Bloomberg Fields for Real-Time and Historical Option Volatility

Summary

The note identifies Bloomberg fields for retrieving equity option implied volatility through its API. For real-time data, it gives the mid, ask, and bid volatility field variants; for historical data, it gives the corresponding non-real-time variants. This distinction helps developers choose a field family that matches whether they need current market data or a historical series.

The response also explains that the quoted volatility is derived from the option’s mid price using a Black–Scholes model, with a PDE approach for American options. As a result, the value is model-derived rather than a directly traded volatility quote. The note does not describe API request syntax, field entitlements, data coverage, or model assumptions, so users should verify field availability and interpretation in their Bloomberg environment.

Key ideas

• Bloomberg provides separate implied-volatility fields for real-time and historical requests.
• Each data type has mid, ask, and bid variants.
• The reported volatility is derived from option prices rather than directly quoted as a traded value.
• The stated calculation uses Black–Scholes for standard options and a PDE method for American options.

Tags

# Bloomberg equity option volatility data


# Bloomberg equity option volatility data












Using the Bloomberg open API, I am trying to program a C++ script that is able to download option volatility data from Bloomberg. I currently do not have access to Bloomberg, but in the coming week I will be able to access a Bloomberg terminal to try out my script.

In which field are the individual option volatilities saved? I know that the last price field would be PX_LAST or LAST_PRICE, but have no idea in which field / format the option volatility would be accessible.

## Answer by assylias (score 2, accepted)

https://quant.stackexchange.com/a/16390

For real time you could use `IVOL_MID_RT` (or ASK or BID) and for historical data `IVOL_MID` (or ASK or BID).

Note that the vol is derived from the mid price using a B&S model (PDE for american options).

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