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?
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
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?
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.