Historical implied volatility for US stocks
Hi guys,
I'm interested in pulling historical implied volatility for US stocks via Python API. Currently, after going through all questions regarding implied volatility, I still cannot find a way to pull historical implied volatility at the end of each day. Could you help me and tell me if there is a proven way to do so via Python API ?
If not via Python API, spreadsheet formulas would also be useful, I just need it to work.
I tried following https://community.developers.refinitiv.com/questions/24802/eod-implied-volatility-of-equity-stock-options.html , but there is no answer that fits my needs.
Any help would be appreciated.
Best regards,
Filip
Best Answer
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@itsupport2 When you say US stocks - do you mean individual stocks or indicies. In any case implied volatility is calculated using options vols. We publish separate RICs for 30 day ATM IV for puts - these are available historically - here for TSLA:
df,e = ek.get_data('TSLAATMIV.U',['TR.30DAYATTHEMONEYIMPLIEDVOLATILITYINDE XFORPUTOPTIONS.Date','TR.30DAYATTHEMONEYIMPLIEDVOLATILITYINDEXFORPUTOPTIONS'],{'SDate':'20100903','EDate':'20180902','Frq':'D'})
df.sort_index(ascending=False, inplace=True)
dfWe publish these for most stocks where options are available I believe. So the trick here is to combine the RIC root you are interested in eg TSLA and then add ATMIV.U or other venue. eg TSLAATMIV.U and so forth.
I hope this can help.
0
Answers
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@jason.ramchandani This works !!! Thank you so much ! The problem in other posts was that it was suggested to pass RIC only (TSLA.O) instead of 'TSLAATMIV.U' as you suggested here. Hope this helps other people as well. Thanks !
1 -
@itsupport2 glad it was helpful!
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