Equity
ICE Data Derivatives’ OTC equity data can help address your trading, regulatory and risk management needs via direct feeds from exchanges worldwide including OTC quotes for vanilla options, variance swap, dividend swaps and more.
Our long-established proprietary model is designed to ensure that our volatility surfaces are arbitrage free, even for low strikes and delta, and to handle thinly traded assets to help support your pricing and risk modeling.
Data Derivatives
Coverage
Universe
- Up to 8,000 single names, 600 indices, and ETFs in major exchanges in U.S., EMEA and APAC
- Volatility surface Tenors from 1 week to 10 years and 50% to 150% strikes
Coverage
- Volatility Surfaces
- Forward Curves
- Dividend Curves
- Repo Curves (major indices)
- Variance Swap Curves, Implied Correlations
History
- At least 10 years of historical pricing data for back-testing and analysis
Universe
- Up to 8,000 single names, 600 indices, and ETFs in major exchanges in U.S., EMEA and APAC
- Volatility surface Tenors from 1 week to 10 years and 50% to 150% strikes
Coverage
- Volatility Surfaces
- Forward Curves
- Dividend Curves
- Repo Curves (major indices)
- Variance Swap Curves, Implied Correlations
History
- At least 10 years of historical pricing data for back-testing and analysis
*Historical data before 2016 is based on prior VRF model
Multiple Use-cases
Real-time, end-of-day and historical market and derived data combined with pre-trade price discovery, valuation and risk analytics to help financial services firms across the front, middle and back office.
Front Office
- Real-time market data to help support your trading ideas, pricing and trade execution
- Can help you build strategies and market views to manage company or customer positions
- Supports construction of complex structured products based on market and customer needs
- Assists quantitative research with pricing models and derived data for risk analysis
Middle & Back Office
- Supports the risk management workflow to manage market, credit and operational risk
- Assists in managing trade valuations, MTM and Greeks calculations
Delivery Methods
- Flat files (via SFTP) with various cut times available (intraday or EOD)
- Supports XML, CSV and XLS formats