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TFS-ICAP FX Options

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This topic describes TFS-ICAP FX Options for CME Group DataMine.

The TFS-ICAP FX Options package provides unparalleled market data, offering the most widely sought-after prices available in over 50 currency pairs.

The TFS-ICAP FX Options market data package offers indicative At the Money Straddles and a full volatility surface for 10 and 25 Delta Butterflies and Risk Reversals from Overnight to 1 Year on all currency pairs, with long dated ATMs out to 20 Years for the most liquid pairs.

Contents

Other Datasets

Resources

Dates Available

TFS-ICAP FX Options data is available from September 2003.

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Sample Files

Dataset

Sample File

TFS-ICAP FX Options

09/01/2023

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FAQ

 TFS-ICAP FX Options FAQ Format

What format is the file delivered in?

Data is provided in .csv format (comma separated values).

Are files compressed?

No.

What is the filename?

TFSICAP_FXOptions_tick_yyyymmdd.csv

 TFS-ICAP FX Options FAQ Availability

Do you have sample files available?

Yes, see Sample Files section.

How many files are available per day?

One individual file is available daily. 

What time are the files available each day?

Monday - Sunday: approximately 5:30 p.m. GMT

What data is available in the data files?

  • ATM (At the Money) Straddles  - A strike nearest to the current underlying market price; buying and selling a call and put on that strike with the same expiry.
  • 10 & 25 Delta Butterflies - Difference between the average volatility of a call price and put price with the same expiry.  How far the average vol of 10 or 25 delta call and 10 or 25 delta put is away from the ATM level.
    • Butterfly 25 = (25 Delta Call + 25 Delta Put) / 2 - ATM     
  • 10 & 25 Delta Risk Reversals - Difference between the volatility of a call price and a put price at the same money vol level / expiry.  A positive risk reversal means the implied volatility of calls is greater than the implied volatility of similar puts.
    • 25 Delta Risk Reversal = 25 delta call - 25 delta put 

What currency pairs are available?

AUD/CAD    EUR/NOKNZD/USDUSD/KRW
AUD/CHF EUR/NZDTRY/JPYUSD/MXN
AUD/JPYEUR/PLNUSD/AEDUSD/NOK
AUD/NZDEUR/SEKUSD/BRLUSD/PLN
AUD/USDEUR/USDUSD/CADUSD/QAR
CHF/ZAREUR/ZARUSD/CHFUSD/RUB
EUR/AUDGBP/AUDUSD/CNHUSD/SEK
EUR/CHFGBP/CHFUSD/HKDUSD/SGD
EUR/CZKGBP/JPYUSD/HUFUSD/THB
EUR/GBPGBP/SEKUSD/IDRUSD/TRY
EUR/HUFGBP/USDUSD/ILSUSD/TWD
EUR/ILSNOK/SEKUSD/INRUSD/ZAR
EUR/JPYNZD/CHFUSD/JPY
 TFS-ICAP FX Options FAQ Delivery

Is the data sourced from CME Group?

The TFS-ICAP FX options business resulted from the integration of Tradition-ICAP and Volbroker and was formed by a bank owned consortium in 2000.  All of the data in the files are sourced from the TFS-ICAP global FX Options trading platform.

 TFS-ICAP FX Options FAQ Interpretation

How large are these files?

Files average approximately 2MB.

TFS-ICAP FX Options Interpretation

FIELD ORDER

TITLE

FORMAT

DESCRIPTION

1

Timestamp

YYYY/MM/DD/HH:MM:SS:sss

Calendar date for the event

Time in GMT 24-hour format 

2

Currency

BBB/LLL

Currency pair - contains FIX tag "Symbol"

BBB=base currency

LLL=quoted currency

Please see additional notes below

3

Description

Alpha Numeric


4

Record

AlphaNumeric

Currency Code + Tenor

5

Ask

Numeric

Ask Price

6

AskText

Numeric

Risk Reversal 

7

Bid

Numeric

Bid Price 

8

BidText

Numeric

Risk Reversal

9

Currency Code

Numeric

Numeric code 1-2

Please see additional notes below 

10

Pricing Convention 

Numeric

Numeric code 1-5

Please see additional notes below 

"CurrencyCode"

Used for Risk Reversals, to state whether the quoted price is in terms of Puts or Calls, for the first or second currency in the pair. 

  1.       Put/Call Currency is the first currency in the pair
  2.       Put/Call Currency is the second currency in the pair

Example

  •         EURUSD has CurrencyCode=1, so the Put/Call Currency is EUR. 
  •         USDJPY has CurrencyCode=2, so the Put/Call Currency is JPY.  (As a rule, all USD-based pairs have the Put/Call Currency as the counter-currency).

"PricingConvention"

This is used to reflect whether the price is outright bid (i.e. both the bid and the offer are positive), or whether the price is ‘around par’, i.e. the bid is negative and the offer is positive.

This should then be used with the CurrencyCode to determine which is the Put/Call Currency.

  1.       Outright bid for Calls
  2.       Outright bid for Puts
  3.       Around Par, with a mid-point of zero
  4.       Around Par, favouring Puts
  5.       Around Par, favouring Calls

Example

If we take row 3777 from the sample file, you will see that this is an AUD/CAD 6 Month 10 Delta Risk Reversal.

The CurrencyCode=1 therefore this is in reference to AUD Puts and Calls and the PricingConvention=4 meaning the price is Around Par, favoring Puts (from above, this is AUD Puts).

The price is therefore -0.25  / 2.15 for AUD Puts.  This gives a midpoint of 1.2 vols, favoring AUD Puts (-0.25 + 2.15) / 2.


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