Data Spotlight: IHS Markit Swaptions and BondCliQ

Data Spotlight: IHS Markit Swaptions and BondCliQ

10 November 2021
By Vera Shulgina

Introducing two new datasets, now available on the SigTech platform: IHS Markit Swaptions and BondCliQ. SigTech continuously onboards new datasets to the platform and makes them available in a validated, normalised format, presented in a user-friendly and unified data layer.

1. IHS Markit Swaptions

Implied interest rate swaption volatility surfaces are now available for backtesting across G10 currency curves, with volatility surfaces for over 20 currencies. The volatility surface is calibrated by blending interdealer brokers quotes with skew data sourced from the major market makers. The overall contributor base for this dataset is made up of 30+ market makers, top four inter-dealer brokers and 25+ exchanges. The volatility cube covers up to 30 year instruments for the most liquid currencies, and is sampled for a wide range of strikes. 10+ intraday snaps are available, with history back to 2007.

SigTech quantitative researcher Ilya German built an example rolling swaption straddle strategy using one of the building blocks on the SigTech platform below. The strategy trades a rolling straddle of 6Mx5Y ATM Swaptions, rolling every 4 months, with target total (absolute) vega of 5000. This yields a positive return being deployed from 2016 onwards, and could be utilized as a hedging vehicle in a volatility or credit based portfolio.

IHSMarkit Swaptions

2. BondCliQ

BondCliQ’s pre-trade corporate bond data is a centralized data set consisting of real time US High Grade and High Yield institutional quotes from 45+ dealers covering an average of 15,000 bonds per day. This unique dataset allows buyside users to see all prices regardless of trading counterparty permissions,and expands the available pricing for credit strategies.

BondCliQ now also offers investors the option of receiving the same data set with point in time equity tickerization, making it easier to incorporate the data into cross-asset signal building and strategy construction.

Below is a visualization of quote counts observed via the BondCliQ platform over a two month period. The consistent volume of quotes from a stable contributor base prevents overfitting in strategies utilizing the data.

BondCliQ

SigTech’s next-gen quant platform incorporates a wide range of curated datasets. We have partnered with many of the world’s leading data vendors, exchanges and data aggregators.

Get in touch with one of our data experts to learn more about the wide range of data and functionality available on the SigTech platform to accelerate deployment of new strategies.