Volatility Surfaces inputVolatilityType

paul.mcallister1

Could someone please explain the difference between Implied and Quoted for inputVolatilityType on the surfaces API endpoint:

https://api.edp.thomsonreuters.com/data/quantitative-analytics-curves-and-surfaces/v1/surfaces

From API documentation page:

inputVolatilityTypeenumThe enumerate specifies the type of volatility used to build the surface.

• Quoted
• Implied
• Settle (deprecated)

From an older PDF (outdated)

inputVolatilityType Enumerate This enumerate specify if the generation of the volatility is done from the implied volatility calculated from the latest quote or from the settlement volatility from the previous close. The available values are: Implied, Settle.

Is it correct to assume that:

Implied - calculated from previous close (same as "Settle")

Quoted - calculated from latest quote (used to be "implied")?

Also, trying to relate these options to the Equity Volatility Surface Eikon app, are the Volatilty Type options there analagous to the API options?

Settlement IV (eikon) -> Implied (API)?

Mid IV (eikon) -> Quoted (API)?

Gurpreet

Hello @paul.mcallister1,

We are only able to answer technical API question on these forums. Here is an article on Instrument Pricing Analysis. If this information is not sufficient, I would recommend that you open a content support ticket at myRefinitiv.

paul.mcallister1

Also, trying to relate these options to the Equity Volatility Surface Eikon app, are the Volatilty Type options there analagous to the API options?

Settlement IV (eikon) -> Implied (API)?

Mid IV (eikon) -> Quoted (API)?

Maciej.Jasinski

Quoted - uses ready solution of analytics calculated IVs distributed directly to option FIDs, quicker and recommended if this solution is already exploited

Implied - calculated on the fly by our QPS, slower but may remove any model compatibility concerns raised by the above