Historical and Implied Volatility Data

This is a discussion on Historical and Implied Volatility Data within the Data Feeds forums, part of the Methods category; Hi everyone, I am attemting to test the predictive power of volatility from the evidence of some futures markets. Trying ...

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Old Nov 2, 2011, 1:32pm   #1
 
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Historical and Implied Volatility Data

Hi everyone,

I am attemting to test the predictive power of volatility from the evidence of some futures markets.
Trying to find sources of Historical and Implied Volatilities data (for interest rates, currency, energy, metals, equity indices) for futures options going back 8-10 years.. and have been unsuccessful so far
Bloomberg terminal in my uni does not store this type of data (or does it??)
Any ideas please?

Apologies if the question is not appropriate for this forum.

Many thanks
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Old Nov 2, 2011, 1:35pm   #2
 
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Re: Historical and Implied Volatility Data

Hard to do, generally speaking... There's some stuff available in Bloomberg, for certain assets, but not for others.
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Old Nov 2, 2011, 1:43pm   #3
 
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Re: Historical and Implied Volatility Data

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Originally Posted by Martinghoul View Post
Hard to do, generally speaking... There's some stuff available in Bloomberg, for certain assets, but not for others.
Thank you Martinghoul.
Will try again with BB, hopefully find at least for some assets..
'hard to do' - did you mean the data retrieving or the idea of testing volatility in general?
Although it's all hard for me, tough tough topic I chose

Thanks anyway
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Old Nov 2, 2011, 1:58pm   #4
 
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Re: Historical and Implied Volatility Data

Quote:
Originally Posted by Mistermishka View Post
Thank you Martinghoul.
Will try again with BB, hopefully find at least for some assets..
'hard to do' - did you mean the data retrieving or the idea of testing volatility in general?
Although it's all hard for me, tough tough topic I chose

Thanks anyway
Hard to find good, consistent data for a variety of assets, I mean. One of the issues is the sheer number of possible combinations, i.e. expiry, tenor, moneyness, etc. You should be able to find stuff for currencies, rates and equity indices relatively easily (maybe some blended measures like VIX work?), but I am not at all sure about the other stuff.
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Last edited by Martinghoul; Nov 2, 2011 at 2:19pm.
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Old Nov 2, 2011, 2:14pm   #5
 
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Re: Historical and Implied Volatility Data

Mistermishka started this thread
Quote:
Originally Posted by Martinghoul View Post
Hard to find good, consistent data for a variety of assets, I mean. One of the issues is the sheer number of possible combinations, i.e. expiry, tenor, moneyness, etc. You should be able to find stuff for currencies, rates and equity indices relatively easily (maybe some blended measures VIX work?), but I am not at all sure about the other stuff.
Maybe I could do with those you suggest are the easiest to find. I was already advised to try using VIX index, will try and do that.

Thank you
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Old Nov 2, 2011, 3:21pm   #6
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Re: Historical and Implied Volatility Data

Bloomberg has some data. I always got to it via the GV (Graph Volatility) function

For equities, you can buy data from Historical Option Data
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Old Jan 15, 2012, 8:02pm   #7
 
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Re: Historical and Implied Volatility Data

Did you find your data?

I have tick data for all the leading futures complexes. In total more than 3500 contracts. The data is very clean and reliable and comes from multiple sources.

Let me know if i can be of some help. Send me a private message.

Last edited by algo; Jan 15, 2012 at 8:03pm. Reason: addition
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