Tullett Prebon Information (TPI) has teamed up with Global Markets Implied Volatility (GMIV), a leading supplier of specialised services to Equity market participants, to launch a state of the art Equity Derivative pricing service.
This unique service delivers pricing for derivatives contracts written on North American and European equity indices including, S&P 500, Russell 2000, Nasdaq 100, Eurostoxx 50, DAX 30 and FTSE 100.
Pricing includes volatility surfaces, variance swaps and dividend swaps and can be delivered intra-day, with maturities from one month up to 20 years and strikes ranging from 10% to 400%
GMIV is a valuation and consulting company specialising in the equity and index options market. Their proprietary, unique and cutting-edge financial models enable them to provide their clients, market participants, with live and accurate indicative quotes on simple and complex, listed and over-the-counter options structure as well as variance swaps and dividend swaps.
It is this continuous interaction with key participants that ensures GMIV are at the very heart of the market with an unparalleled view of the trading and liquidity in the indices covered.
The TPI/GMIV Equity Derivative service leverages this expertise using proprietary GMIV models. These models are calibrated through direct market involvement with traders to observed market prices, producing uniquely valuable new data which are then run through a robust Data Quality process.
An option gives the holder the right to buy or sell an asset at a certain price at some point in the future. Options on equity indices are European in nature and cash settled.
We offer pricing across a range of options with differing strikes and maturities which make up the volatility surface for the respective index. An option struck above ATM will be a ‘call’ option and an option struck below ATM will be a ‘put’ option.
A variance swap is a contract in which two parties agree to exchange cash flows based on the observed volatility of the equity index.
The fixed leg of the swap will be a pre-specified volatility level agreed at inception. The floating leg of the swap will be the observed volatility of the index during the immediately preceding accrual period.
The contract is arranged such that its value at inception is zero, making the value of the fixed leg equal to the value of the floating leg, and therefore can be used to estimate market forecast of the volatility of the index over the life of the swap.
A dividend swap is a contract in which two parties agree to exchange cash flows based on the dividend yield of the equity index.
The fixed leg of the swap will be a pre-specified dividend yield agreed at inception and the floating leg of the swap will be the observed dividend of the index during the immediately preceding accrual period.
As with the variance swap, the contract is arranged such that its value at inception is zero, making the value of the fixed leg equal to the value of the floating leg, and therefore can be used to estimate market forecast of the dividend yield paid by the index over the life of the swap.