Finding Implied Volatility Indices for Equity Benchmarks

Summary

The document asks how to obtain implied volatility data corresponding to equity indices when a vendor feed supplies index price histories but not volatility series. It asks whether a volatility index exists for each benchmark, using STOXX and a related volatility index as an example. As an alternative, it mentions deriving implied volatility with the Black-Scholes model, while noting practical difficulty obtaining the relevant index option listings.

This is a data sourcing question rather than a worked method. It provides no catalogue of volatility indices, options data workflow, calculation, or empirical comparison. The availability and naming of volatility benchmarks depend on the specific equity index and market, and an implied volatility estimate requires suitable option prices along with contract and valuation assumptions. A volatility index may also summarize a defined range of option maturities and conventions rather than represent a single universal volatility value. The document raises these considerations but does not identify sources or establish that a matching index is available for every benchmark.

Key ideas

• The document seeks implied volatility data that corresponds to an equity index price series.
• Some equity benchmarks have associated volatility indices, but availability must be checked by index.
• An alternative is to infer implied volatility from option prices using an option pricing model.
• The question identifies access to the relevant index options as a practical obstacle.
• No data source, index directory, or calculation procedure is supplied.

Tags

# How to find the volatility indices corresponding to equity indices?


# How to find the volatility indices corresponding to equity indices?












I have a list of equity indices that I got through Eikon API (with Python). I successfully got their time series but at this point I would need the corresponding implied volatility, which is not available in Eikon for equity indices. How can I get it? Alternatively, how can I get the corresponding volatility index (if any)? For example, for the STOXX index there is the VIX index which tracks its implied volatility.

I know I could use Black and Scholes' model and find out the implied volatility in this way; however, I can't get the list of options associated with an equity index (and in any case it would be a much more tedious operation)

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