FX Volatility Surface Data Provider

Veegan · Post by **Veegan** » Thu Jul 05, 2007 3:43 pm

We are looking for a high-quality database of historical FX implied volatility surfaces for back-testing trades, research etc. over a wide universe of approx. 35 global currencies. A real-time volatility feed would be good too. I have found these people:

SuperDerivatives

Their FX product seems to fit the bill... Does anyone have any experience with it, opinions on it or suggestions for alternatives? All contributions gratefully received.

Thank you.

V.

FDAXHunter · Post by **FDAXHunter** » Thu Jul 05, 2007 3:57 pm

For [url=/Show%20Post.aspx?PostIDKey=90598]SuperDerivatives[/url] info, you might look at this thread (not that informative though).

Veegan · Post by **Veegan** » Thu Jul 05, 2007 6:21 pm

Thanks FDAX, but not much information there. I had a chat with the sales flunky in their London office and endured the usual buzzword-laden ("tier 1... putting quant teams out of business... no competitors... yada yada yada") gumpf and was after some boots-on-the-ground views.

V.

jungle · Post by **jungle** » Tue Jul 24, 2007 8:22 pm

Veegan,

Did you find any other providers? Any comments on those?

Veegan · Post by **Veegan** » Thu Jul 26, 2007 11:50 am

Hi J,

No, I got swamped with other stuff but will probably come back to it in the near future and continue using Bloomberg in the meantime.

V.

thefoolishfour · Post by **thefoolishfour** » Thu Jul 26, 2007 4:02 pm

Ahh, the classic BBG predicament.

So bad that you really want to find something else to use... But everything else looks awful as well.

jungle · Post by **jungle** » Thu Jul 26, 2007 5:08 pm

TFF - "everything" being? Not disagreeing, just interested to know what you've looked at. Email me if you don't want to post.

EDIT - Veegan, feel free to email me if you want an opinion on SuperDerivatives, as I've been trialling their product.

shaoui · Post by **shaoui** » Sun Sep 23, 2007 4:00 pm

Hello,

Are you looking for Histo and realtime High frequency database?

New to the field but the bank is using KDB+/q

It seems to be quite powerfull.

Have you heard about it?

See you

NeroTulip · Post by **NeroTulip** » Sun Sep 23, 2007 4:04 pm

Shaoui, are you the real shaoui?

pillz · Post by **pillz** » Fri Oct 26, 2007 7:16 pm

Have used SuperD before, they claimed to be THE benchmark for options. Their options pricing is a black box though. Their quotes are quite tight, and information is aggregated through several providers (they said think the larger banks as their sources, i suppose they mean they take all the banks quotes and aggregate them, in return they get a free account or smt)

But, back to the question, for backtesting, never done it with their data, although it looks good. Let me poke around to see what other databases I can find for FX ...