allows easy integration to most third party applications and risk management systems. We support API requests for both Implied Volatility data of actual expiries and strikes, as well as uniform expiries and strikes. Clients download and process our historical Implied Volatilities into their own business platform for back-testing, proprietary coding for trading, risk management and independent valuation.

Who benefits from our services?

Market makers

Knowing your vega per expiry date is important, but knowing if you are comfortable with it is essential. SIGMA28 allows you to analyze the term structure so that you know if you are comfortable with being hit on either the bid or the ask side. This allows you to be more confident to stay in front on the bid or offer side and increasing the hit frequency.

Volatility traders, proprietary traders and flow desks

Historical insight is essential for volatility surface arbitrage or dispersion trading.

Structured product developers

Volatility levels and skews are important for structurers to set accurate pricing. Seeing these factors and their interdependence in a historical context enables you to be more competitive and reduce risk.

Hedge fund managers

SIGMA28 allows several strategies to be used for covered call writing, alpha-enhancing volatility overlay, and hv/iv screening.

RISK managers

SIGMA28 provides risk managers with objective 3rd party implied volatility data for equity options portfolio valuations and scenario testing.

Workflows

  • Risk Management: Feed your risk management systems with clean, consistent volatility data from an independent source.
  • Option Valuation: Valuation of equity options from the best independent source in the industry.

Ask for a data sample

We can proudly state that SIGMA28 is now considered the institutional benchmark for volatility data. But don’t take our word for it. Just ask for a data sample and we’ll be happy to deliver.

Contact us