SD-Market Data for FX includes ATM volatility from 1 day to 30 years, 25 delta and 10 delta risk reversals and butterfly, forward curves, deposit rates, yield curves and the spot market.

SD covers the widest variety of currency pairs including major G7 crosses, emerging markets and onshore and offshore currencies. It takes into account the liquidity of a cross and the reliability of its contributions.

The bid/offer spread of every market data parameter is also taken into account in order to reflect the real-time market condition. The data can be marked to indicate freshness, status, contributor, if the volatility is cross calculated from historical correlation, and whether previous data has been overwritten.

By default, SD uses real-time market rates for each currency pair. For each supported currency pair, irrespective of how the data is received, SD stores its market rates in a term structure. 

In addition to leading global data vendors, SD utilises a network of market makers, interbank FX brokers and local brokers, which contribute data directly to SD. 

The spot rates, forward points, deposits and ATM implied volatilities, risk reversals and butterflies are combined from different sources to provide a true market rate that does not reflect any one single bank but rather the true market conditions. The SD Market Data team sources the data only from institutions that are known to be expert in their area of contribution. For example, in some emerging markets the volatility source includes mainly local brokers that specialise in their local currency. If a certain source happens to be significantly different than the majority, it is questioned by the market data team and usually excluded.

Typical number of sources for SD-Market Data for FX per instrument:

G7:

• Spot:  6-20 sources
• Forwards: 6-20 sources
• ATM volatility up to 5 years: 6-12 sources
• ATM volatility 5-15 years: 4-8 sources
• ATM volatility 15-30 years: 3-5 sources
• Risk Reversals and butterfly up to 5 years: 5-10 sources
• Risk Reversals and butterfly 5-15 years: 3-6 sources
• Risk Reversals and butterfly up to 5 years: 3-5 sources

 

Emerging markets:

• 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

 

For illiquid currency pairs where there are inadequate suppliers of acceptable, reliable data, SD calculates the ATM, risk reversal and butterfly partly based on correlation and algorithms. The calculated data is colour-coded on the system so that users are fully aware of it.