Intraday Historical volatility, greeks and quotes

Historical intraday implied volatility with quotes, greeks, forward, spread. We also sell market data in partnership with Deutsche Boerse. Data start date : 04/2019 Sampling interval: 5 minutes Source : Eurex Format: Downloadable files. Scope: Indices (4) : Eurostoxx50, DAX, SMI, Eurostoxx Bank Stocks (48) : See list at the end of this description. Any Eurex listed stock can be added to the list. ##Content : Complete files (1 per quarter per underlying): detailed information for each strike. Summary file (1 per underlying): ATM implied vol, smile, implied dividend. One line per timestamp. 1/ Fitting Spline fitting of bid and offer separately 2/ Model Black And Scholes, unique volatility input (no local volatility). A price adjustment is computed for American calls in presence of a dividend in order to account for exercise optionality. This price adjustment is indicated in the “complete” files. 3/ Dividends The IV is calibrated using the dividends ex ante (the ones actually paid in fine). Uniform fiscal ratio of 93% applied to gross dividend. Forward level implied over all strikes of each maturity. 4/ Rates Risk free rate: ECB official rate curve Box rate: Implied based on Eurostoxx50. Available upon request. ##If you need help, contact us at: [email protected] List of available underlyings: Code Name OESX Eurostoxx50 ODAX DAX OSMI SMI (Swiss index) OESB Eurostoxx Banks OVS2 VSTOXX ITK AB Inbev ABBN ABB ASM ASML ADS Adidas AIR Air Liquide EAD Airbus ALV Allianz AXA Axa BAS BASF BBVD BBVA BMW BMW BNP BNP BAY Bayer DBK Deutsche Bank DB1 Deutsche Boerse DPW Deutsche Post DTE Deutsche Telekom EOA E.ON ENL5 Enel INN ING IBE Iberdrola IFX Infineon IES5 Intesa Sanpaolo PPX Kering LOR L Oreal MOH LVMH LIN Linde DAI Mercedes-Benz MUV2 Munich Re NESN Nestle NOVN Novartis PHI1 Philips REP Repsol ROG Roche SAP SAP SNW Sanofi BSD2 Santander SND Schneider SIE Siemens SGE Société Générale SREN Swiss Re TNE5 Telefonica TOTB TotalEnergies UBSN UBS CRI5 Unicredito SQU Vinci VO3 Volkswagen ANN Vonovia ZURN Zurich Insurance Group

搜集汇总

背景与挑战

背景概述

该数据集提供自2019年4月起的日内历史隐含波动率、希腊值、报价、远期和价差数据，采样间隔为5分钟，来源为Eurex，格式为可下载文件。覆盖范围包括4个主要指数和48只股票，数据通过样条拟合和Black-Scholes模型处理，并考虑了股息调整。