Interest Rate Options Data

Observable, indicative rates with 30+ years of historical data and comprehensive coverage across 300,000+ records and 30+ currencies. Construct your interest rate surface with ease using our data packages.

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Our Interest Rate Options Data

Interest rate options data packages from Parameta Solutions are primarily based on observations from regional interest rate options desks. Brokers are provided with tools to discover the best fitting set of SABR parameters given their market observations.

Our data sets cover a range of asset types, including Swaptions, Caps & Floors, and Constant Maturity Swaps. To ensure the accuracy of our options data we also provide historical data as far back as 1993.

Key Benefits

Explore the benefits of our interest rate volatility data.

01

Observable, Indicative Rates

Receive independent and reliable prices which are bank-verified, enabling you to execute trades with confidence whilst risk managers can monitor, identify, measure, analyse, and mitigate market risk with reliable inputs.

02

Comprehensive Coverage

Access over 300,000+ records and 30+ currencies covering volatility surfaces, premiums and strikes for over 20 instrument types. Swaption skews are +/- 400bps* out, so that clients have access to pricing even for illiquid out-of-the-money tenors.

03

Broad Analytics Coverage

Analytic fields supported include spot and forward premiums, forward strikes, lognormal volatility, normal volatility (both annualised and daily), allowing you to choose the best view/strategy suitable for your trading style.

04

Improved Model Calibration

Reduce time-consuming work sourcing underlying curves and the calculations required to turn data into a volatility surfaces.

Data Highlights

300K+

records

30+

currencies

30+

years historical data

Coverage Details

Request a Data Sample

Coverage Details

Request a Data Sample

Record Count

300,000+

Regions

AMER, APAC, EMEA

Sub-Asset Types

Swaptions
Cap/Floors
Constant Maturity Swaps

Currencies

USD, CAD, MXN, AUD, CNH, CNY, HKD, IDR, INR, JPY, KRW, MYR, NZD, PHP, SGD, THB*, TWD*, AED, CHF, CZK, DKK, EUR, GBP, HUF, NOK, PLN, SAR, SEK, TRY, ZAR

*both deliverable and non-deliverable options are available

History Start Date

Variable, historical data as far back as April 1993

Brands

TP, ICAP, Totan ICAP

Field Count

Variable

Direct Delivery Options

WebSocket, SFTP, Snowflake

Third Party/Channel Options

Bloomberg, Blackrock, BT Radianz, Chainlink, Cogencis, FactSet, FIS, ICE, IRESS, KG ZEROIN, KOSCOM, LSEG, QUICK, S&P (CapIQ), SIX Telekurs, Yonhap

Update Frequency

Real-Time, Intraday, End-of-Day

All figures are sourced from the Parameta Data Inventory as of 1 April 2025.

Insights

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Insights

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Interest Rate Options Data

Our Interest Rate Options Data

Key Benefits

Observable, Indicative Rates

Comprehensive Coverage

Broad Analytics Coverage

Improved Model Calibration

Interest Rate Volatilty Data

Data Highlights

Data Highlights

Coverage Details

Coverage Details

Record Count

Regions

Sub-Asset Types

Currencies

History Start Date

Brands

Field Count

Direct Delivery Options

Third Party/Channel Options

Update Frequency

Insights

Insights

Using Inflation Swaps for a more targeted inflation hedge

Volatility Returns: Interest Rate Options in a Policy-Driven Market

Record- breaking activity in USD rates markets, still led by spreadover trades.