Options
What are options?​
Financial options are contracts that give the holder the right, but not the obligation, to buy (a call) or sell (a put) an underlying asset, such as a commodity future, at a specified price (the strike price) up to an expiry date. Options are used for hedging and speculative purposes.
What is options data used for?​
Options data is used to:
- Value the options you hold (settlement prices)
- Build volatility smiles and surfaces (implied volatilities by strike and maturity)
- Hedge the options you hold (deltas)
- Follow the market (open interest and traded volume)
What does options data look like?​
Options data has:
- An ondate, the date the options were settled
- A list of tenors (maturities of the underlying future), each with an expiry date
- For each tenor, an option chain: one row per strike, with the call and put values side by side
Example​
The ICE Endex EUA futures options on the 16th September 2026, September 2026 maturity (expiry 23rd September 2026):
| Strike | Call settle | Call vol | Call delta | Put settle | Put vol | Put delta |
|---|---|---|---|---|---|---|
| 80 | 5.20 | 24.10 | 0.91 | |||
| 85 | 0.91 | 22.08 | 0.4662 | 1.05 | 22.50 | -0.5338 |
| 90 | 5.00 | 21.00 | -0.95 |
Implied Volatility​
Implied volatility (IV) of an option is calculated by solving for the volatility input in a pricing model (such as Black-Scholes) that would produce a theoretical option price equal to the market price of the option. This process typically involves numerical methods, such as bisection, Newton-Raphson, or a more sophisticated method, such as an iterative procedure. IV is considered implied because it is derived from the market price of an option rather than being directly observable.
More information​
Some links with further information about options: