FX OPTION historical data

haver · April 19th, 2005, 1:48 pm

As the title itself implies I am looking for FX option historical data and I am interested more particularly on implied volatilities for these options, but even price will be good for me because I can compute implied volatilitites through prices for these options. Where can I find such information, if anyone can give me an answer.

Optron · April 22nd, 2005, 2:10 pm

You can download the Implied Vol data through any Data Feed System - Reuters/Bloomberg.Attached is sample close values of historical data of 1-month EUR/USD Implied Vols obtained from Reuters.

haver · April 23rd, 2005, 8:54 am

Thanks. I finally found the data I needed using the Datastream.

NickLeeson · December 30th, 2005, 1:29 am

Hi haver,I am also after the same kind of data, I was hoping you could point me in the right direction and tell me a little about datastream?I appreciate all help anyone can offer.Cheers.

haver · December 31st, 2005, 10:26 am

QuoteOriginally posted by: NickLeesonHi haver,I am also after the same kind of data, I was hoping you could point me in the right direction and tell me a little about datastream?I appreciate all help anyone can offer.Cheers.Hi Nick,It's been since April I haven't used Datastream because since then I had no access to any datastream database. As far as I can remember using datastream was similar to other databases like bloomberg or reuters. When I had problems I called their offices for help. I am sorry I can't be of much help but I hadn't access to datastream for almost 9 months I don't remember much.

JamesH83 · January 2nd, 2006, 4:50 pm

Datastream only provide implied vol for ATM options, right?

haver · January 3rd, 2006, 8:05 pm

As far as I can remember I found implied volatilities only for interest rate caps which are by definition ATM. I couldn't find implied volatilites for fx options.

NickLeeson · January 4th, 2006, 5:56 am

So this begs the question....where have all these other researchers sourced their data from????I know some have affiliations with IB's obtaining info from friend/co-worker, but I'm sure not every student has an IB contact. I'm certain some students have managed to source the info from some data-provider?PLEASE if there is anyone out there who knows can you please help out? I am willing to pay for the data if necessary!Cheers.

htmlballsup · January 4th, 2006, 8:04 am

http://www.bba.org.uk/bba/jsp/polopoly. ... 5&a=799The FX conventions use delta as standard for measuring how far otm you are (so quates arent as dependant on spot values) and risk reversal and butterfly to get a handle on the form of the vol surface.

NickLeeson · January 5th, 2006, 9:17 am

Hi htmlballsup,Thanks for your help, I'm aware of the market conventions, I am trying to construct a model for the volatility surface for the AUD/USD spot.In doing so I am trying to find as much info as possible...I,m looking for volatility quotes on ATM, 10, 25 delta RR and flys on 1day, 1week, 2 week, 3week, 1month, 3month, 6month, 9month, 1yr vanilla options..Importantly im looking for intraday-day data with with quote/transaction times (volume would be a bonus), to match up with my tic by tic underlying data.Now I am happy to pay for this information, however I'm finding it exceedingly difficult to find any...thats why I am hopefull someone from this forum could let me know a vendor or perhaps someone willing to sell the data???Any help would be greatly appreciated!Cheers.

benjordan · January 5th, 2006, 2:37 pm

Nick,There is no source which will provide that information mainly because there is no centralised trading source. You could make some friends with some bookies who might give you some information but it would be incomplete at best. Most banks wou;ldn't store vol tic data and volume data only closing lvls.ben

htmlballsup · January 5th, 2006, 3:28 pm

I though there was a company who specialised in collating derivative quotes from IBS and then supplying them back so they can see how they are doing? I tried to find the name - but unfortunately google is sh*T of late.This is an issue with all OTC derivatives - pricing transparency is pretty poor which is part of the recent why they arent used as widely as they could be. Its not like we're talking about revealing prices in real time here.

NickLeeson · January 6th, 2006, 3:08 am

htmlballsup - Thankyou so much for all of your help I appreciate your efforts!I guess my last question to the forum/benjordan is...What is the most comprehensive fx option data and where is it available from?Oh yeah, thanks again for the URL to BBA htmlballsup! It's the best I've seen...I just wish it had more volatility quotes across time and deltaCheers!