Historic IV for individual stocks??
- Thread starter bungrider
- Start date
You can get IV for a year back by looking at the IV charts here:
http://ivolatility.com/home.j
You can buy it back further in .csv format.
http://ivolatility.com/home.j
You can buy it back further in .csv format.
CBOE has historic vol back about 18 months. www.cboe.com
JayF_eSignal
eSignal
Be careful about confusing a stock's Historic Volatility, with its Implied Volatility.
IV is calculated from quoted option prices. It is based on using an option pricing model (like Black-Scholes) with the Volatility input as an unknown and the option price as a known.
To calculate it you generally iterate the model, varying the volatility input, until you reach the quoted option price. The resulting volatility is therefore the Implied Volatility. IV usually trends with the HV, but can be wildly different at times.
IV also varies from strike-to-strike. You typically see the out-of-the-money strikes with a higher IV - the famous "volatility smile".
You can easily generate historic option prices if you have historic IV. Keep in mind that these option prices can only be considered "ballpark", as the real option prices depend on factors like supply/demand and the whims of the market maker at any point in time.
IV is calculated from quoted option prices. It is based on using an option pricing model (like Black-Scholes) with the Volatility input as an unknown and the option price as a known.
To calculate it you generally iterate the model, varying the volatility input, until you reach the quoted option price. The resulting volatility is therefore the Implied Volatility. IV usually trends with the HV, but can be wildly different at times.
IV also varies from strike-to-strike. You typically see the out-of-the-money strikes with a higher IV - the famous "volatility smile".
You can easily generate historic option prices if you have historic IV. Keep in mind that these option prices can only be considered "ballpark", as the real option prices depend on factors like supply/demand and the whims of the market maker at any point in time.
I finally concluded that you can drop all IV data you did not save and derive on your own. every vendor makes assumptions which distort the picture.
Therefore IMHO you cannot backtest strategies on data from other sources. They would never give you data which really contains alpha.
Having said that I still think it is useful for discretionary trading - being aware of tis limits.
peace
Therefore IMHO you cannot backtest strategies on data from other sources. They would never give you data which really contains alpha.
Having said that I still think it is useful for discretionary trading - being aware of tis limits.
peace
thanks for those excellent points, man and O_A...
without a bloomberg machine, i definitely won't have true IV hist prices. although i think that q.com has historical time and sales for options (i don't have that feed anymore) so i guess you could get it from there if desperate...but at this point i'm not...
i haven't traded stock using HV ever, so i just wanted a chance to have it on my screen and see what it looked like for my nas stock, vs my listed stock...
and BTW, i'd give my dog a rimjob for 50% IV in the market right now...well, maybe not...but 50% would be pretty nice...:eek:
HAHAHA
without a bloomberg machine, i definitely won't have true IV hist prices. although i think that q.com has historical time and sales for options (i don't have that feed anymore) so i guess you could get it from there if desperate...but at this point i'm not...
i haven't traded stock using HV ever, so i just wanted a chance to have it on my screen and see what it looked like for my nas stock, vs my listed stock...
and BTW, i'd give my dog a rimjob for 50% IV in the market right now...well, maybe not...but 50% would be pretty nice...:eek:
HAHAHA