With the increasing importance of exchange-traded derivatives (ETDs) within investor strategies, we designed ETD volatility surfaces to allow for clearer investment decisions with improved hedging strategies and interest rate risk management.

We use financial models and processes similar to those used in the over-the-counter (OTC) market to produce fair value volatility surfaces that are arbitrage-free. This allows a relevant implied volatility to be applied for any strike. ICE ETD volatility surfaces are unique offered by ICE Data Services, and are complementary to our OTC volatility data.

Coverage is based on the following GBP and EUR options traded on ICE:

  • Short Term Interest Rate (STIR) Options
  • Mid-Curve Options (1yr-5yr)

Data is available on a daily basis, with 10 years of historical data also available.

The range of volatility data available covers all strikes across all expiries traded on ICE Futures Europe. For every strike, we provide:

  • Black-Scholes lognormal volatilities
  • Normal volatilities
  • Call prices
  • Put prices

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