Cftc Fx Implied Vol

---

Implementation details

Class names

Model name	Parameters class	Data class
CftcFxImpliedVol	CftcFxImpliedVolQueryParams	CftcFxImpliedVolData

Import Statement

from openbb_core.provider.standard_models. import (
CftcFxImpliedVolData,
CftcFxImpliedVolQueryParams,
)

Parameters

• standard
• cftc

pair: str | None
Default: EURUSD
Currency pair, in market quoting convention. Limited to the pairs whose options are reported to the CFTC in enough depth to build a surface each day. The USD/EM pairs (USDBRL, USDKRW, ...) are built from non-deliverable options against a spot and forward taken from the reported non-deliverable forwards.

basis: str | None
Default: empirical
How the surface is built: 'empirical' medians the traded options at each grid strike (gaps where nothing traded); 'theoretical' fits a lognormal-SABR smile per expiry and evaluates it on the grid (smooth, gap-free).

date: date | None
Dissemination date (UTC) of the options. Defaults to the most recent published. History is retained for 366 days.

min_trades: int | None
Default: 3
Minimum trades for an OIS curve node used to price the rate legs.

use_cache: bool | None
Default: True
Cache the source data locally, revalidating against the source ETag.

Data

• standard
• cftc

date: date | str
Dissemination date of the options.

pair: str
Currency pair.

strike: float
Strike price of the underlying, on a grid of offsets from spot.

strike_offset: float
The strike's distance from spot, positive above spot: in points for a deliverable major, in basis points of spot for a non-deliverable USD/EM pair.

vol_1w: float | None
1-week implied volatility at the strike, in percent (5.4 is 5.4%).

vol_2w: float | None
2-week implied volatility at the strike, in percent (5.4 is 5.4%).

vol_1m: float | None
1-month implied volatility at the strike, in percent (5.4 is 5.4%).

vol_2m: float | None
2-month implied volatility at the strike, in percent (5.4 is 5.4%).

vol_3m: float | None
3-month implied volatility at the strike, in percent (5.4 is 5.4%).

vol_6m: float | None
6-month implied volatility at the strike, in percent (5.4 is 5.4%).

vol_9m: float | None
9-month implied volatility at the strike, in percent (5.4 is 5.4%).

vol_1y: float | None
1-year implied volatility at the strike, in percent (5.4 is 5.4%).

vol_2y: float | None
2-year implied volatility at the strike, in percent (5.4 is 5.4%).

num_options: int
Number of options aggregated into the strike row, across expiries.