I would save options prices each week before they expire as well as the underlying prices.? That way you should be able to get a historical IV over time using Black Scholes to back into to the IV.? If you need help with the code, feel free to email me and I am happy to help with that.?
Ebtrader
Resurrecting an old thread as I have a similar question.
I think I've convinced myself that the way the "IV of a specific chain" is calculated is the same way that the VIX is calculated as illustrated in this white paper:??There is no Black-Scholles of any sort going on with this calculation.?
That means that from the API, it's possible to calculate the _current_ IV of a specific expiry; but not the _history_ of the IV that's shown in Volatility Lab. Has anyone figured out a way to do that?? (I suspect the answer is it's not possible.? If that's the case, are people using IVolatility.com, which looks like there is no longer any free component.? What about ?)
My other question is what exactly is returned when you request historical volatility from the API?? My assumption is that it is something similar to the VIX calculation where the two expiries closet to 30 days are interpolated to that 30 day mark, although I haven't tried to do a sample calculation to confirm.
