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

Other Datasets

Resources

• CME Datamine Home

• CME DataMine Post-Purchase Information

• CME DataMine Self-Service Platform

• Support

Dates Available

Historical data is not available for time prior to DataMine Launch 8/10/2021

Sample Files 

Products Available 

[Top]

FAQ

[Top]