TD Ameritrade keeps track of historical and implied volatility percentile (a measure of current volatility vs. historical volatility to provide a relative measure of volatility for an individual stock or ETF). Does IB have a similar measure and is it possible to pull it through their API? Alternatively, does TD Ameritrade provide a free API to pull that indicator?
Implied Volatility Percentage / Rank through IB API?
- Thread starter ET180
- Start date
Robert Morse
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We offer historical and current Vol data with our LVX software with an account at IB, but we don't have an API for that. We do have a custom scanner built in. https://www.lightspeed.com/trading-platforms/livevol-x/
Bob
Bob
If you're working an API, wouldn't computing HV30, IV%, and/or IV-Rank be trivial operations?
Personally, I'd be more comfortable with my own, taking the input data from the most un-doctored inputs as were available. Maybe you're not going that deep?
Personally, I'd be more comfortable with my own, taking the input data from the most un-doctored inputs as were available. Maybe you're not going that deep?
That's what I ended up doing. I pull the current imp vol for the closest call and put on next 3 monthly contracts. Average them and store the result. It will take me a while to build up my database, but at least it's started.
It'll add to your work, but the weeklies and month-end really add to things -- very different market agendas at work -- visible through both the IV and daily volume (and OI, for that matter...).
I've been doing biggly-huge hours the past few weeks, rebuilding a spreadsheet kind-of starts out with this -- IB changed their .csv scrapes to go from Strike-Call-Put to Call-StrikexStrike; Put-StrikexStrike, and I'm STILL only a third through the rebuild. WHAT a pain.
(So: don't know what you're doing[?!], but BOY am I sympathetic.....)
Actually, I think there is a way to get implied option volatility of the underlying (not sure how it's calculated) through IB API:
public synchronized void reqHistoricalData( int tickerId, Contract contract, String endDateTime, String durationStr, String barSizeSetting, String whatToShow,int useRTH, int formatDate);
The whatToShow parameter can take "OPTION_IMPLIED_VOLATILITY". Bar size can be in seconds up to days.
public synchronized void reqHistoricalData( int tickerId, Contract contract, String endDateTime, String durationStr, String barSizeSetting, String whatToShow,int useRTH, int formatDate);
The whatToShow parameter can take "OPTION_IMPLIED_VOLATILITY". Bar size can be in seconds up to days.