Retrieving Option Volatility Data from Bloomberg Terminal

Summary

The document describes two Bloomberg Terminal routes for obtaining option volatility information without purchasing a separate daily volatility-surface snapshot feed. One approach is to use the terminal’s asset export function to send skew data to Excel, where the user can obtain market volatility observations across strikes and maturities. The other is to retrieve an options chain in Excel through Bloomberg’s chain formula, with the help desk supplying a template.

The answer says the chain query may support filters such as option type, moneyness, and minimum volume, but cautions that these filters may not work reliably in practice, requiring users to filter the returned chain themselves. The guidance is based on access through a Bloomberg Terminal and does not establish that the data are available to non-subscribers or that the methods provide a complete, standardized volatility surface. It also gives no details about historical coverage, licensing, or reproducibility.

Key ideas

• Bloomberg Terminal can export option skew observations to Excel across strikes and maturities.
• An Excel options-chain query is another route to retrieve option data.
• The query may offer filters for contract characteristics, but those filters can be unreliable.
• Users may need to clean and filter the returned chain to construct the dataset they need.

Tags

# Vol surface from Bloomberg API


# Vol surface from Bloomberg API












Can someone tell me if it's possible to retrieve vol surface for different underlyings through the Bloomberg Open API (or else) for free or almost ?

I precise that I have a BBG terminal so I have an access.

I asked pricings to BBG on vol surface daily snapshots and the price is sky rocketing. So just asking for an alternative solution.

## Answer by Alex (score 2)

https://quant.stackexchange.com/a/42528

As far as I know, 2 possibilities via Bloom terminal for free:

- use the function in the terminal, then click on Asset / Export to Excel. Then the terminal will offer you to export "skew data" for free. There you will have in Excel a few clean market vols for different strikes/maturities.

- Directly in Excel, using =BCHAIN(...) formula: just ask Bloom help Desk for a template with that formula. In theory you can use this formula to filter the type of options you want (calls/puts, moneyness, min volume, etc.) but in practice their filters don't work really well, you will have to filter the retrieved options chain yourself

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