Access deep, high‑quality ATM volatility surfaces across global swaption markets, empowering sophisticated rate‑volatility strategies backed by transparent, independent pricing. Designed for precision, our swaption offering helps clients navigate shifting rate environments with confidence.
Interest Rate Options Data
Exclusive non-linear data sourced from TP ICAP, the world’s largest interdealer broker, to assist with pre and post-trade analysis.
Interest rate Options data sourced from:
The Parameta Solutions difference
-
Data from the world’s largest IRO desks
Sourced from TP and ICAP interest rate options desks, we provide exclusive access to data from one of the largest interest rate options liquidity pools.
-
Deep Coverage & 30+ Years of history
We provide data covering volatility surfaces, premiums and strikes across ATM swaptions, ATM and OTM caps/floors and wedges. Our rich historical data dates back to 1993.
-
Broad coverage
We support spot and forward premiums, forward strikes, and both lognormal and normal volatility, available on annualised and daily bases.
-
Robust surfaces in illiquid markets
Even in illiquid markets, our volatility surfaces remain robust, transforming data into comprehensive and consistent surfaces across strikes and maturities.
-
Data delivered how & where you need it
Seamless and secure data delivery sent direct, via third‑party cloud providers or through your preferred platform.
-
Market‑Driven SABR Calibration
Our SABR calibration combines real‑time market input with disciplined parameter fitting to generate stable, trusted volatility surfaces.
Our Interest Rate Options Coverage
Swaptions
Caps/Floors
Protect portfolios and capture opportunity with comprehensive ATM and OTM cap/floor structures supported by robust volatility data. Our caps/floors offering helps clients manage rate uncertainty while optimising exposure across forward‑starting and spot-start markets.
Skews
Leverage rich skew data that illuminates market sentiment and tail‑risk pricing across OTM strikes. Our skew coverage enables more refined volatility positioning, scenario testing and advanced risk‑adjusted strategy design.
Wedges
Tap into unique wedge structures offering targeted exposure to curve shape, relative‑value shifts, and volatility dislocations. Our transparent wedge markets bring clarity to a complex options segment, enabling more nuanced and dynamic rate‑options strategies.
Constant Maturity Swap (CMS)
Enhance yield‑curve positioning and long‑rate strategies with comprehensive CMS instruments and options. Our CMS suite delivers high‑quality insights into forward‑looking curve dynamics and supports structured products.
Swaptions data from leading rates desks
In today’s rates markets, non‑linear products, especially options such as swaptions, caps/floors, and CMS, play a central role in managing rate volatility and shaping hedging strategies.
These instruments have become even more important in the post‑LIBOR environment, where markets rely on risk‑free rates and consistent, high‑quality data.
Parameta Solutions supports this need by providing robust, independent data across both linear swaps and a wide range of options, enabling deeper insight into volatility, pricing and risk dynamics.
Data to support across the trade lifecycle
Pre-trade
Assess illiquid and complex markets, turn raw data into actionable insights and find alpha in opaque instruments.
Point-of-trade
Use real time data for price discovery and to assist with entry and exit decisions.
Post-trade
We provide data to compliance teams to monitor market activities in real-time and detect potential compliance violations.
Three easy ways to connect to our data
Direct
Instant access through API or SFTP channels.
Cloud delivery
Access via our cloud partners such as Snowflake and AWS.
Channel partners
Connect via our extensive network of partners including LSEG, Bloomberg, S&P and ICE.
The numbers speak for themselves
30
+
years of historical data
30
+
currencies
1993
+
Data from
Get your data sample
Complete the form and tell us which asset class/instrument you would like to see.
Interest Rate Options FAQs
How do you source your interest rate options data?
Our data is generated through a proprietary internal pricing system that integrates live market data and broking activity from Tullet Prebon and ICAP interest rate options desks.
Our brokers are equipped with tools to identify the best-fitting SABR parameters based on real-time market activity. They also calibrate an extensive at-the-money volatility grid. Even in illiquid markets, the surfaces we produce are of high quality and trusted by market participants.
How is the interest rate options data delivered to clients?
We offer flexible delivery options to suit your infrastructure needs. Our data can be accessed via Fusion Insights platform, real-time streaming (WebSocket), snapshots (SFTP), cloud delivery (Snowflake, AWS), or through channel partners like Bloomberg, LSEG, S&P Global and ICE. Our team will work with you to determine the most efficient integration method.
How can interest rate options data be used for valuations?
Valuation teams can use our reliable pricing as an additional source to perform independent price verification to ensure that their securities and inventory are held at fair value.
How can interest rate data be used for hedging?
Corporations and financial institutions can use our reliable pricing for price discovery to protect against interest rate fluctuations or hedge existing IRS positions.
Who is the data suitable for?
The data is designed to support a broad spectrum of market participants such as banks, insurance companies, investment firms, exchanges, hedge funds, broker/dealers and risk managers by delivering reliable insights into current market conditions.
What are interest rate options used for?
Rising and fluctuating interest rates, along with ongoing uncertainty in global economic conditions such as inflationary pressures and geopolitical tensions, have been key drivers in the growth of the IRO market.
As market participants seek more sophisticated tools to manage volatility and hedge risk, demand for high-quality, transparent data has grown significantly.
How can interest rate options data be used for model calibration?
Being able to create good quality data in terms of the forward curves, implied vols and premium will help our customers avoid a lot of the time-consuming work that goes into sourcing underlying curves and the calculations required to turn the data into a volatility surface.
What are interest rate options?
Interest rate options are derivatives that give the holder the right, but not the obligation, to receive or pay a cash flow that depends on a future interest rate level.
They work similarly to equity options, but the underlying is an interest rate, not a stock.
How are interest rate options calculated?
Interest rate options are calculated by using the 4 key elements.:
- Forward rates (from forward curves)
- Discount factors (OIS curve)
- Volatilities (cap/floor surface, swaption cube)
- A pricing model (Black, SABR, LMM, or Monte‑Carlo)
The exact method depends on the product type:
- Caps/floors = sum of Black caplets/floorlets
- Swaptions = Black/SABR on swap rate & annuity
- Exotics = Monte‑Carlo using rate models
Can I request a data sample?
Yes, sample data can be provided as a flat file or a volatility surface. Please indicate the currency, IRO type (e.g., cap/floors, ATM or OTM swaption), critical analytics (e.g., spot premium, forward premium, strike, Nvol, Logvol) and date period required.
Do you provide implied volatility data?
Implied volatility (also known as black implied volatility, black vol, or lognormal vol) is available for caps/floors and swaptions. In addition, we also provide normal vol (bachelier volatility), which is better for handling low‑rate or negative‑rate regimes.
Skewness and size of the volatility surface may vary depending on the currency. Please contact us for a data sample for your currency of choice.
Insights
View all Insights
Inflation & Interest Rates
Riding the Wave of RMB IRD Growth in North Asia: Why independent, trade‑backed analytics make the difference
Inflation & Interest Rates
Accessing Interest Rates Data That Reflects Real Market Activity
Inflation & Interest Rates