Pricing DataEquity Volatility Data

Markit Pricing Data provides an independent source of daily equity volatility information to help meet independent price verification requirements.

Customers

  • Asset managers
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  • Insurance firms
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  • Hedge funds
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  • Industry consultants
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  • Clearing counterparties

Statistics

  • 10years out for equity indices
  • 5years out for single stocks

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Product Summary

Markit Pricing Data provides implied volatilities, forwards and discount factors out to a maximum of 10 years for equity indices and five years for single stocks. The strike range runs from 50% to 150% for each maturity, and contributor depth is shown for each tenor and strike for transparency.

The composite volatility curves are produced based on the closing option prices from major sellside institutions. These curves provide a consistent and comprehensive dataset with an emphasis on high quality.

    Key Benefits

    • Data integrity

      Pricing sourced from major sellside institutions, with rigorous cleaning processes applied

    • Efficiency

      Replaces the need to analyse multiple datasets that may contain stale or incorrect prices

    • Independent

      Provides independent dataset for checking traders’ marks as well as enabling accurate and independent calculation of daily P&L

    • Delivery

      Direct XML, Excel or CSV download from web