The FX Options Vol Converter, powered by QuikStrike, calculates listed options pricing available on CME options into an OTC-equivalent volatility surface, allowing OTC users to easily compare pricing relationships between both options markets.
In the conversion process, the CME premium price for all strikes and maturities are adjusted, converted, and interpolated based on well-studied, quantitative option models and methodologies, resulting in a precise, continuous OTC-equivalent volatility surface for each currency pair.
The FX Options Vol Converter historical dataset provides intraday volatility surface updates at 8am and 3pm in London and New York respectively.
https://www.cmegroup.com/trading/fx/cme-fx-options-vol-converter.html#the-tool
Contents
- Block Trades
- End of Market Summary
- Eris PAI Dataset
- Market Depth
- MBO FIX
- BrokerTec Historical Data
- Time and Sales
- Top of Book - BBO
- Volume and Open Interest
- Order Book AI
- STL INT Settlements
- GovPX Historical Data
- Packet Capture Dataset
- GovPX End of Day Historical Data
- Premium FX Feed Historical Data
- SOFR Strip Rates
- CME Liquidity Tool Datasets
- EBS Historical Data
- Registrar
- Collateral Eligibility Lists
- CVOL
- CME Group Petroleum Index
- AIR Futures
- FX Options Vol Converter
- OTC IRS Curves
- CryptoQuant
- Fixing Prices
- Historical Margin Data
- Asian Gold Spot
- Settlements FAQ
- CME Term SOFR
- Daily Bulletin
- Commodities Indices
- Repo Fund Rates
- TFS-ICAP FX Options
- MXN Price Alignment Amount Rate
- Cleared OTC IRS
- FX Close Quotes
Dates Available
Historical data is not available for time prior to DataMine Launch 8/10/2021
Sample Files
| Report | Sample File |
|---|---|
JPU London 3pm | 8/9/2021 |
Products Available
| Currency Pair |
|---|
AUD/USD |
| CAD/USD |
| EUR/USD |
GBP/USD |
| JPY/USD |