Derivatives, OTC Data

Threshold Securities.  Access daily threshold securities listings to comply with SHO regulations governing short selling activities.  Daily aggregation of threshold securities listings from:


Options Analytics Service.  Daily updates and historical data to provide end-of-day analytics and reference data for U.S. and international exchange-listed options on equities, exchanged traded funds (ETFs), equity indexes and futures. This service can run tests simulation of trading strategies, generate risk and regulatory reports on portfolios of options and underlying securities, perform in depth analysis of options positions. Accounting firms can also use this service to their advantage, to help calculating the amount of dividend equivalent payment and delta test for the IRS Section 871(m).
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Derivatives Contract Specification. Covers all core contract specifications for over 70 markets. Provides a file by market, as well as a daily notification of upcoming changes as published by the exchange. The notification file contains the MIC, the effective date, and the text of the notification. Any required changes will be applied to the specifications on the effective date ensuring you always have access to up to date specifications.
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OTC DATA

Swap Curve Data. Provides a daily yield curves for a wide range of global currency. Results are expressed as both a zero-coupon yield and the associated discount factor.  Yield curves are implied from readily observable market prices. Available on an intraday or end-of-day basis. End-of-day data is delivered at the close of major global markets or as a consolidated file at 4pm ET. Up to 5 years of history is also available.

Credit Default Swap Data. Supplies 5 & 10-year spreads for over 2000 reference entities, together with a wide range of currency, restructuring clause and tier of debt combinations. Spreads are expressed as the basis point cost of buying protecting on the corresponding CDS. Full term structure curves (with spreads covering 6 months through 30 years) are also available.  Delivery: daily basis, with delivery at approximately 4pm ET. 10 years of history is also available.

FX Option Volatility Data.  Supplies daily volatility surfaces for FX options, including skew, across 30 global currencies and precious metals. Results are expressed as follows:

  • For at-the-money (ATM) strikes: as percentage implied volatility
  • For 10 and 25 Delta Risk Reversals & Butterflies: as offsets to the corresponding ATM volatility.
  • Delivery:  available on an intraday or end-of-day basis. End-of-day data is delivered at the close of major global markets or as a consolidated file at 4pm ET. 
  • History:  Up to 5 years of history is also available.

Swaption Volatility Data.  Supplies daily normalized volatility cubes for interest rate swaptions, including skew, across many popular global currencies. Volatilities are expressed in basis points and correspond to standardized cube nodes, including:

  • At-the-Money (ATM) strikes, and out-of-the-money strikes specified as positive and negative offsets of the ATM forward rate in 25, 50, 100, 150 and 200 basis point increments. 
  • Standard option tenors, typically from 1 month to 30 years 
  • Delivery: available on an intraday or end-of-day basis. End-of-day data is delivered at the close of major global markets or as a consolidated file at 4pm ET. 
  • Up to 5 years of history is also available.
  • Data are delivered in a flat file via FTP.
  • NASDAQ Stock Market 
  • NYSE MKT
  • New York Stock Exchange
  • OTC Markets
  • NYSE Arca
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