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Finding Swaption Implied Volatility Surfaces and Data Access

Article Quant Q&A · Author: VolSurfing
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Summary

The document compares ways to access interest rate swaption implied volatility data. It points to a daily volatility surface published by CME and describes Bloomberg screens that provide normalized or at-the-money-forward volatility across option expiries, swap tenors, currencies, and strikes. The Bloomberg data can be exported or accessed through its data products and APIs.

Other options mentioned include dealer platforms such as Barclays Live and Morgan Markets, as well as a commercial service offering swaption and cap volatility surfaces calibrated with SABR. The service is described as providing regularly updated grids suitable for interpolation. These are user-reported recommendations rather than a systematic comparison: the document gives no pricing tests, coverage audit, or independent assessment of data quality. Historical open access is identified as a limitation, and availability may depend on subscriptions or institutional access.

Key ideas

  • CME is cited as a source for a daily swaption volatility surface.
  • Bloomberg screens can expose swaption volatility by expiry, underlying swap tenor, currency, and strike.
  • Dealer platforms are suggested as alternatives to Bloomberg, though access may require a subscription.
  • A commercial volatility service is described as supplying SABR-calibrated grids for swaptions and caps.
  • The answers do not establish broad open access to historical data or independently compare source quality.

Tags

Fixed incomeOptionsVolatilityDerivatives pricing
Full text
# Where can I find open swaption implied volatility data?


# Where can I find open swaption implied volatility data?












Anyone have a good place to find interest rate swaption implied volatility data? Does Bloomberg's python API allow access?

## Answer by Helin (score 6)

https://quant.stackexchange.com/a/29908

CME publishes its volatility surface daily on their FTP: CME Vol Surface.

Unfortunately I know of no open APIs that would get you historical data. I'd recommend looking at Barclays Live or Morgan Markets if you don't have access to Bloomberg (volatilty data quality is higher on these dealer sites anyways).

## Answer by AlRacoon (score 2)

https://quant.stackexchange.com/a/51556

Bloomberg's VCUB screen provides swaption normalized vol for options with maturities from 1M - 25Yr for underlying swaps ranging from 1Yr - 30Yr for a large number of currencies. It also allows you to change the tenor of the Index and the strikes. You can export the data and tickers to excel.

## Answer by user79168 (score 1)

https://quant.stackexchange.com/a/54161

I am using FinPricing data service API for both swaption implied volatility surfaces and cap implied volatility surfaces. It supports both C# and Java. They use SABR model for calibration and generate so fine-granular data grids that users can use linear interpolation directly without arbitrage. Data are updated every day.

## Answer by oldcolonial (score 0)

https://quant.stackexchange.com/a/51554

The BBerg NSV screens are a good place to start. They present atmf implied vols for a variety of developed markets in a cube. Each element of the cube has ticker. These tickers move throughout the day in response to trading activity. The tickers should all be available via the BBerg data products which has an assortment of API's depending on what flavor of code you are using on your end.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.