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End-of-Day Volatility Skew

Volatility skew data allows users to analyze relative option pricing levels over time series by comparing “virtual” option strikes with identical time to maturity and levels relative to spot. Our Volatility Skew files show the implied volatility levels of virtual options expiring at constant maturities, with option strikes defined by either moneyness (% from spot) or by option delta. These files allow for more appropriate comparison of implied volatility levels over time. LiveVol volatility skew data is provided with either moneyness increments (5% steps from spot from 0-60%, with additional values at 2.5% from spot) or delta increments (5 delta increments for both calls and puts). Standard maturity periods range from 30 to 360 calendar days. An auxiliary set of skew index data will be provided with each purchase. Skew indexes represent a measure of option skew by symbol and maturity for a particular day. Delta skew data is used to generate the skew index metrics: for example, SKEW90 represents the (IV of 25 delta put – IV of 25 delta call)/(50 delta call IV) for virtual options expiring in 90 days.
Fields include:

Moneyness Files:

  • Underlying Symbol
  • Date
  • Underlying Price
  • Period
  • Strike
  • Option Type
  • Delta
  • Moneyness
  • IV

Delta Files:

  • Underlying Symbol
  • Date
  • Underlying Price
  • Period
  • Strike
  • Option Type
  • Delta
  • Moneyness
  • IV

Skew Index Files:

  • Underlying Symbol
  • Date
  • Period
  • Skew Index
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Warning: Data is unavailable for either specific dates or symbols from your selection. Show excluded symbols and dates here.
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Note: Data will be available for download after purchase as long as the file size is below 500GB. Larger files will be shipped to you on a hard drive.