Market Data

The EOX Market Data Difference

Market data reports cover nearly all asset classes brokered through OTCGH member firms. The data offering is designed to provide timely, accurate and consistent data for usage in pre-trade analysis, mark-to-market valuation and trade reconciliation. A unique feature of the market data is the fusion of trades and quotes along with public data that is then processed by an algorithm to produce granular and unbiased data.

Data is available via email, FTP and through select 3rd party data distributors.

Methodology

Forward Curves:

The forward curve algorithm uses trades, quotes, publically available settle data, ISO/RTO data and known historical information. Those inputs provide the shapes, spreads and historical correlations necessary to generate granular data. Data is shaped along the entirety of the curves using the liquid front seasons. Granular curve shapes allow more accurate pricing of individual contract months.

Spreads are utilized for illiquid products to provide the inputs for formulaic pricing. Further, correlations are utilized to interpolate day over day changes when necessary. Implied day over day changes keep the curves in line with the overall trend(s) of the market in absence of trades or quotes.

Implied Volatilities:

The implied volatility algorithm uses trades, quotes, publicly available settle data and historical data. Utilizing those inputs the algorithm cleans and calculates implied volatilities for each individual price. Time spreads and historical relationships are used to create synthetic implied volatilities when no options data is available.