# Volatility Trading Resources — Practical Stack **Created:** 2026-07-04 (Session 15, Block 010 carry-forward) **Phase:** Phase 1 (Rates) — Block 010 (yield vol / swaption surface) **Source:** User-driven resource compilation, Block 010 ZN surface rep **Status:** Working reference — to be re-checked quarterly for tool viability and pricing changes **Purpose:** Stack of websites, software, and data sources for monitoring and trading vol across asset classes (rates, FX, equity, credit, commodities). Organized by tier (free → paid institutional → self-build), with explicit cadence recommendations. **Caveat:** Pricing on paid tiers is approximate and changes frequently. Verify before committing to any subscription. --- ## Tier 1 — Free, no account required (start here) ### CME (the free workhorse for rates) - **CME FedWatch** (cmegroup.com/markets/interest-rates/cme-fedwatch.html) — extracts implied Fed funds path from Fed funds futures. Free, real-time. The standard tool for "what is the market pricing for Fed cuts/hikes." - **CME SOFRWatch** — same logic for SOFR, post-LIBOR transition. Use this now; FedWatch is more historical. - **CME TreasuryWatch** — Treasury futures analytics including invoice swap spreads, yield calculation, and curve tools. - **CME CVOL Indices** (cmegroup.com/market-data/cme-group-benchmark-administration/cme-group-volatility-indexes-faq.html) — 30-day implied vol indices for 2y/5y/10y/30y Treasuries, plus aggregates. Free real-time. Equivalent of VIX for Treasuries. **Daily regime check.** - **CME QuikStrike / QuikVol** (free tier via Bantix) — vol surface in strike, delta, and moneyness space. 5-45 delta RR + BF. 5y history. **Closest free equivalent to Bloomberg VCUB for rates vol.** - **CME Cross-Currency Basis Watch** — cross-currency basis in real time. Useful for FX vol-traders monitoring basis as a vol proxy. - **CME FTP for vol surface** (ftp.cmegroup.com/irs/) — daily swaption surface CSV. Free, raw, no UI. For data-pipeline oriented. ### Equity / general - **Barchart** (barchart.com/futures/quotes/ZN*0/volatility-greeks) — ZN/ZB/ZF options chains, IV rank, IV percentile, implied vs realized. Free tier shows ATM and a few strikes. Good for the daily ZN rep. - **TradingView** with FX_IDC tickers (e.g., `FX_IDC:EURUSDIV1M` for 1M ATM IV on EUR/USD) — free tier gives ATM IV. Overlay against HV to spot vol regimes. - **TYVIX** (CBOE/CBOT 10y Treasury VIX, on Investing.com) — older index, but quoted alongside CVOL. Cross-check CVOL against TYVIX for regime consistency. - **Investing.com FX Options section** — IV tables by tenor (O/N, 1W, 1M, 3M, 6M, 1Y). Updated intraday. ### FX (the free workhorse for FX vol) - **Saxo Bank FX Options Analyser** (home.saxo/rates-and-conditions/forex/options) — accessible without account, covers EUR/USD, GBP/USD, USD/JPY. 25Δ RR + BF + term structure. **Best free FX vol surface tool.** - **Natixis FX Research on X/Twitter** (@NatixisFX) — publishes 25Δ RR charts for majors weekly with commentary. Free, high quality. --- ## Tier 2 — Retail / paid-but-affordable - **CrossVol** (crossvol.com) — built by a 17-year vol desk trader. Free EOD tier, paid live. Vol surfaces across equities, FX, rates, credit, commodities. Includes GEX (dealer gamma exposure), DTCC swaps repository, CFTC COT, unusual options. **Single-tool alternative to Bloomberg for less.** Most credible option in this tier. - **Refinitiv (LSEG) Workspace** — 30-day free trial, then paid. Full vol surface. The trial-only use case (one month per year) is enough to learn. Has the cleanest FX vol surface data via LSEG MCP. - **Trading Volatility API** — for the Bloomberg-style gamma/structure dashboard. Developer-facing. --- ## Tier 3 — Institutional / serious data - **Bloomberg VCUB / NSV** — gold standard. RR/BF in delta space, term structure, vol history. $24k+/yr. Only justified if trading vol for real. - **SQX Swaption Volatility Data** (sqx.com/swaption-volatilities) — SABR-calibrated cubes for 20+ currencies, USD up to 30y option tenor × 30y swap tenor. 