This report provides realized volatility for multiple tenors for optionable underlyers and excludes the variance associated with earnings announcements.
The price variance associated with each earnings event that occurred in the respective lookback period of the calculated tenor is excluded from the realized volatility calculation. This proprietary valuation model uses a business day calendar with intraday time decay along with discrete dividend estimates, proprietary implied borrow rates, and proprietary arbitrage-free smoothed volatility surfaces. Files are labeled with a date-time in Central time.
One file will be delivered at the end of the day, if End of Day interval is chosen. If 15 min interval is selected, files will be delivered every 15 minutes during the day with 15 minutes delayed data.
Fields Include:
- Underlyer
- HV_1W_NetEarn
- HV_2W_NetEarn
- HV_1M_NetEarn
- HV_2M_NetEarn
- HV_3M_NetEarn
- HV_6M_NetEarn
- HV_1Y_NetEarn
- HV_18M_NetEarn
- HV_2Y_NetEarn
- Updated
File Layout: Specification
Pricing:
| Subscription Period | ||
| Interval | Monthly | Annual |
15-Minute (Intraday) | $1,125 | $13,500 |
| EOD | $750 | $9,000 |
Pricing reflects internal usage, please contact sales@ftoptions.com if you would like to inquire about redistribution.
