Finding Historical Implied Volatility Data for Equity Backtests
Summary
The discussion addresses where to obtain several years of daily implied volatility data for large-cap stocks for backtesting. It suggests Interactive Brokers as a possible source, while noting that access requires a market data subscription. A separate reply points to a commercial options data provider and recommends requesting pricing directly because costs are not listed in the discussion.
For older observations, the thread also mentions that researchers sometimes publish cleaned options datasets used in their papers. These suggestions are leads rather than a systematic comparison: the document does not establish coverage, data definitions, update frequency, price, or suitability for a particular backtest. It also does not provide a free source or explain how to validate historical implied volatility values across vendors.
Key ideas
- Interactive Brokers is suggested as a source of implied volatility history, subject to a data subscription.
- A commercial options data provider is offered as another lead, but the thread gives no price information.
- Researchers may publish cleaned options data used in their studies, which can be useful when older history is acceptable.
- The discussion does not compare data coverage, definitions, costs, or vendor quality.
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Full text
# Implied Volatility - Historical data # Implied Volatility - Historical data 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. ## Answer by mikea (score 1) https://quant.stackexchange.com/a/58664 Interactive brokers have it. https://interactivebrokers.github.io/tws-api/tick_types.html You need data subscription. ## Answer by Mike Williams (score 1) https://quant.stackexchange.com/a/58999 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 ## Answer by Stéphane (score 1) https://quant.stackexchange.com/a/59019 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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