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EQUITY INDEX option VOLATILITIES

GFI has a strong, independent presence in global equity markets and is a leading equity derivatives wholesale broker.

As one of the key players in equity index options trading throughout North America, Europe, and Asia, GFI is uniquely positioned to provide a comprehensive view of the equity markets through its definitive real market prices from major market makers, OTC equity derivative participants, and the respective listed option markets.

Why GFI for Equity Index Volatilities Data?

  • GFI is a leading equity derivatives broker.
  • Provides accurate and reliable representation of full volatility curve, calibrated in real-time to actual bids, offers, and trades
  • Maturities beyond the traditional exchange traded maturities
  • Sourced from a calibration of GFI and a curve of proprietary analytics

A CLOSER LOOK

GFI Market Data is sourced from multiple pools of liquidity in the OTC markets.

Some Key Facts

  • For each of the indices, there are 19 sequentially numbered pillars, with each pillar having 10 slices each defined by the respective strikes.
  • Asian Equity Indices covered: HSCEI (China), KOSPI 200 (South Korea), and NIKKEI 225 (Japan)
  • Index volatilities for ATM and OTM strikes, both puts/calls and forwards for maturity term pillars
  • History from March 2008
  • Strikes available are 70-130%.
  • GFI offers an end of day file containing the strike prices of the day.

GFI Market Data Sales