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Reconstructing Historical Implied Volatility from Option Prices

Article Quant Q&A · Author: Contango
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Summary

The document asks whether historical implied volatility can be downloaded from Interactive Brokers. The responses indicate that a dedicated utility may not be available and describe a possible workaround: retrieve historical option prices through the API, then infer implied volatility from those premiums. The broker's implied-volatility and option-pricing API routines are also mentioned as potential tools, although the respondents do not provide usage details.

The main limitation is data availability for expired options. One response says Interactive Brokers does not provide historical data for expired contracts, so a reconstruction would be limited to options that have not expired. Historical option observations may be closing prices, and a useful series would need to track expiries and roll between option chains. The document offers practical cautions but no tested implementation or assessment of data completeness and accuracy.

Key ideas

  • Implied volatility can be inferred from an option premium using an option-pricing model.
  • Historical option prices retrieved through an API could serve as inputs for that calculation.
  • The discussion says expired-option history is unavailable through Interactive Brokers, limiting reconstruction.
  • A historical series may be based on closing prices and requires tracking expiries and changing option chains.
  • The mentioned API routines are not demonstrated or evaluated.

Tags

OptionsVolatilityDerivatives pricingExecution
Full text
# Utility to download historical Implied Volatility data from Interactive Brokers?


# Utility to download historical Implied Volatility data from Interactive Brokers?












Does anyone know of a utility that can download historical Implied Volatility (IV) data from Interactive Brokers' Trader Workstation?

## Answer by SpeedBoots (score 2, accepted)

https://quant.stackexchange.com/a/1228

check out max dama: http://www.maxdama.com/

## Answer by glyphard (score 6)

https://quant.stackexchange.com/a/1227

There isn't a utility to do accomplish this. However one could build one by using their api, and asking for historical data on option prices and then backing out the implied vol from the pirces. Keep in mind that these will be close prices only, and the program will have to keep track of the expiries and switchovers to different months' chains.

## Answer by Fred (score 2)

https://quant.stackexchange.com/a/3417

Interactive Brokers does not offer historical data on expired options. All IV calculations must be derived from options that have not expired yet.

I believe historical volatility is calculated from the underlying security, and implied volatility is calculated from the option premium.

IB's API has a routine called calculateImpliedVolatility(). Never used it, so I can't give details. IB's API also has a routine called calculateOptionPrice() to retrieve option Greeks. Again, I've never used it, but they're out there.

## Answer by mepuzza (score 0)

https://quant.stackexchange.com/a/3423

For any enquiry about the IB API you will find more information (and open source code) here

http://finance.groups.yahoo.com/group/TWSAPI/

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.