Implied Volatility Database

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 integrity and snapshot method

We use market levels for yield curves, repo rates and implied dividends. Our advanced screening software enables us to carefully check data and identify errors in the volatility surface. This ensures SIGMA28’s competitive edge in terms of data integrity.

The implied volatility of each available strike is calculated as soon as the market opens. The frequency of the snapshots taken, up to every 5 minutes, depends on the option liquidity of the specific name.

Coverage

SIGMA28 data covers option markets in EMEA, Americas, Asia and Australia. All exchange listed Indices, single stocks, ADR’s, volatility trackers and ETFs.

Database structure

The database is set up to cover both actual strike/actual maturity (e.g. SX5E Dec15 3000 strike) and uniform strike/maturity through interpolation (e.g. SX5E 6M 100% Forwards). The uniform structure is a 30×34 matrix (maturity x % of Forward skew level)

Data enhancement algorithm

Most listed option markets have limited pricing quotes for both skew and maturity. This creates a problem in valuation, structuring and risk management work flows.

SIGMA28 introduced a highly sophisticated and unique data enhancement algorithm. It extends the implied volatility data in blank areas of the surface.

The maturity data enhancement is up to 10 years out. Skew data enhancement ranges from 25% to 300% of at-the-money Forward levels.

Our IV Database in a nutshell

  • Exceptional data quality
  • Intraday voldata updates
  • Data history goes back to 1999
  • Skew uniformity based on % of at-the-money forwards and delta
  • Strike ranges: 25% to 300%
  • Tenor range: up to 10 years out
  • Data governance fully compliant to client review and approval

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