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I'm wondering if there's a place where I can find free or very cheap historical implied volatility data. Specifically, I'm looking to get at least a few years' worth of daily IV data for maybe a few hundred or so larger cap stocks for backtesting purposes.

I have a TD Ameritrade account and came across a reddit post, which linked to an old TDA API guide: https://drive.google.com/file/d/0B9e2UiWRRnOsOXJlcVJqcGFrMnc/view, however, the relevant endpoint (https://api.tdameritrade.com/apps/100/VolatilityHistory), doesn't seem to be active anymore. I reached out to TDA but the customer service for their API is abysmal.

I'm not sure if it's common for this type of information to be available through broker APIs, but that's another option. I also have an IB account, which I'm not currently using (I should switch from TDA, I know).

Any suggestions are appreciated.

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3 Answers 3

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Interactive brokers have it.

https://interactivebrokers.github.io/tws-api/tick_types.html

You need data subscription.

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I'm not sure about where to get it for free. Have you tried checking out https://www.orats.com/? Might be work checking their data. They don't publish their prices so I suggest getting a quote from them

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If you are willing to dig and do not mind having older data, some researchers will outright publish it on their websites. Christian Dorion, for example, does it. He's got all the option data he uses in his paper cleaned up, so you can just go there and download the .zip file you need.

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