SD-Market Data for commodities and energy includes both pure OTC products and exchange traded products.

For OTC products, it includes ATM volatility from 1 day to 10 years, 25 delta and 10 delta collars and strangles, swaps curve, forward curves, deposit rates.

For exchange traded products, it includes implied volatility of all exchange traded strikes calculated on real time basis, as well as their OTC ATM volatility and 25 delta risk reversal and butterfly, future curve, OTC swaps curve. Where products have both futures market and a swaps market, SD-Market Data combines the two sources.

Sources of data includes a variety of sources around the world such as OTC brokers, utility companies, oil producers, power suppliers, gas suppliers, etc.

Typical number of sources for SD-Market Data for commodities and energy per instrument:

Exchange traded crude Oil, Oil products and natural gas:

• Swaps:  4-10 sources
• Futures: 6-12 sources
• ATM volatility up to 3 years: 6-12 sources
• ATM volatility 3-10 years: 4-8 sources
• 25 delta fences and strangles up to 3 years: 5-8 sources
• 25 delta fences and strangles 3-10 years: 3-5 sources

 

OTC (non exchange traded) crude Oil, Oil products and natural gas:

• Swaps:  3-7 sources
• ATM volatility up to 4 years: 3-6 sources
• 25 delta fences and strangles up to 4 years: 3-6 sources

 

Metals:

• Spot:  6-16 sources
• Forwards: 6-14 sources
• ATM volatility up to 3 years: 5-11 sources
• ATM volatility above 3 years: 4-8 sources
• Risk Reversals and butterfly up to 3 years: 4-9 sources
• Risk Reversals and butterfly above 3 years: 3-5 sources

 

Agriculture:

• Forwards and futures: 6-14 sources
• ATM volatility up to 3 years: 5-11 sources
• ATM volatility above 3 years: 4-8 sources
• Risk Reversals and butterfly up to 3 years: 4-9 sources
• Risk Reversals and butterfly above 3 years: 3-5 sources