Historical Volatility Surface

Quantinator · August 3rd, 2010, 8:02 pm

Hi thereI need historical data (5 or more years) for DAX oder SPX volatility surfaces. I tried on Bloomberg but the OVDV function is not able to a) export data to Excelb) go back in timeAny other idea?Thanks in advance!

PatrikH · August 4th, 2010, 8:48 am

Hello!Are you looking for the full VS (skew) or just ATM historically? Is five years your minimum requirement or ideal please?Thanks, Patrik

EndOfTheWorld · August 4th, 2010, 9:15 am

you can get historical time series for a vol point by using in excel:=BLPH("SPX Index","3MTH_IMPVOL_100.0%MNY_DF","01/01/2000")I think you have the following tenors from 1m to 2y and strike from 80% to 120%.The historic is available since jan05 for the SPX and jan06 for the DAX.

Quantinator · August 4th, 2010, 11:24 am

QuoteOriginally posted by: EndOfTheWorldyou can get historical time series for a vol point by using in excel:=BLPH("SPX Index","3MTH_IMPVOL_100.0%MNY_DF","01/01/2000")I think you have the following tenors from 1m to 2y and strike from 80% to 120%.The historic is available since jan05 for the SPX and jan06 for the DAX.Great! Just tried it and this looks very useful! Thank you

@PatrikH I´m looking for the full VS. Five years (or even 10) would be perfect, but minimum could be 2-3 years.I need this data for backtesting a vola-strategy in my thesis.

thomasBr · August 4th, 2010, 2:06 pm

Hi,i need the same but just ATM and with Reuters, not Bloomberg.Any help appreciated.

Quantinator · August 5th, 2010, 6:04 am

QuoteOriginally posted by: thomasBrHi,i need the same but just ATM and with Reuters, not Bloomberg.Any help appreciated.Hi!You can lookup Implied Volatility data in Reuters Trader by opening a Quote window and type IMPLIEDVOL. To see historical data for the DAX index, open a Chart Window and type GDAXATMIV.EX.Reuters calculates the data ATM.HTH/Quantinator

thomasBr · August 9th, 2010, 8:54 pm

Thanks!