ICAP EQUITY DERIVATIVES - ICAP Information Services

ICAP Internal Use (For External Distribution)
ICAP EQUITY DERIVATIVES
DATA STRUCTURE & DISPLAY
ICAP Equity Derivatives volatility surfaces, forward curves and variance swaps are generated by ICAP London, using data from the
interdealer equity derivatives market, global exchanges and enhanced calculation techniques.
The ICAP Equity derivatives surfaces and curves are recalculated daily between 16.30 and 17.00 EST using that day’s trade data
from Asia, London and New York. The verified data is delivered in End of Day file format for valuation and risk management
purposes.
This document is designed to detail the ICAP record and field structure and content for these instruments.
EQUITY DERIVATIVES - CONTENT
Indices
AEX, DAX, ESTOXX50, FTSE100, S&P500, RUSSELL 2K, NASDAQ 100,
HSCEI, HIS, KOSPI 200, NIKKEI 225, TOPIX, CAC
Instrument
Equity Index Volatilities
Quote Type
Volatility and Strike (price)
Maturities
Out to 10 years
Strikes
5% - 400% (%Spot)
Indices
AEX, DAX, ESTOXX50, FTSE100, S&P500, RUSSELL 2K, NASDAQ 100,
HSCEI, HIS, KOSPI 200, NIKKEI 225, TOPIX, CAC
Equity Index Forwards
Forward Price
Out to 10 years
Instrument
Quote Type
Maturities
Indices
Instrument
Quote Type
Maturities
AEX, DAX, ESTOXX50, FTSE100, S&P500, RUSSELL 2K, NASDAQ 100,
HSCEI, HIS, KOSPI 200, NIKKEI 225, TOPIX, CAC
Equity Index Variance Swaps
Strike
Out to 10 years
ICAP INSTRUMENT / RECORD FORMAT
●
Volatilities:
each ICAP record represents an option maturity, plus a strike represented by an
offset (in percentage terms) to the current ATM
●
Forwards:
each ICAP record represents, a given maturity, accompanied by the forward price
●
Variances swaps:
each ICAP record represents a given maturity, accompanied by the fair strike on that date
ICAP RECORD FORMAT
VOLATILITY
SURFACES
FIELD NAME
DESCRIPTION
EXAMPLE
Record
Individual data point defined by the maturity and the strike percentage
Strike Pct
Strike as a percentage of the current ATM
Strike
Price of the Strike offset
Volatility
Volatility of the defined maturity and strike percentage
Maturity
Option maturity date
26/09/2014
Date
Date of data generation
25/09/2014
22/10/2014
AEXEQVOLC1_50
0.5
208.625
2.273457799
ICAP INFORMATION SERVICES Page 1 of 2
ICAP Internal Use (For External Distribution)
VARIANCE SWAPS
FIELD NAME
DESCRIPTION
Record
Individual data point representing the fair strike as apercentage on the
given maturity date
Maturity
Maturity date
Fair Strike
Strike represented as a percentage of the current ATM
Date
Date of data generation
EXAMPLE
TOPXVARSWPC1
26/09/2014
0.136435509
25/09/2014
FORWARDS
FIELD NAME
DESCRIPTION
Record
Individual data point representing the Forward value on the given maturity
date
Maturity
Maturity date
Forward
Calculated forward value on maturity date given
Date
Date of data generation
EXAMPLE
TOPXFWDC1
26/09/2014
1336.965357
25/09/2014
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Email [email protected] or visit www.icapinfo.com
© ICAP plc 2014. All information contained herein and any opinions expressed in it, have been derived from sources believed to be reliable and in good faith they are not to be relied upon as
authoritative or taken in substitution for the exercise of your own commercial judgment. The information is directed to Eligible Counterparties and Professional Customers only and is not intended for
Retail Clients (as each term is defined by the rules of the Financial Conduct Authority ("FCA")) or equivalent in a relevant jurisdiction and is the intellectual property of ICAP plc and/or one of its
group companies (“ICAP”). This information has no regard to specific investment objectives. Any opinions expressed in it are subject to change without notice and may differ from opinions
expressed by other areas of the ICAP group. This information is not, and should not be construed as, an offer or solicitation to sell or buy any product, investment, security or any other financial
instrument. ICAP does not make any representation or warranty, express or implied, as to the accuracy, completeness or correctness of this information. ICAP does not accept any liability for any
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22/10/2014
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