TAIEX ATM Implied Volatility

Overview

taifex-atm-iv returns one row per trading day: the at-the-money implied volatility of the TAIEX, reverse-engineered via Black-Scholes from official TAIFEX TXO option prices and the TAIEX spot. It is a derived measure (not the official VIX); each row carries the spot, the ATM strike, the expiry used and the number of options included so the reading is reproducible.

Coverage

Example response

A real response from this endpoint. Rows are returned under "data", and provenance is carried in the shape shown below — it is not identical across datasets, so read this page's rather than assuming another's.

{
  "dataset_id": "taifex_atm_iv",
  "request_context": {
    "scope": "taiex_atm_implied_volatility_derived",
    "coverage_type": "derivation_verified_black_scholes",
    "filters": {
      "trade_date": "2026-08-05",
      "date_from": null,
      "date_to": null,
      "limit": 50
    },
    "min_trade_date": "2026-08-05",
    "max_trade_date": "2026-08-05"
  },
  "quality": {
    "row_count": 1,
    "engine_versions": [
      "taifex-atm-iv-bs-v1"
    ],
    "sensitive_fields_exposed": false
  },
  "lineage": {
    "method": "Black-Scholes ATM implied volatility from official TXO option prices + TAIEX spot",
    "verification": "derivation_verified — engine faithfully reproduces its official inputs; NOT reconciled to the (paid) official TAIFEX VIX"
  },
  "error": null,
  "data": [
    {
      "trade_date": "2026-08-05",
      "atm_iv": 0.33343,
      "spot": 44611.6,
      "atm_strike": 44600,
      "expiry_date": "2026-08-19",
      "n_options": 14,
      "engine_version": "taifex-atm-iv-bs-v1"
    }
  ],
  "data_count": 1,
  "known_gaps": [
    "derivation_verified_not_official_vix",
    "official_vix_is_paid_edatashop",
    "txo_source_missing_2020_2025"
  ],
  "warnings": [
    "not_investment_advice",
    "derived_proxy_not_official_vix"
  ],
  "envelope": {
    "dataset_id": "taifex_atm_iv",
    "scope": "taiex_atm_implied_volatility_derived",
    "row_count": 1
  }
}

Captured from the live API on 2026-07-20.

Licence and attribution

Part of the data in this service is obtained from the Government Open Data Platform (data.gov.tw) and used under the Open Government Data License, version 1.0. Providing agencies: Taiwan Stock Exchange, Taipei Exchange, Taiwan Futures Exchange, Taiwan Depository & Clearing Corporation, National Development Council, Central Bank of the Republic of China (Taiwan), Department of Statistics of the Ministry of Economic Affairs, and Customs Administration of the Ministry of Finance. The value-added processing, derived calculations and presentation in this service are the responsibility of TWMD and are not associated with the providing agencies.

TW Market Data. (n.d.). TAIEX ATM Implied Volatility [Data set]. TW Market Data. Retrieved 2026-09-07, from https://twmarketdata.com/en/docs/api/derivatives/taifex-atm-iv

The version is the dataset's own as_of, not the date this page was built. Where we have no as_of the field is left out rather than filled in. Check a signature

Related datasets

Datasets that join with this one. The key each pair aligns on is shown, so you can plan a multi-table query without guessing.

• Futures Daily Context

  Joins on trade_date

• Options (daily)

  Joins on trade_date

• Options Daily Delta

  Joins on trade_date

• Options settlement price

  Joins on trade_date

• Options Put/Call Ratio

  Joins on trade_date

Getting started

1. Put your key in the X-API-Key header.
2. Add query parameters (symbol, date range, limit).
3. Send the request and read the data array.

curl "https://api.twmarketdata.com/v2/datasets/taifex-atm-iv?trade_date=2026-08-05" \
  -H "X-API-Key: sk_live_..."

Filtering

Python

import requests

resp = requests.get(
    "https://api.twmarketdata.com/v2/datasets/taifex-atm-iv",
    params={"trade_date": "2026-08-05"},
    headers={"X-API-Key": "sk_live_..."},
)
resp.raise_for_status()
print(resp.json()["data"])

OpenAPI

This endpoint is GET /v2/datasets/taifex-atm-iv. The full machine-readable schema (parameters, security, response envelope) lives in the OpenAPI spec.

Notes & limitations

• Derived, not the official VIX: values are reverse-engineered from official option prices. Near expiry (very small time-to-expiry) the Black-Scholes value can amplify — that is expected, not a bad reading.