London and New York, NY – Markit, a leading, global financial information services company, today announced that it has been selected by Lyxor Asset Management (“Lyxor”) to provide daily implied volatility data on equities for its entire range of structured funds.
As part of this agreement, Markit will provide Lyxor with data on more than 150 underlying stocks and indices every day. Markit’s daily implied volatility data will be fully integrated into Lyxor’s processes relating to the net asset value (NAV) and end-of-day valuations of its structured funds.
Edouard Auché, Chief Operating Officer at Lyxor, said: “We selected Markit in light of the quality of its daily equity data which cover a wide range of underlying stocks around the world. Markit Daily Vol Equities gives our risk management and product control teams access to an independent data set to check traders’ marks and calculate daily fund NAV and P&L across our range of nearly 200 structured funds.”
Adam McIlroy, Product Manager, Markit Daily Vol Equities, at Markit said: “We are delighted to have been selected by Lyxor. Our implied volatility curves provide a comprehensive and high quality data set which can be used as part of our customers’ independent price verification processes for regulatory and auditing purposes.”
Markit’s Daily Vol Equities provides an independent source of daily implied volatility in EMEA, Asia-Pacific and the Americas. The data can be used to run risk reports, check dealer marks, analyse specific positions in depth and back test trading strategies.