Start-of-day (9:40 E.T.) and end-of-day (15:45ET, 16:00ET, 16:15ET*) snapshots of price- and delta-relative volatility surfaces powered off of the proprietary Cboe Hanweck Volera® engine, a high-performance, hardware-accelerated system capable of performing millions of option valuations per second. Volatility surfaces are generated off of the highest quality inputs which evolve to react to changing financial markets conditions.
Snapshots of price- and delta-relative volatility surfaces are available at standard constant maturity tenors or listed option expiries.
- Constant Maturity Delta Relative: An interpolated implied volatility surface referenced by delta at various constant maturities or expiries (e.g., IBM 0.25 delta 3-month implied volatility)
- Constant Maturity Price Relative: An interpolated implied volatility surface referenced by percentage of the current underlying price at various constant maturities or expiries (e.g., IBM 110% 3-month implied volatility)
- Expiration Specific Delta Relative: An interpolated implied volatility surface referenced by delta for each of the actual listed expiries (e.g., IBM 0.25 delta Oct10 implied volatility)
- Expiration Specific Price Relative: An interpolated implied volatility surface referenced by percentage of the current underlying price for each of the actual listed expiries (e.g., IBM 110% Oct10 implied volatility)
*16:15ET snapshot will only be available for indices which trade until 16:15ET during regular trading hours.
Subscriptions
Single zipped CSV containing four files (Constant Maturity Delta Relative, Constant Maturity Price Relative, Expiration Specific Delta Relative, Expiration Specific Price Relative) delivered daily end-of-day.
Historical
Single zipped CSV containing four files (Constant Maturity Delta Relative, Constant Maturity Price Relative, Expiration Specific Delta Relative, Expiration Specific Price Relative) for each trading day. Historical data available from August 2011.
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