Is there a way to obtain the historical volatility of a stock from the bloomberg API? I would be looking for the data in the HVT table. Actually 3-months historical volatility from now would be enough.

I know there are functions to get the implied volatility for options (using IVOL_LAST_RT for example) but that is not what I am looking for.

I could also just get the day opening and closing ticks from the terminal and then calculate the historical volatility, but I am trying to avoid this step.

Thanks Honza

  • 3
    $\begingroup$ For example, for 90D vol, VOLATILITY_90D (you also have 10D, 30D, 120D, 260D, 360D etc) or INTERVAL_VOLATILITY with overrides for specific periods. $\endgroup$ – assylias Feb 5 '16 at 18:38
  • 1
    $\begingroup$ Hi, thank you, this works indeed, you should change this from a comment to an answer. Is this documented somewhere? I have looked at the Bloomberg API developer's guide and unless I went over too quickly these values are missing. $\endgroup$ – hoonzis Feb 7 '16 at 9:51
  • $\begingroup$ you can also use stuff like CL 3M 50D VOL BVOL Comdty (for CL, for example) as a ticker and then just get PX_LAST to access points on the vol surface as if they're underlying. $\endgroup$ – will Jan 7 '18 at 15:13

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.