Where do I get historical data of ATM calls/options/implied vols for Crude Oil?

Discussion in 'Data Sets and Feeds' started by mizhael, Mar 31, 2010.

  1. mizhael

    mizhael

    Where do I get historical data of ATM calls/options/implied vols for Crude Oil?

    I searched on Bloomberg and couldn't find any...
     
    #1     Mar 31, 2010
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  2. henderson

    henderson

    I don't think you are looking in the right place in bloomberg. I am staring at them right now. Check out their excel addin, goto cl comodity then pick the iv fdata that you want. You need to do it by the correct contract month and expiration; it seems like if you specify cl1 they roll it in some weird fashion.
     
    #2     Apr 1, 2010
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  3. mizhael

    mizhael

    I pressed HELP HELP and got to talk with their help person.

    He told me their IV only goes back to 3yrs ago.

    But I wanted these data for backtest, so 3yrs is definitely not enough.

    Then, I asked if I can download historical data for ATM put/call,

    they told me they don't have a ticker for ATM put/call, I have to download the whole option chain and identify ATM myself. Then that's awkward....

    Any more thoughts?
     
    #3     Apr 1, 2010
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