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Options Implied volatility historical data
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Options Implied volatility historical data

  #1 (permalink)
 Vendor: www.quanttradingcapital.com.au 
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Options Implied volatility historical data

Hi

Does anyone know where I can get this:

Historical Implied volatility of Currency Options

or at least historical prices of Currency options

back to say 2000 ? or 2003 ?

not free but at reasonable price.

Thank you

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  #2 (permalink)
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  #3 (permalink)
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Listed on which exchange?

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  #4 (permalink)
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MXASJ View Post
Listed on which exchange?

Well, probably the bigger the better.

CME ?

May be OTC currency options of a big bank will do.

The idea of research is to get backtest on implied volatility historically.
I do beleive that this can help me to improve my algorythms.

So I don't need historical volatility on options. I do need the value of implied volatility that was at that moment of time in history.

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  #5 (permalink)
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OTC is, well, OTC. You could possibly get a history of indicative pricing from the bank buying or selling to you, but that is probably not what you want. For historical options pricing as traded on US exchanges look at www.tickdata.com. If you need histrorical IV calculated for you try www.livevol.com, but again it is for exchange traded instruments.

If you are playing listed currency futures vs. OTC currency forwards or swaps I can't help. For free .

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  #6 (permalink)
 Vendor: www.quanttradingcapital.com.au 
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MXASJ View Post
OTC is, well, OTC. You could possibly get a history of indicative pricing from the bank buying or selling to you, but that is probably not what you want. For historical options pricing as traded on US exchanges look at www.tickdata.com. If you need histrorical IV calculated for you try www.livevol.com, but again it is for exchange traded instruments.

If you are playing listed currency futures vs. OTC currency forwards or swaps I can't help. For free .

thanks mate !
I have seen livevol, it is great but... prices a bit ... how to say nicely ... bite me a bit

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  #7 (permalink)
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dimkdimk View Post
thanks mate !
I have seen livevol, it is great but... prices a bit ... how to say nicely ... bite me a bit

I have asked livevol guys - they siad they don't support currency options yet, but someday will...

tickdata prices even more expensive :-(

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  #8 (permalink)
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as a completely random punt - why not ask some of the bigger option brokers around. Or ask some of the market making firms about. They would surely have it in their data bases and for a small fee (or ideally for free) just give you a simple copy of it.
If you dont ask you wont receive

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