30% off on any bulk data order in March 2019
REQUEST QUOTE Call + 1 (201) 275-1111 or email sales@ivolatility.com to order the data, or fill request form.
US Futures & Futures Options
  • All US traded futures (commodities, equity index, interest rates, etc..) and futures options
  • More than 600 US futures products
  • Over 100 US futures products with options
  • Over 350,000 US futures options
  • History starts December 2005.
European futures and futures options
  • Selective coverage of most popular futures and futures options in Europe from Oslo Bors, NYSE Euronext Paris, NASDAQ OMX Stockholm, NASDAQ OMX Copenhagen, EUREX Swiss Options and Financial Futures, EUREX Swiss Options and Financial Futures, EUREX Deutsche TerminBorse, NYSE Euronext Amsterdam, NYSE Euronext Brussel, Milan Stock Exchange (Borsa Italiana) including mini-Ibex, Euro Bobl, Euro Bund, Euro SCHATZ, etc...
  • Over 200 European futures products and up to 20 among them with options
  • Earliest history starts November 2011

  • Russian market FORTS, with futures and futures options traded on indices, energy, precious metals, FX, stocks, etc...
  • Over 100 FORTS futures products and up to 20 among them with options
  • FORTS history starts September 2009.
Asian futures and futures options
  • Futures and futures options from Hong Kong Futures Exchange, National Stock Exchange of India, Australian Securities Exchange, Sydney Futures Exchange, Korea Exchange (futures on KOSPI2 Index), Singapore Exchange, Tokyo Stock Exchange, Tokyo Stock Exchange, Taiwan Futures Exchange (futures on TWSE index)
  • Over 700 Asian futures products and 30+ among them with options
  • History starts November 2008
REQUEST QUOTE Call + 1 (201) 275-1111 or email sales@ivolatility.com to order the data, or fill request form.
IV_Global_Futures_Markets
Dataset US Samples Europe Samples Asia Samples
1. Futures prices. Sample of US Futures Prices Sample of European Futures Prices Sample of Asian Futures Prices
2. Options prices with volumes & OI.
Includes all options chains, all strikes, all expirations.
Sample of US Futures Options Prices With Volumes & OI Sample of European Futures Options Prices With Volumes & OI Sample of Asian Futures Options Prices With Volumes & OI
3. Raw Implied Volatilities (Raw IV).
Includes options prices with volume & OI, IV, Greeks for all strikes and expirations.
Sample of US Futures Raw IV Sample of European Futures Raw IV Sample of Asian Futures Raw IV
4. Implied Volatility Index (IVX).
An averaged ATM volatility measure for 7, 14, 21, 30, 60, 90, 120, 150, 180, 360, 720, 1080 days maturity.
Sample of US Futures IVX Sample of European Futures IVX Sample of Asian Futures IVX
5. Implied Volatility Surface by Moneyness.
A surface normalized by moneyness (from -60% strike to +60% strike with 5 % step) and 7, 14, 21, 30, 60, 90, 120, 150, 180, 360, 720, 1080 days maturity.
Sample of US Futures IV Surface By Moneyness Sample of European Futures IV Surface By Moneyness Sample of Asian Futures IV Surface By Moneyness
6. Implied Volatility Surface by Delta.
A surface normalized by delta (from 0.1 to 0.9 with 0.05 step) and 7, 14, 21, 30, 60, 90, 120, 150, 180, 360, 720, 1080 days maturity.
Sample of US Futures IV Surface By Delta
Sample of US Futures Raw IV Surface By Delta
Sample of European Futures IV Surface By Delta
Sample of European Futures Raw IV Surface By Delta
Sample of Asian Futures IV Surface By Delta
Sample of Asian Futures Raw IV Surface By Delta
7. Implied Volatility Parameterized Surface.
Smoothed by 2nd order equation volatility curves at each expiration (a,b,c curve coefficients).
Sample of US Futures IV Parameterized Surface Sample of European Futures IV Parameterized Surface Sample of Asian Futures IV Parameterized Surface
8. Historical Volatility.
Close-to-close and Parkinson's historical volatilities for different time periods.
Sample of US Futures Historical Volatility Sample of European Futures Historical Volatility Sample of Asian Futures Historical Volatility
9. Total futures volume and OI. Sample of US Total futures volume and OI Sample of European Total futures volume and OI Sample of Asian Total futures volume and OI
10. Total futures call/put options volume and OI.
Total volume calls, total volume puts, total volume calls+puts, total OI calls, total OI puts, total OI calls+puts.
Sample of US Total futures call/put options volume and OI Sample of European Total futures call/put options volume and OI Sample of Asian Total futures call/put options volume and OI
Data Delivery
Delivery is done via FTP or in cloud setup:
FTP delivery:
1) Data is delivered as csv files via ftp. No extra fee.
Samples of these files can be downloaded from the US, European or Asian Historical Database page.
2) Data is delivered as Managed Database. Two Managed Database delivery options are available:
2a) MS SQL Server or PostgreSQL format ($1000 one-time fee).
2b) A set of cross-referencing csv files importable into any relational database ($500 one-time fee).
In either type of Managed Database, data is delivered in the form of a database that contains a number of tables cross-referenced using internal instrument IDs. The database includes complimentary data on corporate actions, dividends and interest rates.
For MS SQL and PostgreSQL solutions (choice 2a), we include all scripts and utilities required to unpack data files on the client's side, create database structures, upload history to the database, and keep it updated using automatic replication jobs. The replication service provides data maintenance like adding new names, renaming that result from any corporate actions, maintaining market structure changes, and applying corrections to the history. The replication job is performed periodically at a scheduled time.
For other types of relational databases (choice 2b), we deliver the same data, but the client is responsible for setting up database structures, importing data, and setting up daily update jobs.
Cloud setup.
Cloud setup is available in Azur or Amazon providing access to our database installed in a cloud. Cloud service provides great flexibility in fast setup with the database, replacing building and supporting inhouse infrastructure required for that.
Data can be delivered via FTP either in a csv file or in a managed database format for easy upload into any kind of database (MSSQL, PostgreSQL, etc). Or cloud setup is available.
REQUEST QUOTE Call + 1 (201) 275-1111 or email sales@ivolatility.com to order the data, or fill request form.