ICAP partners with Prism Valuation to launch equity derivatives pricing service


Interdealer broker ICAP has partnered with Toronto-based Prism Valuation to create ICAP Equity Derivatives – an end-of-day, premium data product. ICAP Equity Derivatives content includes volatility surfaces, variance swap curves and forward curves for the top 13 global equity indices, with maturities from one month up to 10 years and strikes between 5% and 400% of spot.

The full press release follows and can also be seen here.

ICAP Information Services launches ICAP Equity Derivatives premium pricing service

London, New York, 18 November 2014 – ICAP Information Services (IIS), the information division of ICAP, announces today that it has launched ICAP Equity Derivatives, an end-of-day, premium data product. Content includes volatility surfaces, variance swap curves and forward curves for the top 13 global equity indices, with maturities from one month up to 10 years and strikes between 5% and 400% of spot.

In launching this new product, ICAP has partnered with industry specialists Prism Valuation, to deliver a market-leading, accurate pricing and volatility service.

ICAP Equity Derivatives uses enhanced calculation and extrapolation techniques along with listed option data from exchanges, historical ICAP trade data and the variance swap curve to create an investment model which is calibrated and verified using daily ICAP trade data. The surfaces and curves are recalculated at the end of each day, based on the daily observed activity from the Asian, European and American markets. The product is then delivered in an End of Day file format that can then be downloaded via FTP site or emailed via a CSV file at 17.30 EST each day.

Kevin Taylor, Managing Director IIS said “ICAP Equity Derivatives provides investment managers with sophisticated valuation tools that enable them to conduct accurate portfolio analysis, forecast volatility and hedge against risk in the OTC equity derivatives markets. We believe that our new product provides our customers with the most comprehensive view of how equity derivatives and indices are traded in the financial markets.”

ICAP Information Services (IIS) is the market data & price information division of ICAP Group and delivers independent OTC data solutions to financial professionals for real-time, end-of-day and historical products. ICAP’s data is the intelligence behind algorithmic trading, research models, risk and compliance applications and portfolio pricing and management. With volume traded by ICAP from over 30 countries being fed into our data products, IIS delivers 96,000 instruments generating over 300 million updates per day.

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ICAP partners with Prism Valuation to launch equity derivatives pricing service

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