| Markit Daily Vol Equities provides a source of daily equity volatility information that fulfills independent price verification requirements under most regulatory and auditing standards. |
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| Product summary: |
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Markit's Daily Vol Equities service covers the major indices and single stocks in EMEA, Asia-Pacific, and the Americas. The service provides implied volatilities, forwards and discount factors out to a maximum of 10 years for Equity indices, and 5 years for single stocks. The strike range runs from 50% to 150% for each maturity.
The composite volatility curves are produced based on the closing option prices from a number of major sell-side institutions. These curves provide a consistent and comprehensive data set with an emphasis on high quality. |
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| Key benefits: |
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| Replaces the need to analyse numerous datasets often containing stale or incorrect prices currently provided by brokers, trading platforms and trading houses |
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| Gives risk management and product control an data set to independently check traders' marks |
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| Lessens vulnerability to a single counterparty |
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| The daily implied volatility data can be used by quantitative analysts to test new models for accuracy and reliability |
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| Provides building blocks for modeling more complex structured products |
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| Enables accurate and independent calculation of daily P&L |
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| Key functions: |
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| Source: direct from the major sell-side market maker's trading systems |
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| Cleaning: Markit's cleaning algorithms ensure any erroneous data is removed from the published data |
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| Review: checks for stale data, skew and term structure shape, distance from consensus and mispriced dividends |
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| Content: Black Scholes volatility based on closing European option prices. Discount factors and forwards are also provided to enable accurate calculation of implied dividends |
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| Delivery: direct XML, excel or .csv file download from Markit's secure website |
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| Results: available overnight by no later than 7:00am the following morning |
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