Historic IV for individual stocks??

Discussion in 'Options' started by bungrider, Mar 30, 2003.

  1. can you get this?? on a chart??

    i have esignal. but i don't think they have any backdata on it...

    thanks in advance,
  2. white17


    CBOE has historic vol back about 18 months. www.cboe.com
  3. JayF_eSignal

    JayF_eSignal eSignal


    Historical Volatility study for eSignal can be downloaded from one of our development partners, TS Support. This is a free download and the code is open source. This EFS file can be found here.
  4. chisel



    It's very easy to calculate using Excel, but maybe that's not what you're asking...
  5. Fan-tastic!!

    Thanks very much for all the info guys...shortly after I posted, I realize I could probably just code a formula to calc historical IV, but now I don't have to...

    Thanks again,
  6. 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.
  7. man


    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.

  8. 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: :D

  9. man


    bloomberg ain't good on historic implied vola data. they do not keep it at constant time to maturity, thus your data biased, you might have a jump in the time series solely due to rolling.

    #10     Apr 6, 2003