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itsupport2 avatar image
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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

eikoneikon-data-apipythonrefinitiv-dataplatform-eikonworkspaceworkspace-data-apihistorical
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jason.ramchandani01 avatar image
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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) 
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.




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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 !

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jason.ramchandani01 avatar image jason.ramchandani01

@itsupport2 glad it was helpful!

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