FC - Rupee Options Volatility Matrix

FBIL announces the benchmark matrix of FC-Rupee Options Volatilities for five tenors of 1- week, 1-month, 3-month, 6-month and 12-month on a daily basis except Saturdays, Sundays and public holidays. The matrix is determined on the basis of data obtained through a poll among participating banks out of FBIL's list of identified submitters. The CCIL acts as the Calculating Agent. The matrix is announced at 6 PM every day. However, if the rate submission time is extended due to non-fulfillment of threshold criteria, the dissemination time may get suitably extended.


Historic Data
1 Week
 
1 Month
 
3 Months
 
6 Months
 
12 Months
 
Date               Time        Period       Bid ATM VolsAsk ATM VolsMid ATM Vols25D RR25D STRComments
07 Aug 2020 3:00:00 PM1 WEEK4.35 %5.20 %4.78 %0.26 %0.12 % 
07 Aug 2020 3:00:00 PM1 MONTH5.01 %5.38 %5.20 %0.35 %0.13 % 
07 Aug 2020 3:00:00 PM3 MONTHS5.80 %6.30 %6.05 %0.44 %0.21 % 
07 Aug 2020 3:00:00 PM6 MONTHS5.83 %6.21 %6.02 %0.55 %0.29 % 
07 Aug 2020 3:00:00 PM12 MONTHS5.91 %6.29 %6.10 %0.60 %0.34 % 
06 Aug 2020 3:00:00 PM1 WEEK4.43 %5.29 %4.86 %0.26 %0.11 % 
06 Aug 2020 3:00:00 PM1 MONTH4.96 %5.49 %5.23 %0.36 %0.13 % 
06 Aug 2020 3:00:00 PM3 MONTHS5.77 %6.25 %6.01 %0.45 %0.22 % 
06 Aug 2020 3:00:00 PM6 MONTHS5.85 %6.22 %6.04 %0.55 %0.29 % 
06 Aug 2020 3:00:00 PM12 MONTHS5.89 %6.24 %6.07 %0.60 %0.33 % 
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Disclaimer

"By accessing and using the benchmark, the user agrees that the benchmark is provided on an “as is” basis and without any warranties (expressed or implied) of any kind, including but not limited to warranties of accuracy, completeness, timeliness, reliability, fitness for a particular purpose or merchantability of any part of the benchmarks. In no event shall FBIL be liable for any loss, cost or damage arising out of or related to the access or use of any part of the benchmark."