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»Forums Index »Archive (2017 and earlier) »Data and Content Support »SPX implied volatility
Author Topic: SPX implied volatility (6 messages, Page 1 of 1)

razv
-Interested User-
Posts: 4
Joined: Mar 10, 2012


Posted: Mar 10, 2012 06:49 AM          Msg. 1 of 6
is there a symbol for the SPX implied volatility?

thanks

DTN_ToddH
-DTN Guru-
Posts: 287
Joined: Oct 6, 2011


Posted: Mar 12, 2012 11:15 AM          Msg. 2 of 6
Hello Razv,

VIX.XO is the IQFeed symbol for the S&P 500 volatility index from the CBOE.
If you were thinking of something else, let me know and we will try again.

razv
-Interested User-
Posts: 4
Joined: Mar 10, 2012


Posted: Mar 12, 2012 11:26 AM          Msg. 3 of 6
I was not referring to the VIX.
I attached the SPX implied volatility. Here is a print screen of the SPX implied volatility from InteractiveBrokers (last 2 days). You can see is very different from the VIX, which at one point today was -10%.
I would like to get this from your feed in order to render the graph in InvestorRT.



File Attached: spx implied volatility.png (downloaded 1722 times)

DTN_ToddH
-DTN Guru-
Posts: 287
Joined: Oct 6, 2011


Posted: Mar 12, 2012 11:56 AM          Msg. 4 of 6
Hello again,

We do not have a symbol for Option Implied Volatility.
While your screenshot chart is titled SPX from the CBOE,
it looks like the Option Implied Volatility view that you are
showing may be a feature of that particular software.

razv
-Interested User-
Posts: 4
Joined: Mar 10, 2012


Posted: Mar 12, 2012 12:15 PM          Msg. 5 of 6
that is the implied volatility of ATM options, which is different from the VIX, because any quote (on BID or ASK) can trigger a trade.
For the CBOE's VIX one would can put a quote deep out of the money just to get a higher/lower VIX. On page 6 of this document (www.cboe.com/micro/vix/vixwhite.pdf) you can find how the VIX is calculated and how deep OTM options can influence the VIX.
It would be great if DTN could offer a symbol for the SPX IV (which is the implied volatility of ATM options)

DTN_ToddH
-DTN Guru-
Posts: 287
Joined: Oct 6, 2011


Posted: Mar 12, 2012 01:40 PM          Msg. 6 of 6
Thanks for the insight Razv.
That sounds like a good nomination for our IQFeed
Data wish list. If you would like, feel free to add that at:
http://forums.dtn.com/index.cfm?page=forum&forumID=15
 

 

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