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Bridge

Foreign Exchange

ICE Data Derivatives sources OTC foreign exchange data from a variety of contributors such as broker dealers and market making banks, creating a rich data pool to help support your trading, regulatory and risk management needs.

Learn more about ICE Data DERIVATIVES

Coverage


Universe

  • Over 270 currency pairs

Correlations

  • Historical between 2 currency pairs for a range of tenors for 1M out to 5Y

History

  • Up to 20 years

Universe

  • Over 270 currency pairs

Correlations

  • Historical between 2 currency pairs for a range of tenors for 1M out to 5Y

History

  • Up to 20 years

Data Points

  • At-The-Money (ATM) Volatilities
  • 25-delta Risk Reversals
  • 25-delta Butterflies
  • 10-delta Risk Reversals
  • 10-delta Butterflies
  • Forwards
  • Deposit Rates

Volatility Surface

  • Tenors up to 30 years; ATM Volatilities and from + 5 to 45 delta for Calls & Puts

Data Points

  • At-The-Money (ATM) Volatilities
  • 25-delta Risk Reversals
  • 25-delta Butterflies
  • 10-delta Risk Reversals
  • 10-delta Butterflies
  • Forwards
  • Deposit Rates

Volatility Surface

  • Tenors up to 30 years; ATM Volatilities and from + 5 to 45 delta for Calls & Puts

*Subject to coverage confirmation by IDD, on an underlying by underlying basis

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

  • Real time streaming – Volatility surface updated every 5 minutes
  • Flat files (via SFTP) with various cut times (intraday or EOD) and supporting XML, CSV and XLS formats