We offer equity variance swaps that allow participants to trade ETF volatility by exchanging realised variance for a fixed rate, offering a clean way to take directional views on market volatility.
Equity Derivatives Data
Real-time and historical equity swaps pricing data across US, European and Asian markets, sourced directly from TP brokerage desks.
The Parameta Solutions difference
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A rich source of equity derivatives data
We exclusively partner with Global Markets Implied Volatility (GMIV) to provide the latest independent data and insights across major OTC equity derivatives markets.
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Single linear & non-linear packages
Establish a complete view of the equity derivatives market with a daily end-of-day report that includes both linear and non-linear prices in a single package.
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20+ years of historical data
We provide end-of-day and historical data dating back to 2014 to support with back and stress-testing strategies.
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Data delivered how & where you need it
Seamless and secure data delivery sent direct, via third‑party cloud providers or through your preferred platform.
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World leading liquidity venues
Our data service covers derivatives underwritten on major US, European and Asian indices including S&P 500, Russell 2000, Nasdaq 100, FTSE 100, Eurostoxx 50 and DAX 30.
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Strong data governance
Data is passed through rigorous quality control processes for accurate and reliable outputs.
Our Equity Derivatives Coverage
Variance swaps
Dividend swaps
We provide efficient exposure to index or single‑stock dividend expectations without holding the underlying, helping manage income‑related risks and opportunities.
Variance volatilities
Our equity variance volatilities reflect the market’s expectations of future index variability across tenors out to 20 years, incorporating the risk‑free rate, time to maturity and the dynamics of the underlying index.
Single‑Stock Equity Derivatives
Single‑name coverage delivers volatility, dividend and variance data for individual stocks, enabling precise analysis and trading of name‑specific risks.
Independent, Risk‑Based Insights for OTC Equity Derivatives
Parameta Solutions has partnered with Global Markets Implied Volatility (GMIV) to deliver independent, high‑quality data and analytics across major OTC equity derivatives markets. Built on listed options data and calibrated intraday using live broker quotes from TP ICAP, BGC, GFI and others, the dataset produces robust volatility surfaces with maturities of up to 20 years.
At its core, GMIV’s innovative cost model links volatility directly to observable market risks, gamma, vanna and volga, ensuring transparent, consistent and market‑realistic pricing. Clients gain access to high‑quality variance swaps, dividend swaps and volatility surfaces across global indices, ETFs and single-stocks, supporting confident pricing and risk management.
Data to support across the trade lifecycle
Pre-trade
Assess illiquid and complex markets, turn raw data into actionable insights and find alpha in opaque instruments.
Point-of-trade
Use real time data for price discovery and to assist with entry and exit decisions.
Post-trade
We provide data to compliance teams to monitor market activities in real-time and detect potential compliance violations.
Three easy ways to connect to our data
Direct
Instant access through API or SFTP channels.
Cloud delivery
Access via our cloud partners including Snowflake and AWS.
Channel partners
Connect via our extensive network of partners.
The numbers speak for themselves
20
+
years of historical data
7
+
currencies
15
+
indices
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Complete the form and tell us which asset class/instrument you would like to see.
FAQs on Equity Derivatives
Which indices are supported within your TP equities dataset?
Our equity coverage:
Europe
- Euro Stoxx 50 (SX5E)
- CAC 40 (France)
- DAX (Germany)
- FTSE MIB (Italy)
- FTSE 100 (UK)
- Stoxx 600 Banks (sx7e)
Asia
- Nikkei 225 (NKY)
- KOSPI 200 (KS200)
- Hang Seng Chinese Enterprise Index (HSCEI)
- Hang Seng Index (HSI)
Americas
- S&P 500 (SPX)
- Nasdaq 100 (NDX)
- Russell 2000 (RTY)
- Dow Jones Industrial Average (INDU)
- TSX Composite Index (TSX60)
- US ETFs
- US Single-Stocks
How is equity data delivered to clients?
We offer flexible delivery options to suit your infrastructure needs. Our data can be accessed via real-time streaming (WebSocket), snapshots (SFTP) and cloud delivery (Snowflake, AWS).
Which currencies do you support?
CAD, EUR, GBP, HKD, JPY, KRW, USD
What data fields do equity variance swaps cover?
- Strategy employed: Indicates the type of option or volatility instrument being considered (e.g., put, call). In a variance‑swap context, it identifies the option used to derive the implied volatility input.
- Implied repo rate: The interest rate implied by the pricing of the swap, reflecting the cost of borrowing or lending the underlying asset.
- Time to maturity: Time (in years) from the valuation date to the option/variance swap expiry.
- Strike price: The strike level of the listed option associated with this vol surface node.
- Dividend: Dividend yield or expected dividends used in forward price and vol surface calculations.
- Underlying index: Equity index on which the options/variance swap are written (e.g., TSX60).
- Premium: Option premium (if included). In vol surface data, this may store model derived or directly quoted option prices.
- Risk-free rate: The risk free interest rate applied for discounting and forward price construction—typically a government curve or OIS rate.
- Expiry date: The actual calendar date when the option or corresponding vol surface node expires.
