Ken Veksler
In a world of record low FX volatility, how should you be trading and where can you find yield and quality? Ken Veksler, who's got nearly twenty years of trading experience, gives his forthright opinions.
Squawk / 12 June 2016 at 18:56 GMT
United Kingdom
hi, what information does this site use to get its option data, whats the source? I love what you do here!

Also does anyone know where i can find information like this, risk reversals, ATM IV 1wk 1mth etc (but in more detail) on any other sites? i dont mind paying.

12 June
Juhani Huopainen Juhani Huopainen
FX implied volatilities are available from several sources, but it does cost. Bloomberg, Reuters are the two most obvious sources. Outside those, Olsendata, GFI Market Data have what you are after.
12 June
Myles Crouch Anderson Myles Crouch Anderson
ah yes i know BBG and RTRS but i dont have £20,000 a year. How much do the other sources cost? im surprised its so expensive.. adding up the vols and finding the average, it shocking a website doesnt offer such information for a reasonable $30 a month subscription to be honest
16 June
Juhani Huopainen Juhani Huopainen
OTC data IS expensive, and the cheaper alternatives have the trouble of being possibly less reliable.

One cheap and effective way would be to use the exchange-listed FOREX options and futures. Their historical price data is much, much cheaper.

With the futures- and option prices, you could calculate the implied volatilities for the listed maturities and strikes, and then use that data to interpolate the regular 1month, 3 month, 25-delta etc implied volatilities.

It would be cheaper, but there would be a lot of work to be done. The plus side is, working with the data would build up data handling skills and give you intuitive understanding of the volatility behavior.

Unfortunately, the process of transforming the listed option prices to OTC equivalent implied volatilities is also prone to errors.


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