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 spread options.


Key Benefits

Risk

Volatility data can feed downstream
energy trading and risk management
systems to help calculate value-at-risk.

Valuation

Implied volatility helps originators or buyers of
structured deals set and understand parameters.

Trading

Valuing and managing portfolios can be more precise
using implied volatility and historical information.

Advanced Analytics

Morningstar implied volatilities draw on extensive database, which means they can be used for analytics such as volatility smiles and skew modeling.