Dataset
MaxTAIEX ATM Implied Volatility
Daily TAIEX at-the-money implied volatility, reverse-engineered via Black-Scholes from official option prices + spot (not the official VIX).
What this data is
Each row is one trading day of TAIEX at-the-money implied volatility, carrying atm_iv (annualized decimal), spot (TAIEX spot), atm_strike, expiry_date, and n_options (options included in the calculation). Values are reverse-engineered via Black-Scholes from official TXO option prices and the TAIEX spot (derivation-verified — the engine faithfully reproduces official inputs); it is a derived volatility measure, NOT the official VIX (which is paid). Near expiry (dte ≤ 1) BS T→0 amplifies the value — expected, not a bad reading. Keyed on trade_date and point-in-time safe.
Use cases
- Read the market volatility regime (high/low vol) from ATM implied volatility.
- Use as a VIX proxy to watch sentiment and hedging-cost changes.
- Analyze volatility structure and expiry effects alongside options and spot.
Why it matters for stock analysis
The official VIX is paid; this dataset derivation-verifies ATM implied volatility from official option prices, giving a traceable, point-in-time-safe volatility-regime indicator without the burden and convention risk of reverse-engineering it yourself.
Coverage / Freshness / Source Policy
One row per trading day for the TAIEX; includes atm_iv / spot / atm_strike / expiry_date / n_options. Keyed on trade_date, point-in-time safe; the near-expiry (dte ≤ 1) amplification is expected.
Daily, updated with official options and spot.
Derivation-verified from official TAIFEX TXO option prices + TAIEX spot; a derived measure, not the official VIX, not investment advice.
Developer entry points
- API docs: /docs/api/derivatives/taifex-atm-iv
- OpenAPI: /openapi.json