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Using the Bloomberg open API, I am trying to program a C++ script that is able to download option volatility data from Bloomberg. I currently do not have access to Bloomberg, but in the coming week I will be able to access a Bloomberg terminal to try out my script.

In which field are the individual option volatilities saved? I know that the last price field would be PX_LAST or LAST_PRICE, but have no idea in which field / format the option volatility would be accessible.

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  • $\begingroup$ The easiest way to find a field is to go to a ticker you are interested in on a terminal, say SPY US 02/20/15 P200 Equity <Go> and then type FLDS VOLATILITY: you will see a page with a list of fields related to volatility. $\endgroup$ – assylias Jan 29 '15 at 11:38
  • $\begingroup$ Well as I said, I currently do not have access to a Bloomberg terminal. $\endgroup$ – Olorun Jan 29 '15 at 11:54
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For real time you could use IVOL_MID_RT (or ASK or BID) and for historical data IVOL_MID (or ASK or BID).

Note that the vol is derived from the mid price using a B&S model (PDE for american options).

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  • $\begingroup$ Thanks! Do you also happen to know the fields so I can obtain the data from all the volatility surface? $\endgroup$ – Olorun Jan 29 '15 at 13:37
  • $\begingroup$ I don't think there is one field for that. I suspect you would have to get the volatility for several options (various strikes/maturity) and draw the surface from that data. HELP HELP on Bloomberg may know better. $\endgroup$ – assylias Jan 29 '15 at 13:50
  • $\begingroup$ Okay thanks! I'll send a message to Bloomberg help then when I can use it. $\endgroup$ – Olorun Jan 29 '15 at 13:53

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