More NewsJ.P. Morgan and The RiskMetrics Group Announce Currency and Precious Metals Product

J.P. Morgan and The RiskMetrics Group Announce Currency and Precious Metals Product

The release of implied volatility data will assist risk managers in assessing foreign exchange and precious metals risks. Using RMG’s existing DataMetrics application, risk managers will now be able to access the J.P. Morgan Foreign Exchange and Precious Metals Implied Volatilities database. The data set includes historical option prices for over 40 currency pairs, gold, and silver. Importantly, the data set also includes prices for options with different maturities as well as different strikes, commonly known in the market as the volatility smile. ‘Use of the Morgan data set will give risk managers a more accurate reflection of their FX and precious metals derivatives risk,’ said Phil Weisberg, head of Global Foreign Exchange and Precious Metals Derivatives at Morgan. ‘As a premier derivatives house, we are positioned to offer sophisticated, reliable data, including figures on implied volatility smiles.’

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