FX Options strikes in large notional amounts, when close to the current spot level, can have a magnetic effect on spot prices. That is, spot may trend around those strikes as the holders of the options will aggressively hedge the underlying delta. Red strikes indicate sizeable open interest close to the current forex spot rate. Historic Volatility : Large differences in implied quoted for option prices and historic realised, i. These charts show one month historic volatility versus the one month at-the-money volatility quoted by the market for option prices.

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Risk Reversal vs. Spot : Risk reversals show the relative price difference between puts downside expectation and calls upside expectation. This chart illustrates the historic relationship between one month delta risk reversals versus the underlying spot rate. Fixed Income Prices The Fixed Income Pricing Service provides clients with a daily source of independent prices for valuations, portfolio analytics, best execution reporting, and risk management calculations.

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Data Description The FXoption Volatility Data Service supplies daily volatility surfaces for FXoptions, including skew, across 30 global currencies and precious metals. Swaption Volatility Data The Swaption Volatility Data Service provides clients with a daily source of independent interest rate volatility data for valuations, portfolio analytics and risk management calculations. Data Description The Swaption Volatility Data Service supplies daily normalized volatility cubes for interest rate swaptions, including skew, across many popular global currencies.

Volatilities are expressed in basis points and correspond to standardized cube nodes, including: At-the-Money ATM strikes, and out-of-the-money strikes specified as positive and negative offsets of the ATM forward rate in 25, 50, , and basis point increments Standard option tenors, typically from 1 month to 30 years Standard swap tenors, typically from 1 year to 30 years Delivery Frequency Swaption volatility data is available on an intraday or end-of-day basis.

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