Sold by: Canari.dev
Deployed on AWS
Historical intraday implied volatility with calibrated prices, greeks, forward, spread.
Overview
Historical intraday implied volatility with quotes, greeks, forward, spread.
We sell market data in partnership with Deutsche Boerse.
Data start date : 04/2019
Sampling interval: 5 minutes
Source : Eurex
Format: Downloadable files.
Scope:
Indices (4) : Eurostoxx50, DAX, SMI, Eurostoxx Bank Stocks (48) : See list at the end of this description. Any Eurex listed stock can be added to the list.
Content :
Complete files (1 per quarter per underlying): detailed information for each strike. Summary file (1 per underlying): ATM implied vol, smile, implied dividend. One line per timestamp.
1/ Fitting
Spline fitting of bid and offer separately
2/ Model
Black And Scholes, unique volatility input (no local volatility). A price adjustment is computed for American calls in presence of a dividend in order to account for stochastic vol premium around exercise limit frontier. This price adjustment is indicated in the “complete” files.
3/ Dividends
The IV is calibrated using the dividends ex ante (the ones actually paid in fine). Uniform fiscal ratio of 93% applied to gross dividend. Forward level implied over all strikes of each maturity.
4/ Rates
Risk free rate: ECB official rate curve Box rate: Implied based on Eurostoxx50. Available upon request.
If you need help, contact us at: contact@canari.dev
List of available underlyings:
| Code | Name |
|---|---|
| OESX | Eurostoxx50 |
| ODAX | DAX |
| OSMI | SMI (Swiss index) |
| OESB | Eurostoxx Banks |
| OVS2 | VSTOXX |
| ITK | AB Inbev |
| ABBN | ABB |
| ASM | ASML |
| ADS | Adidas |
| AIR | Air Liquide |
| EAD | Airbus |
| ALV | Allianz |
| AXA | Axa |
| BAS | BASF |
| BBVD | BBVA |
| BMW | BMW |
| BNP | BNP |
| BAY | Bayer |
| DBK | Deutsche Bank |
| DB1 | Deutsche Boerse |
| DPW | Deutsche Post |
| DTE | Deutsche Telekom |
| EOA | E.ON |
| ENL5 | Enel |
| INN | ING |
| IBE | Iberdrola |
| IFX | Infineon |
| IES5 | Intesa Sanpaolo |
| PPX | Kering |
| LOR | L Oreal |
| MOH | LVMH |
| LIN | Linde |
| DAI | Mercedes-Benz |
| MUV2 | Munich Re |
| NESN | Nestle |
| NOVN | Novartis |
| PHI1 | Philips |
| REP | Repsol |
| ROG | Roche |
| SAP | SAP |
| SNW | Sanofi |
| BSD2 | Santander |
| SND | Schneider |
| SIE | Siemens |
| SGE | Société Générale |
| SREN | Swiss Re |
| TNE5 | Telefonica |
| TOTB | TotalEnergies |
| UBSN | UBS |
| CRI5 | Unicredito |
| SQU | Vinci |
| VO3 | Volkswagen |
| ANN | Vonovia |
| ZURN | Zurich Insurance Group |
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Dimension | Description | Cost/12 months |
|---|---|---|
Product Access | Dimension that grants access to the product for subscribers. | $19,300.00 |
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Refunds are not offered for this product
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Additional details
You will receive access to the following data sets.
Data set name | Type | Historical revisions | Future revisions | Sensitive information | Data dictionaries | Data samples |
|---|---|---|---|---|---|---|
Historical volatility, greeks and quotes. 5 minutes intervals over 4 years. | Last 1 revisions | All future revisions | Not included | Not included |
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