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Fit Parameters - Subscription
  • Options

This report provides parameters which define the volatility surface per option class calculated by a proprietary Volatility Surface Fitter.

This proprietary valuation model uses a business day calendar with intraday time decay along with discrete dividend estimates, proprietary implied borrow rates, and a proprietary arbitrage-free smoothed volatility surfaces. Files are labeled with a date-time in Central time.

Fields Include:

  • Underlyer
  • ExpirationDate
  • OptionRoot
  • ATMVol Skew
  • Kurtosis
  • PutTail
  • CallTail
  • ReferenceSpotPrice
  • ReferenceForwardPrice
  • TimeToExpiration
  • IV_25P
  • IV_25C
  • Strike_25P
  • Strike_25C
  • Strike_ATM
  • FitConfidence
  • ReferenceAtmStrike
  • ReferenceAtmVol
  • Skew10
  • Kurt10
  • ImpliedBasis
  • Updated

File Layout: Specification

Pricing:

  Subscription Period
Interval Monthly Annual

15-Minute (Intraday)*

$1,875 $22,500
EOD $1,250 $15,000

Pricing reflects internal usage, please contact Livevol_Sales@cboe.com if you would like to inquire about redistribution or 15-minute intraday deliveries.

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