Do historical IV for Index and stock options available anywhere?

nac

Well-Known Member
#1
I have asked the whole question in the title itself. ;)

I am looking for historical IV for index and stock options. Do anyone know from where I can get it?

Any help regarding this would be appreciated, thanks.
 

lemondew

Well-Known Member
#2
Historical IV for which strike prices. Ivs are different for different strike prices. Nifty IV for 6700 for last 1 month something like that. Note nifty was 6500 1 week back now it could be 6900. So you would have IVs for out of money and in the money which is again incomparable. What are you looking for :)

Anyways I have created some excel sheet where you paste : Underlying Price CE Strike price PE Strike price CE Option price PE Option price and it would calculate IV.



I have asked the whole question in the title itself. ;)

I am looking for historical IV for index and stock options. Do anyone know from where I can get it?

Any help regarding this would be appreciated, thanks.
 

lemondew

Well-Known Member
#4
Again here if lets say nifty is 6201 then you would need IVs for 6200 or 6250
At 6225 for 6200 or 6250
At 6245 for 6200 or 6250

Yeah, there are too many contracts for just one single scrip. So I think ATM option's IV should suffice. Thanks for asking that... :)
 

nac

Well-Known Member
#5
You can consider ATM as the nearest strike. If the underlying price is exactly in the middle, either one of the strike should be fine. I don't think there would be huge difference in IV between those two.
 

lemondew

Well-Known Member
#6
What u said is true for nifty. For stocks like Ashokleyland, ntpc etc and there is 2 point difference in IVs.

You can consider ATM as the nearest strike. If the underlying price is exactly in the middle, either one of the strike should be fine. I don't think there would be huge difference in IV between those two.
 

lemondew

Well-Known Member
#7
Basically
1. You need prices of stock at a particular day/time.
2 You would need to compute the atm/otm ITM for stock at that particular day.
3. You would need the option price at that point of time.
4. You would need to know number of days for expiry at that point.
5. You would need dividend yield for that stock.

Then you can compute IV for that stock at that day for the strike price you need. Theres none i know of who provides this data for free.

Ivolatility.com offers data download for NSE though I am not sure. Alternatively you can code what you want
 

nac

Well-Known Member
#8
Yes, if I want to compute I would need all those data. But that's not something easy to do.

There could be this data available which I am not aware of. But the traders may have come across some site where such data exists. So the reason for "interrogative" - Does this data exists anywhere? I still think it could be... like PCR, daily volt... :)

If you guys ever come across, please let me know.
 

nac

Well-Known Member
#10
That's so nice of you. I am looking for all the scrips, but it's too much to ask, if you're doing it manually. Hmmm... Most liquid stock options and index will be a good start, I think. Period - Since option inception for that scrip. :)
 

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