Implied Volatility Data
Morningstar Commodities & Energy now offers implied volatility data, which help establish the relative value of an option. Morningstar calculates implied volatilities and stores volatility surfaces, saving clients time. Morningstar also calculates implied correlations between securities and stores correlation surfaces, which are derived from
- Easy-to-use data
- Black-Sholes or Asian Options
- Market-implied correlations from
(available on request)
- More than 30 feeds, including:
Volatility data can feed downstream
energy trading and risk management
systems to help calculate value-at-risk.
Implied volatility helps originators or
structured deals set and
Valuing and managing portfolios can be
using implied volatility and historical information.
Morningstar implied volatilities draw on extensive database, which means they can
be used for analytics such as volatility smiles and skew modeling.