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Can someone tell me if it's possible to retrieve vol surface for different underlyings through the Bloomberg Open API (or else) for free or almost ?

I precise that I have a BBG terminal so I have an access.

I asked pricings to BBG on vol surface daily snapshots and the price is sky rocketing. So just asking for an alternative solution.

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  • $\begingroup$ I haven't seen anything more affordable. Sorry. $\endgroup$ – RandyF Nov 5 '18 at 19:58
  • $\begingroup$ As far as I can remember in R (I don't currently have a Bloomberg terminal): install.packages('Rblpapi'); require(Rblpapi); iVolSurface <- bds("SPX Index", "IVOL_SURFACE_STRIKE") Hint: reshape2 package will be useful, enough said ;) $\endgroup$ – Lisa Ann May 5 at 11:13
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As far as I know, 2 possibilities via Bloom terminal for free:

  1. use the function in the terminal, then click on Asset / Export to Excel. Then the terminal will offer you to export "skew data" for free. There you will have in Excel a few clean market vols for different strikes/maturities.

  2. Directly in Excel, using =BCHAIN(...) formula: just ask Bloom help Desk for a template with that formula. In theory you can use this formula to filter the type of options you want (calls/puts, moneyness, min volume, etc.) but in practice their filters don't work really well, you will have to filter the retrieved options chain yourself

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