fx_implied_vol
Get FX implied volatility from vanilla options disseminated by DTCC.
Examples
from openbb import obb
obb.cftc.fx_implied_vol(provider='cftc')
# Get the USDJPY implied-volatility smile by tenor.
obb.cftc.fx_implied_vol(pair='USDJPY', provider='cftc')
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.
Returns
results: CftcFxImpliedVol
Serializable results.
provider: str | None
Provider name.
warnings: Optional[list[Warning_]]
List of warnings.
chart: Optional[Chart]
Chart object.
extra: dict[str, Any]
Extra info.
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.