5y history. $5K+/yr. For systematic rates-vol trader. - **TraditionData** (traditiondata.com) — swaptions and FX options data from brokerage desks. Real-time. Institutional pricing. - **Data In Harmony** (datainharmony.com/financial-data/swaption-volatility-data/) — daily normalized vol cubes, SABR-calibrated, 20 currencies. - **FinPricing** (finpricing.com) — swaption vol surface API, SABR-calibrated, 55 countries. Streaming API delivery. --- ## Tier 4 — Self-build / quant - **QuantLib-Python** (quantlib-python-docs.readthedocs.io) — full SABR, Black, Bachelier, Hull-White swaption engines. Free. De facto standard for quant vol work. - **pySABR** (github.com/ynouri/pysabr) — Hagan 2002 SABR implementation in Python with Excel wrapper. Free. - **MiniKetch/vol-surface** (github.com/miniketch/vol-surface) — C++ math kernel + Python orchestration + Streamlit dashboard. SVI fitting, RR/BF computation, mispricing scanner. Self-hosted. **Most relevant self-build option for home trader.** Runs locally, can plug in custom data sources. - **valerian-drmt/fx-volatility-trading-system** (github.com/valerian-drmt/fx-volatility-trading-system) — full EUR/USD FX options desk tool, SVI/SSVI/GARCH/HAR-RV, GMM regime detector, PCA surface signal, IB Gateway execution. Reference architecture only — heavy infrastructure (Postgres, Redis, Docker compose, 10 containers). - **VOLSCAN** (github.com/jwolberg/volscan) — self-hosted React + Node.js dashboard for gamma structure, skew, expected moves. Free-tier Trading Volatility API compatible. --- ## Tier 5 — Reference books - **Castagna, *FX Options and Smile Risk*** — canonical FX vol surface reference. Practitioner, not academic. Ch. 2-3 are foundational for surface structure. - **Hull, *Options, Futures, and Other Derivatives* (10e)** Ch. 28 + 31 — the textbook. First principles, not for trading. - **Rebonato, *Interest-Rate Option Models* / *Volatility and Correlation*** — rates-vol canon. Older (1990s-2000s) but the SABR exposition is the original. Worth a re-read for SABR mechanics. - **Ilmanen, *Expected Returns*** — already in macro book project. Ch. 13 (currency carry) bridges to vol. --- ## Recommended cadence (no Bloomberg) ### Daily (1 min) - CME CVOL index + CME FedWatch/SOFRWatch for cut-probability - Barchart ZN options page for ATM IV - Quick visual: where is TYVIX vs 52-wk range? ### Weekly (15 min) - Saxo Bank FX Options Analyser — EUR/USD, GBP/USD, USD/JPY 25Δ RR + BF. Note the direction and magnitude. - CME QuikStrike free tier — 5y×5y USD swaption ATM, 25Δ RR, 25Δ BF. Note the skew. - Compare to last week: surface shift in delta space (not strike space). ### Monthly (30 min) - Compile weekly notes into a surface-moves log. Look for regime patterns (steepening skew, compressing BF, vol-of-vol regime change). - Cross-check: does the SOFRWatch cut probability match your ATM receiver extraction from the surface? ### Quarterly - Refinitiv 30-day trial (once/year) for full VCUB cube. Cross-check your QuikStrike numbers against institutional data. - Update this resource node: pricing changes, new tools, dead links. ### When you actually trade vol - CrossVol paid tier (single tool, less than Bloomberg) OR - Build on MiniKetch/vol-surface (self-hosted, SVI fits, RR/BF, mispricing scanner) - For execution: Interactive Brokers via volerian-drmt stack or direct IBKR vol trading --- ## Key anti-patterns (from Block 010) - **Anti-pattern: "IV is rich = short vol."** Vol-rich is necessary but not sufficient. Need to know WHERE vol is going. A 27bp one-day vol drop is vol-of-vol in action. Long vol-of-vol trades make money on the move; short vol-of-vol gives it back. - **Anti-pattern: trading off a single ATM vol number.** The surface is the tradeable object; the point is just the body. Vol level alone tells you nothing about path probability. - **Anti-pattern: "vol is cheap historically."** History is irrelevant if the curve knows about the event. Cheap-on-history is not cheap-on-event. - **Anti-pattern: positive Black vega + short vol-of-vol.** A position that has positive Black vega can still have negative convexity in the vol surface. Long Black vega + short gamma-of-gamma = lose money when vol rallies. - **Anti-pattern: pricing directional rates trades using Black's model output as "fair value" for the rate path.** Black prices OPTIONS, not rates. For directional views, use forward rates + your own view on path; Black is for vol extraction only. --- ## Cross-references - Block 010 synthesis: `~/Obsidian-Macro/00-methodology/study-program/blocks/010-yield-vol-swaption-surface.md` - Block 009 (curve trade mechanics, prerequisite for vol sizing): `~/Obsidian-Macro/00-methodology/study-program/blocks/009-curve-trade-mechanics-steepener-flattener-asymmetry.md` - Risk framework v0.3 (sizing reference): `~/Obsidian-Macro/00-methodology/risk-framework.md` - Anki deck: `Macro Study::Phase 1 — Components::Rates` (18 cards tagged `block-010 session-15`)