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/Index/Parameta Solutions/Model-free implied volatility indices for USD interest rate swaptions
PS

Model-free implied volatility indices for USD interest rate swaptions

PARAMETA SOLUTIONSManage supplier listing

Model-free implied volatility indices for USD interest rate swaptions (48 liquid option-expiry/swap-tenor combinations), derived from ICAP's US Interest Rate Options Desk swaption prices — a proprietary OTC derivatives pricing/analytics product, not freely available

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Parameta Solutions/Model-free implied volatility indices for USD interest rate swaptions
SampleCoverage

Sample

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Coverage

Universe, instruments and categories.

Industry
Financial Exchanges & Data
Instruments
derivativesfixed_income
Categories
PriceAlternative
Regions
USUK
Sample tickers
JPMGSMSCBCS
Dataset card
Type
not stated
Format
Tabular
Volume
48 indices published daily since inception ~Jan 3, 2017 — roughly 9 years of daily history, on the order of 100K+ index data points before counting underlying strike-level inputs
Users
N/A — institutional B2B index/data subscription product, not a registered-user consumer platform
History
9 years
Update frequency
not stated
Growth
Mature (established index product since 2017 under TP ICAP's Parameta Solutions data arm) with Active recent output — methodology paper and related insights published through 2025
Launched
2017 (index inception “largely 03 Jan 2017” per document)
Delivery
not stated
Entity mapping
not stated
Sample
not stated
Point-in-time
not stated
Licence
not stated

supplier index read from their site

Parameta Solutions has not added their own details yet. Not yet on file:

  • Dataset
  • Data dictionary
  • Coverage
  • Provenance
  • Rights & data handling