- Currency: Currency in which the underlying and derivative are denominated (e.g., CAD).
- Tenor: The maturity bucket (e.g., 01M, 02M, 01Y, 02Y, 03Y) corresponding to the instrument’s expiry.
- Volatility: The implied volatility for that strike/tenor node, used to compute expected variance.
- Instrument description: Defines the type of instrument feeding the volatility surface, e.g., Volatility Surface, indicating the row corresponds to a vol surface node.
What data fields do Equity Dividend Swap cover?
- RIC – Reuters Instrument Code identifying the specific equity dividend swap contract.
- Instrument description – Description of the instrument, here indicating an Equity Dividend Swap.
- Mid-price – The mid-market price of the dividend swap, representing the fair value between bid and ask.
- Time-to-maturity – Time remaining until the dividend swap reaches expiry, expressed in years.
- Underlying index – Equity index on which the dividend swap is based (e.g., TSX60).
- Tenor – Length of the contract (e.g., 01Y for one year).
- Currency – Currency in which the swap is denominated.
- Expiry date – Date on which the dividend swap contract matures.
- Dividend – The implied or expected dividend level used for pricing the swap.
- Equity repo rate – The equity repo rate representing the cost of financing the underlying equity position.
- Risk-free rate – The risk-free interest rate used for discounting cash flows.
What data fields do Equity Index Volatility cover?
- Price description – Type of volatility instrument, e.g., Variance Swap, indicating the measure of equity index volatility.
- Price – Quoted level of the volatility instrument, typically the annualised variance or derived volatility price.
- Underlying index – The equity index for which the volatility measure applies (e.g., TSX60).
- Tenor – Contract maturity bucket (e.g., 01M, 02M, 01Y).
- Currency – Currency in which the volatility instrument is denominated.
- Dividend – Implied or forecast dividend yield used in volatility pricing.
- Repo – Equity repo rate representing cost of carry for the underlying index.
- Risk-free rate – Risk-free interest rate used for discounting and forward computations.
Can Parameta Solutions provide a high-level explanation of how TP ICAP prices are used to create the GMIV dataset?
GMIV primarily uses listed options data from exchanges as the foundation for calculating implied volatility surfaces. The Cost Model enables the calculation of curves for options with maturities of up to 20 years using this data. To improve accuracy, the model is calibrated intraday using live market quotes from brokers, especially for long-dated expiries.
Contributions from TP-ICAP:
- Live US intraday quotes – Used to calibrate the curves for longer maturities.
- Rate files for European and Asian markets – Provide the necessary risk-free rates and total yield data.
- Asian options data files – Used for additional calibration of Asian market curves.
How is the dividend data calculated?
The dividend yield is modeled as a continuous yield (percentage of the underlying asset’s price) that reduces the forward price.
- This yield is derived using implied total yields from listed options combos.
- The total yield includes both dividends and repo: total yield = dividend yield + repo.
- When dividend swaps are available, the repo rate is deduced from the total yield.
- If repo data is available, the repo is fitted and the dividend yield is inferred, which is generally consistent with the dividend swap market.
- If neither repo nor swaps exist, the total yield is used as a combination of both.
How does GMIV provide data for the Asian market and does it have a desk in the region?
GMIV does not have a desk in that location but operates during Asian hours to calibrate surfaces.
The volatility surfaces for the Asian market are mainly generated end-of-day (based on closing prices). Data sources include listed options on exchanges and TP ICAP files for additional calibration.
What unique insights does the GMIV data give to banks and buysides?
The GMIV Cost Model enables granular risk analysis by breaking down the implied volatility surface into separate costs for:
- Gamma (sensitivity to spot movements).
- Vanna (sensitivity to both volatility and spot).
- Volga (sensitivity to changes in volatility).
This approach allows users to:
- Dissect the total Theta (carry cost) into specific risk components.
- Perform historical and cross-market comparisons of risk costs.
- Construct pure exposure portfolios to hedge or speculate on specific risks.
In addition, GMIV provides its clients with independent, unbiased and fair value volatility curves that embed market information from the listed and OTC markets.
Could you provide more insight into what the repo rate published in your equity dataset represents and how it is calculated?
The Repo rate is known in the market as the borrow rate or the implied funding cost associated in holding a specified underlying derivative asset. It is often annualised as a percentage.
The repo rate is calculated as follows:
- Listed market options are examined, specifically combos, to determine the implied total yield. This total yield consists of two components: total yield = dividend yield + repo
- If dividend swaps are available (which is common for most indices), the repo rate can be calculated by subtracting the dividend yield from the total yield.
- If the repo rate is available for the specified derivative asset then these are incorporated directly into the model and used to calculate the dividend yield. There tends to be a strong correlation with the dividend swap market where it exists.
- If neither dividend swaps nor repo rates are available, the model relies on the total yield from the options market, which represents a combination of both the dividend yield and repo rate.
- For the underlying derivative asset(s) where longer-dated combos can be observed, the proprietary model calculates the corresponding repo rates. However it should be noted that these repo rates tend to be very similar for longer maturities, resulting in a flattening repo curve at the back end.