Historical implied volatility for US stocks

itsupport2

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

jason.ramchandani01

@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) 
df

We 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.