Historical FX Vol Data

ytfloyd · August 15th, 2005, 10:27 pm

Hi all - Does anybody have any experience with Reuters' historical currency options data? I am wondering if it is reliable enough for volatility backtesting. Any and all thoughts are very much appreciated. Chrs,Russell

Optron · August 17th, 2005, 12:07 am

Not really great, but I believe that is the best you have around.

quantstudent19 · August 18th, 2005, 9:09 pm

Why not great?i was actually comparing Reuters and internal data for correl, and found they had nthg to do with each other i thought internal one was probably wrong... is there any problem with reuters data?

ytfloyd · August 19th, 2005, 8:10 pm

Are you saying reuters data is not correlated to your internal data? that sounds like a problem.... I can only find daily fx vol data back to 2003 in reuters. Do you know any way to get more than that?

quantstudent19 · August 19th, 2005, 9:06 pm

no they are correlated, but they re not exactly the same (up to 10% difference, for the historical monthly correlation between 2 major ccy pairs... scary) anyway... same here, went back to 2003 onlyif its not in reuters, i dont think it'll be pbulicly available anywhere else every bank has its own data, but... confidential

ytfloyd · August 20th, 2005, 2:02 pm

do think that is probably from different sampling times? i've been sampling around 1pm Ldn. How about you?