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Home > Statistics > Option-Implied Probability Density Functions for Short Sterling Interest Rates and the FTSE 100
 

Option-Implied Probability Density Functions for Short Sterling Interest Rates and the FTSE 100

Introduction

The Macro Financial Analysis Division at the Bank of England estimates probability density functions (pdfs) from the prices of option contracts traded on equity indices and interest rate futures contracts (see 'Notes on Bank of England Option Implied PDFs' for examples). They can provide us with an idea of the probabilities that option market participants in aggregate attach to different future equity index/interest rate outcomes. It is important to note that these implied pdfs do not show actual probabilities as they are extracted by assuming that market participants do not require compensation for risk (again see 'Notes on Bank of England Option Implied PDFs' for more details). The files below (updated daily) show a range of summary statistics for option-implied pdfs for FTSE 100 equity index and for short sterling (3-month sterling LIBOR) futures-implied interest rates. These statistics are used to describe the location, dispersion and shape of the pdfs. Information on the probabilities attached to various equity index levels and interest rates is also provided.


Enquiries should be directed to:
ImpliedPDFs@bankofengland.co.uk

Page Last Updated: 20 August 2014
 

​PDF data (xls or zip format) ​
FTSE 100 PDFs.xls (5.2MB) ​FTSE 100 PDFs.zip (2.3MB)
​Short Sterling PDFs.xls (6.4MB) ​Short Sterling PDFs.zip (3.2MB)

 

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Key Resources

Implied PDF terminology and concepts (70KB)
       Notes on Bank of England Option-Implied PDFs

 

Implied PDF methodology (76KB)
       Recent developments in extracting information from options markets