开云体育

In most of cases when different values are reported for what seems to be the same data, the various sources simply use different definitions. On the surface, that seems to be the case here, too.

The IB 30-day volatility is the at-market volatility estimated for a maturity thirty calendar days forward of the current trading day, and is based on option prices from two consecutive expiration months.

The average implied volatility (IV) of the nearest monthly options contract that is 30-days out or more.

I am getting the wrong value for VIX iv using barchat data ( 11/3/24 at 19:22) gets me

CBOE Volatility Index ($VIX)
21.88 -1.28 (-5.53%) 11/01/24 [INDEX/CBOE]
Implied Volatility 75.97% ( -140.04%)

I call

self.reqHistoricalData(
                        reqId=self.req_id,
                        contract=contract,
                        endDateTime='',
                        durationStr='3 Y',
                        barSizeSetting='1 day',
                        whatToShow='OPTION_IMPLIED_VOLATILITY',  # Changed to request IV
                        useRTH=1,
                        formatDate=1,
                        keepUpToDate=False,
                        chartOptions=[]

and get

Symbol    Date    Implied Volatility    Open    High    Low    Close    Volume
VIX    2024-11-01    1.11894644    22.96    23.09    21.16    21.88    0