I need to graph the implied volatility for 90% OTM puts,110% OTM calls, and ATM options, since 2006. I understand the VIX will simply be the ATM options, but how do I go about getting the upside and downside options?Thanks

What do you mean by VIX will simply be the ATM options? I believe VIX stands for the square root of 30-day variance swap strike, calculated using a basket of OTM vanilla options and using linear interpolation.

Hmmm, you sure about the VIX?EDIT: sorry, that was addressed to the OP, but looks like someone was ahead of me.

Yes, it looks like you are right. Although, "The ?original? VIX, which is still tracked under the ticker VXO, was calculated using at-the-money put and call options on the S&P 100 index (OEX)."So that means I can use the VXO ticker to get my ATM option data, but I still need to know how to find the 90% OTM puts and 110% OTM call imp vol since 2006.Any ideas?

Me or OP?For VIX, I read the VIX white paper and GS's quant research paper: more than you ever wanted know about volatility swaps.VIX whiteGS-Volatility

Ah ok, u mean the old VIX, sorry. Well in that case...for 90% and 110% you really have to access option prices I think

You're saying i would have to have the historical options prices since 2006 of 90% and 110%, then use those prices and the Black-Scholes to calculate the implied vol?Any ideas on a site that would have all that data in a convenient excel file or something?

QuoteOriginally posted by: PottsyYou're saying i would have to have the historical options prices since 2006 of 90% and 110%, then use those prices and the Black-Scholes to calculate the implied vol?Any ideas on a site that would have all that data in a convenient excel file or something?I did this for 95% and 105% several weeks ago using an access database and SQL in access then call it via VBA in excel. Worked. But the point is you have to have the database...so...

QuoteOriginally posted by: foxkingdomQuoteOriginally posted by: PottsyYou're saying i would have to have the historical options prices since 2006 of 90% and 110%, then use those prices and the Black-Scholes to calculate the implied vol?Any ideas on a site that would have all that data in a convenient excel file or something?I did this for 95% and 105% several weeks ago using an access database and SQL in access then call it via VBA in excel. Worked. But the point is you have to have the database...so...some hints on where to find data on options for personal work? ideally grains option data :$

QuoteOriginally posted by: edouardsome hints on where to find data on options for personal work? ideally grains option data :$Well I do not have the database...I asked someone else a favor...so everytime I write the excel sheet, send to him for him to run and he send me back.Historical daily option price data needs to pay I think, for instance This website. My supervisor used this when I was doing internship last year.

QuoteOriginally posted by: PottsyYou're saying i would have to have the historical options prices since 2006 of 90% and 110%, then use those prices and the Black-Scholes to calculate the implied vol?Any ideas on a site that would have all that data in a convenient excel file or something?Here is an idea that might work but its fairly rough and ready. If you have the VIX and the VXO, then why dont you come up with a parametric model of the skew - say something likev = v0 + a1 * (S/K) + a2 * (S/K)^2where v0, a1 and a2 are unknowns and S and K are spot and strikes. Now, you can get v0 from VX0 so this leaves you a1 and a2 to estimate which you may be able to do by fitting to VIX by minimisation the error ?