I can’t seem to find any discussion on discourse about live options data? I’m looking for the following.
date,time,symbol,last,volume, open interest, 30 day mean implied volatility.
don’t need HFT just 1 - 5 minutes would be excellent.
just the SP500 to begin with.
I have tried using Interactive brokers TWS api but the app keeps falling over and so we can’t trust it. Ib’s new REST API is based on TWS ratification so it doesn’t help us. IEX doesn’t seem to provide implied volatility. So if anyone has someone we can talk to please advise.
thank you
This is not a Julia question, but still: (a) Since you are interested in S&P500, please check out CBOE, (b) you can get “free” daily data (several snaps) on Bloomberg for many instruments (but you need a Bloomberg license); (c) OptionMetrics provides plenty of data, but I would doubt that you get 1-5 minutes (and it is certainly not free).
Hi @Paul_Soderlind
why isn’t it a julia question? Not being combative or upset. It’s a real question. Wouldn’t an interesting stepping stone into the world of Julia be a tried curated data source? I have looked into the CBOE but they have not got back to me. Bloomberg is out because of expense. I don’t mind paying for the data and am looking at ivolatility.com now they have a cloud solution. As I say, I am new to discourse and so I want to play by the rules.
HI @Yifan_Liu
I use a system of examining historical volatility data in conjunction with implied volatility. I also determine, from the IV the “expected” 1 sd move on a underlying. There are many others but the above should give you a feel for why I need the IV. I’m certainly going to look at optionmetrics even if the data is EOD. Thank you for taking the time.
This would be more of a Julia question if you had a specific data source and were looking for advice on how to load and analyze data from it using Julia. Eg Ivolatility seems to offer data as CSV, I imagine most similar services do something like this.
I think it would be best to figure out your data source first (which is not really a Julia question), then given that it would be easier to proceed here.
Note that people ask slightly off-topic questions here all the time, so it is not a big deal. Especially if you end up writing a nice blog post about financial data analysis with Julia once you figure it out
I guess you are trying to use implied volatility to predict future realized volatility. This assumes that options market leads stock market. You have to be very careful about this assumption.
I have access to OptionMetrics (from 1996 to 2018) and Bloomberg.
hey @Tamas_Papp
we meet again gotcha on all points. I am coming on in leaps and bounds watching the wonderful youtube videos from juliacon. I’ll come back to this topic WHEN I have a data source. When I get things like that I normally figure it out and try to pass on the knowledge. Thanks again for your help
cp
@Yifan_Liu
wow NOPE!!! not trying to predict anything. Just trying to get a handle on how volatility has behaved in the recent past, how it is behaving NOW and considering the condition where iv tends back towards the mean. It’s NOT a predictor under any circumstances, just getting a handle on how things BEHAVED then looking how the market THINKS it WILL behave. Not a emh guy more a Dr Lo’s adaptive market guy
thanks for the warning though. I assume you are rich having bloomberg, can I have a ride in your Bentley please
cp
gotcha on all points. I am coming on in leaps and bounds watching the wonderful youtube videos from juliacon. I’ll come back to this topic WHEN I have a data source. When I get things like that I normally figure it out and try to pass on the knowledge. Thanks again for your help