real time implied volatility

enginkuru · November 8th, 2005, 10:07 am

Does anyone know an investment bank or any other financial institution that provides real time implied volatility, especially for fx options?

FlyingQuant · November 8th, 2005, 10:10 am

sure all of them do, but only if you're willing to get ripped off on their quotes.

jfl · November 8th, 2005, 12:23 pm

You could keep asking for a two-way market, but then you can't assume the average is true mid - it would be their bias.

apine · November 8th, 2005, 1:50 pm

first, what are your needs? does it have to be very precise? it may be fine to use the electronic markets from the cme. they are wide, but it is probably good enough for indications. you would need to convert price to implied, though. you could also try an interdealer broker. i don't trade f/x so i am not sure who the right broker would be or what it would cost.

enginkuru · November 9th, 2005, 9:55 am

Thx for the replies...To be more precise I especially need implied vols of options on1) GBY/JPY2) XAG/USD I already found for other fx. Any suggestions?

ldrage · November 9th, 2005, 11:25 am

For GBP/JPY try GBPJPYVOL in Reuters.The interbank silver market is small and my experience is that most broker/bank Reuters pages show wide and frequently out of date vols for silver. Silver options are traded on COMEX and you can pick up option premiums from Reuters (0#SI+) and convert them back to implied vols. The silver option market is illiquid compared to fx markets and Comex only trades from 1320 to 1830 London time. Beware of old quotes and quotes for very small volumes (generally made by floor locals).