Hi!I need the data for building the current volatility surface of a stock, let's say Microsoft or IBM or some other liquid american contracts.Does anyone know where can I find them? I tried on Bloomberg but it was a total mess... I need these information for my thesis...Thank you in advance for your precious help!Regards

2 solutions:1/ download free data from cboe.comConvert the data into a surface. You can use C++ code given in J. London's 'modeling derivatives in C++' book2/ Usehttp://www.hoadley.net/options/develtoolsimpliedvolcalc.htmto download data from yahoo finance. You need to buy the software though.What is your thesis about ?

The thesis is on cross currency equity swap pricing models... With this instrument you can exchange the return on a foreign stock (or a basket of foreign stock) with a domestic interest rate plus a spread.Starting from a simple diffusive model I extended the basic model allowing for jumps in the paths of the underlying stock (studying also the extension to the case of a basket) and I need the vols surface in order to calibrate the model...When you mentioned the downloading of data from CBOE web site, what do you mean for convert? I have to download the prices of options and then convert them through Black?Thank you for your help!

CBOE gave you raw data in tabulated format. What I mean by 'convert' is you need a program to read in the raw data, then do fitting, interpolation, extrapolation etc in order to produce a nice smooth IV surface. From there you can calculate Derman's local vol or other stuff. You can find some C++ programs in J London. I believe Javaheri has some codes too.Interesting thesis topic. Good luck.