FX Options Vol Converter

Owned by
CME Group
Apr 26, 2024
2 min read

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

Dates Available

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



Sample Files 

Report

Sample File

Report

Sample File

JPU London 3pm

8/9/2021




Products Available 

Currency Pair

Currency Pair

AUD/USD

CAD/USD

EUR/USD

GBP/USD

JPY/USD





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FAQ

What is the file format of this data?

  • The files come in CSV format.

How many files are available per day?

  • 4 files are delivered during each day

What is the delivery frequency of the data?

  • New data will be made available 4 times during each trading day.

What time will the files be delivered each day?

  1. 8am GMT  - London

  2. 8am EST - New York

  3. 3pm GMT - London

  4. 3pm EST - New York

Are the files compressed?

  • No

What is the size of each file?

  • 4KB

Are sample files available?

  • Yes. See above

Where can I find more information and a user guide for the FX Options Vol Converter?

Is there a certain process I must use to be able to use the data?







How is Implied Volatility represented?

  • Decimal format. For example, 5% IV is represented as .05





Field Name

Excel Column

Example Value

Supported Values

Description

Field Name

Excel Column

Example Value

Supported Values

Description

snap_time

A

8/5/2021 19:00

m/d/yyyy h:mm

Snapshot Timig dn GMT

tenor

B

1D

String

Expiration Bucket by Time 

expiry_date

C

8/6/2021

m/d/yyyy

Expiration Date

dte

D

1

integer

Days to Expiration

forward

E

109.7555681

decimal

Forward reference price

option_type

F

USD Call (JPY Put)

String

Option Definition

bid10d

G

0.067359578

Decimal

10 delta Implied Volatility Bid

mid10d

H

0.090380474

Decimal

10 delta Implied Volatility Mid

ask10d

I

0.099029755

Decimal

10 delta Implied Volatility Ask

bid25d

J

0.066613348

Decimal

25 delta Implied Volatility Bid

mid25d

K

0.082751953

Decimal

25 delta Implied Volatility Mid

ask25d

L

0.09148863

Decimal

25 delta Implied Volatility Ask

bid50d

M

0.066137787

Decimal

50 delta Implied Volatility Bid

mid50d

N

0.079183

Decimal

50delta Implied Volatility Mid

ask50d

O

0.087327609

Decimal

50 delta Implied Volatility Ask

bid75d

P

0.087328

Decimal

75 delta Implied Volatility Bid

mid75d

Q

0.08043148

Decimal

75 delta Implied Volatility Mid

ask75d

R

0.087299746

Decimal

75 delta Implied Volatility Ask

bid90d

S

0.066248

Decimal

90 delta Implied Volatility Bid

mid90d

T

0.085790846

Decimal

90 delta Implied Volatility Mid

ask90d

U

0.090821093

Decimal

90 delta Implied Volatility Ask

mid25rr


V

0.002320474

Decimal

25 Delta Risk Revesal Implied Volatility Mid (Call - Put)

mid20rr

W

0.004589628

Decimal

20 Delta Risk Revesal Implied Volatility Mid (Call - Put)

mid25bf

X

0.002409031

Decimal

25 Delta Butterfly Implied Volatility Mid (Wings - 2ATM)

mid10bf

Y

0.008902975

Decimal

10 Delta Butterfly Implied Volatility Mid (Wings - 2ATM)

























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