Does anyone know of a utility that can download historical Implied Volatility (IV) data from Interactive Brokers' Trader Workstation?
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4 Answers
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$\begingroup$ Brilliant, this is just what I'm looking for. $\endgroup$– ContangoMay 26, 2011 at 8:58
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4$\begingroup$ @Craig It used to be a blog about quant finance, but the author shut it down last year. Examples like this are why I hate links without any summary or explanation. $\endgroup$ May 3, 2012 at 2:20
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$\begingroup$ @SpeedBoots: Usually on StackExchange you should post the details of any links for the reason chrisaycock mentioned. $\endgroup$– BlueTrinJul 8, 2014 at 9:37
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There isn't a utility to do accomplish this.
However one could build one by using their api, and asking for historical data on option prices and then backing out the implied vol from the pirces.
Keep in mind that these will be close prices only, and the program will have to keep track of the expiries and switchovers to different months' chains.
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Interactive Brokers does not offer historical data on expired options. All IV calculations must be derived from options that have not expired yet.
I believe historical volatility is calculated from the underlying security, and implied volatility is calculated from the option premium.
IB's API has a routine called calculateImpliedVolatility(). Never used it, so I can't give details. IB's API also has a routine called calculateOptionPrice() to retrieve option Greeks. Again, I've never used it, but they're out there.
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For any enquiry about the IB API you will find more information (and open source code) here
