ES futures options IV history on IB?

N

newguy05

Hi, think i have asked this questions before but never received a good answer.

Does anyone know how get a historical IV chart(or list) for the es mini options on IB?

In the IB options page, you can view the current IV calculated in real time, all i want is a way to view what this IV is 1 hour ago, 1 day ago, etc..

Right now i am just writing them down on paper to create my own IV list, but it's very inconvenient.

I also went to ivolatility but they dont have es futures options it seems, or maybe i just didnt know how to input the symbol for it there.

thanks
 
Quote from newguy05:

Hi, think i have asked this questions before but never received a good answer.

Does anyone know how get a historical IV chart(or list) for the es mini options on IB?

In the IB options page, you can view the current IV calculated in real time, all i want is a way to view what this IV is 1 hour ago, 1 day ago, etc..

Right now i am just writing them down on paper to create my own IV list, but it's very inconvenient.

I also went to ivolatility but they dont have es futures options it seems, or maybe i just didnt know how to input the symbol for it there.

thanks
More...

Each and every strike trades at a different IV. Which IV do you want? If you want a weighted average, the VIX does a great job. It's calculated off the SPX options and not the ES, but arbitrage should keep the two closely in line.

If you're thinking about a specific strike on a specific day, you could approximate that by looking at SPY option volatility for that day on TOS.

I'd be very careful about relying on anything ivolatility tells you - they had eurodollar IV at 1% a few weeks ago when it was actually about 60%. They were making a fundamental, beginner's error in how they calculated it. I yelled at them and they fixed it - but again, proceed with caution. Much of their IV info is worse than useless.
 
Quote from dmo:

Each and every strike trades at a different IV. Which IV do you want? If you want a weighted average, the VIX does a great job. It's calculated off the SPX options and not the ES, but arbitrage should keep the two closely in line.

If you're thinking about a specific strike on a specific day, you could approximate that by looking at SPY option volatility for that day on TOS.

I'd be very careful about relying on anything ivolatility tells you - they had eurodollar IV at 1% a few weeks ago when it was actually about 60%. They were making a fundamental, beginner's error in how they calculated it. I yelled at them and they fixed it - but again, proceed with caution. Much of their IV info is worse than useless.
More...

Hi dmo, to answer your question, i think an example is best.

Lets say on friday, after 2 major bounce to 750 and with options expiration next week, i feel the market will move. So i want to go long an ATM straddle on the es.

Now i look at the es may 750 call/put. as i am long vega, IV is important. The IV for the 750 call/put is at 39.7% That's great...but what does this actually mean? is it higher than last week, last month? Basically I am not sure how to find out how "expensive" the straddle is, because i have no historical context to compare the current IV of 39.7% to.

In the past I was using VIX as the barometer, but found out it was completely wrong to use that to determine "expensiveness" of IV for individual option strikes. Actually i think it was you who also explained that to me :)
 
Quote from newguy05:

Hi dmo, to answer your question, i think an example is best.

Lets say on friday, after 2 major bounce to 750 and with options expiration next week, i feel the market will move. So i want to go long an ATM straddle on the es.

Now i look at the es may 750 call/put. as i am long vega, IV is important. The IV for the 750 call/put is at 39.7% That's great...but what does this actually mean? is it higher than last week, last month? Basically I am not sure how to find out how "expensive" the straddle is, because i have no historical context to compare the current IV of 39.7% to.

In the past I was using VIX as the barometer, but found out it was completely wrong to use that to determine "expensiveness" of IV for individual option strikes. Actually i think it was you who also explained that to me :)
More...

From time to time it pays off to visit CBOE and to use the search functionality :

Here is an interesting essay from Banco Santander´s institutional desk :

http://www.cboe.com/Institutional/pdf/vm1112ing.pdf

But I´m sure you will find more...
 
Quote from newguy05:

...

In the past I was using VIX as the barometer, but found out it was completely wrong to use that to determine "expensiveness" of IV for individual option strikes. Actually i think it was you who also explained that to me :)
More...
LMAO aahahahaa :D Sorry that was funny.


That is the problem with most retail datafeeds. They have a symbol limit, hence getting an option chain for an index through an API won't work. Otherwise, I would say just do what I do, store the historical IVs yourself to disk. Then write a simple viewer.

I would recommend this, but if you cannot afford a typical insitutional datafeed to write a program to store the data yourself, you are not likely able to afford this either:

http://www.optionmetrics.com/products.html

If you are clever, you may be able to go into your local university and use it.
 
Quote from newguy05:

Hi dmo, to answer your question, i think an example is best.

Lets say on friday, after 2 major bounce to 750 and with options expiration next week, i feel the market will move. So i want to go long an ATM straddle on the es.

Now i look at the es may 750 call/put. as i am long vega, IV is important. The IV for the 750 call/put is at 39.7% That's great...but what does this actually mean? is it higher than last week, last month? Basically I am not sure how to find out how "expensive" the straddle is, because i have no historical context to compare the current IV of 39.7% to.

In the past I was using VIX as the barometer, but found out it was completely wrong to use that to determine "expensiveness" of IV for individual option strikes. Actually i think it was you who also explained that to me :)
More...

I guess you could use the TOS thinkback feature to click back and look at the IV of the May SPY 75 straddle, day by day, if that's what you're interested in. But the skew being what it is in stock indexes - every strike trading at a higher IV than the strike above and at a lower IV than the strike below without exception - the IV of the 750 es straddle or 75 spy straddle will be very dependent on where the underlying is. Personally I would be more interested in looking at the vix history to determine if this was a time to buy S&P option premium or not, as the IV history of any one strike is so dependent on where it is relative to the underlying at any given time.
 
My main concern is the *CHANGE* in IV for the same es option over time. I have been tracking the IV for my straddle for a bit. Since i just buy atm straddle 2-3 months out when the es reachs certain tech level, then as it moves away to next level or theta reachs stop loss i close take profit/loss, and open another atm straddle when it reachs the next level etc.. Working out pretty good so far.

So my main concern is theta and vega. Theta is self explanatory and static. Now for vega, I notice so far it really hasnt been significant.

The IV for my options which i have been tracking for a while, stays in the 39-41 range, with a vega of 2.5pt for 1x straddle. It's not a significant loss or profit.

Do any of you guys remember how much the IV of the es contracts actually moved during those blackswan when vix was moving 10-20 pts a day.

Is iv change significant for es options ?
 
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