Finding Data and Estimating Volatility Swap Prices

Summary

The document addresses the difficulty of obtaining historical data for volatility and variance swaps. The responses say that public historical bid and ask prices are generally unavailable, so researchers seeking exact market quotes may need to approach a counterparty or purchase data from a vendor. One answer also suggests collecting option-chain data prospectively from a public source, while noting this does not supply a ready-made history of swap prices.

For researchers who can accept estimates rather than exact traded market prices, the discussion points to a method that derives approximate volatility and variance swap prices from three quoted options. It does not explain the calculation or provide a validation study, so the cited approach requires further reading and the quality of estimates depends on the option inputs and assumptions. The central distinction is between obtaining observed swap quotes and estimating prices from options.

Key ideas

• Historical volatility and variance swap quotes are not described as freely available from public sources.
• Exact market data may require a vendor or counterparty.
• Option-chain observations can support approximate swap price estimates.
• A three-option approach is mentioned, but its calculation and accuracy are not detailed.

Tags

# Volatility swaps historical data


# Volatility swaps historical data












I am preparing a study about Volatility and Variance Swaps. Does anyone know where I can found historical public data regarding this instruments? Thanks!

## Answer by not.so.quanty (score 2)

https://quant.stackexchange.com/a/10598

There are no free resources that provide historical bid and ask prices for option chains. You should consider buying them from a data provider.

However, you can start accumulating data from yahoo using the getOptionChain function of the {quantmod} R package.

## Answer by user42108 (score 1)

https://quant.stackexchange.com/a/58838

You're not going to find any public sources. Suggest you ask a counterparty. There are also data vendors who collate var swap data, e.g. Markit.

## Answer by user34971 (score 1)

https://quant.stackexchange.com/a/59129

If you are looking for exact volatility and variance swap market prices then as others have said you need to go to a data provider.

If you are satisfied with good/accurate approximate prices for both instruments, then the paper It takes three to smile explains how to find these prices from three quoted options.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.