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OCC selects Markit for implied volatility data on equities

09 January 2013  |  1370 views  |  0 Source: Markit

Markit, a leading, global financial information services company, today announced that it has been selected by OCC, the world's largest equity derivatives clearing organisation, to provide daily implied volatility data on the S&P 500 index.

OCC will use Markit's data, including implied volatilities, forwards and discount factors, as inputs in the calculations of prices for settlement of over-the-counter (OTC) equity options. The service provided to OCC will be based on the Markit Daily Vol - Equities service which covers major indices and single stocks in EMEA, Asia-Pacific, and the Americas.

Nigel Hyde, Managing Director and Global Head of Sell-Side Valuations and Fixed Income Pricing at Markit, said: "We have been collecting and returning OTC equity option data to the market for 15 years and are looking forward to working with OCC. We believe OCC, and other clearers in the longer term, will benefit from our robust and accurate data set and our ability to track prices on longer-dated, out-of-the-money and OTC options."

Michael E. Cahill, President and Chief Operating Officer at OCC, said: "OCC is pleased to partner with Markit as we prepare to bring to market the first clearing solution for OTC equity options. Having access to daily implied volatility data will help enhance OCC's precision in the valuation of OTC contracts."

Russell 2000 and NASDAQ 100 indices will be added to the service provided by Markit to OCC in Q1 2013 with the full flexibility to add additional securities as requested. 

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