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

1 Dates Available
2 Sample Files
3 FAQ
- 3.1 Example
- 3.2 Example

Other Datasets

Resources

Dates Available

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

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Sample Files

Dataset	Sample File

Dataset	Sample File
TFS-ICAP FX Options	09/01/2023

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FAQ

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

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/NOK	NZD/USD	USD/KRW
AUD/CHF	EUR/NZD	TRY/JPY	USD/MXN
AUD/JPY	EUR/PLN	USD/AED	USD/NOK
AUD/NZD	EUR/SEK	USD/BRL	USD/PLN
AUD/USD	EUR/USD	USD/CAD	USD/QAR
CHF/ZAR	EUR/ZAR	USD/CHF	USD/RUB
EUR/AUD	GBP/AUD	USD/CNH	USD/SEK
EUR/CHF	GBP/CHF	USD/HKD	USD/SGD
EUR/CZK	GBP/JPY	USD/HUF	USD/THB
EUR/GBP	GBP/SEK	USD/IDR	USD/TRY
EUR/HUF	GBP/USD	USD/ILS	USD/TWD
EUR/ILS	NOK/SEK	USD/INR	USD/ZAR
EUR/JPY	NZD/CHF	USD/JPY

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.

How large are these files?

Files average approximately 2MB.

TFS-ICAP FX Options Interpretation

FIELD ORDER	TITLE	FORMAT	DESCRIPTION

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.

Put/Call Currency is the first currency in the pair
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.

Outright bid for Calls
Outright bid for Puts
Around Par, with a mid-point of zero
Around Par, favouring Puts
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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CME Group Client Systems Wiki

TFS-ICAP FX Options

Dates Available

Sample Files

FAQ

Example

Example

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