0
$\begingroup$

Is there a way to get Prices, IVOL and greeks on historic option contracts (eg on the underlying RXM15) on Bloomberg, and follow this particular option with Strike K throughout its lifetime (eg on ATM Strike at t=0 option, retrieve data from start (t=0) to expiry (t=T). )

I generally understand how to retrieve IVs via Bloomberg, however, using HVT, GP, HP or other functions, one can only get a time-series of IVs of different ATM option contracts (eg x: ATM for t=1, y: ATM for t=2, and x isn't necessarily equal to y).

Apparently Bloomberg, Eurex, Reuters don't have these information (or the view on this), so I was wondering if you perhaps know a way to retrieve it from Bloomberg or another source? Do only Banks internal systems have these data stored?

Any help much appreciated.

$\endgroup$
  • $\begingroup$ As far as I can remember, you can only do it for options not yet expired. $\endgroup$ – Lisa Ann May 31 at 21:03

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.