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FX Volatility Data

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FX Implied Volatility Sample Data

FinPricing offers the following curves for various currencies via API:

• OIS curves
• RFR (risk free rate) curves
• SOFR, €STR (ESTR, ESTER), SONIA, TONA, CORRA, AONIA, SARON curves
• IBOR curves
• Swap rate curves
• Basis curves
• Spot rate or zero rate curves
• Forward rate curves
• Discount curves
• Inflation Swap rate (CPI, RPI, HICP) curves
• FX volatility surface
• Precious metal volatility surface
• FX spot rate
• FX forward points
• Nordic electricity futures curve
• VIX futures curve
• S&P 500 futures curve

FX volatility surface is represented by three quantities: at-the-money (ATM) volatility, risk reversal, and butterfly. The ATM volatility is where the delta of call option is equal to the delta of put option. A risk reversal refers to the difference between the volatility of the call option and the put option at the same moneyness level, while a butterfly spread is the difference between the average volatility of the call and put options with the same moneyness level and ATM volatility.

An FX implied volatility surface sample data is shown below:

• Swap rate curves
• SOFR curves
• OIS curves
• interest rate curves
• Inflation swap rate curves
• Forward yield curves
• FX forward curve
• FX vol surface