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Derivatives Data | Derived

Exchange Derivatives - Option Volatility Surfaces

Option volatility surface data for exchange derivatives, supporting valuation inputs and volatility analysis workflows.

  1. Key facts
  2. Overview
  3. Description
  4. Access
  5. All categories
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Key facts for Exchange Derivatives - Option Volatility Surfaces

Coverage metric

Geography:
North America, Asia / Pacific, EMEA, Latin America and the Caribbean
History:
ATM volatility indices from 2008; RIC surfaces from 2013
Coverage count:
8k pdts client can request surfaces via IPA API. RIC volatility 165 major instruments long time series. Datastream ∼2.5k all asset types eod pricing. Workspace SURF∼3k equity, index name,F&O developed
Asset Class
Mini Futures (AssetClass), Bond & STIR Futures & Options, FX & Money, Forex, Futures, Fixed Income, Company Options, Equity Derivatives, Derivatives, Commodity Derivatives, Options, Commodities, Equities

Delivery metadata

Data Frequency
Continuous
Language
English
Delivery methods:
Excel, Deployed/Onsite Servers, API, Web Service, SFTP, Cloud, Desktop, FTP, Bulk, Snowflake, Website
Data formats:
PDF, GZIP, XML, JSON, CSV, SQL, Text, Python, MPEG, HTML, Bitmap, User Interface, PCAP
Minimum service frequency
Continuous

Overview of Exchange Derivatives - Option Volatility Surfaces

Description of the dataset

  • LSEG provides option volatility surfaces that bring together volatility smile and term structure information in a three-dimensional view of implied volatility for a given underlying asset. We support real-time workflows for customers who need to assess changing option market expectations as conditions evolve.
  • Our volatility surface analytics help option traders identify areas where relative implied volatilities appear misaligned across strikes and expiries. LSEG enables customers to use these surfaces as inputs for option pricing, valuation checks and portfolio risk assessment.
  • We deliver exchange-traded volatility surfaces across multiple product suites, including Workspace, Workspace Excel, real-time feeds, DataScope Select, Datastream and analytics APIs. Our delivery options help customers request surfaces on demand or integrate them directly into enterprise workflows.
  • LSEG combines real-time surface creation capabilities with long time series histories available through Datastream. We help customers connect current volatility structure with historical context for modelling, backtesting and trading strategy evaluation.

Accessing the dataset

This dataset can be used by the following products. Talk to us to learn more about different packages and offerings.

Datastream Data Loader (DDL)
Batch file delivery service of Datastream content using SFTP. Customers define required instruments, fields and file layouts, and retrieve files when updated data is available, on a schedule, or on demand for integration into internal databases and workflows.
  • Data formats:
    • PDF, CSV, HTML
  • Delivery methods:
    • API, SFTP, Desktop
  • Minimum service frequency:
    • End of Day
  • Service Frequency Description:
    • Daily, Real Time, Weekly

All categories

Full list of all categories