IV data for FX? Help!

[Brendan]

Hi guys,

I was wondering if anyone could give me some advice on where to get my hands on historical implied volatility data (ten years would be nice) for options on foreign exchange (preferably not just at-the-money). I checked out ivolatility.com but it looks like they only calculate implied volatilities for options on equity. I don't mind paying for data if necessary. Any help would be enormously appreciated. I am an academic and don't really have a clue how to go about getting data of this kind, but I need it for a research project. I do have access to datastream and bloomberg, if that is any use.

Brendan

 

[Yan He]

Hi guys,

I was wondering if anyone could give me some advice on where to get my hands on historical implied volatility data (ten years would be nice) for options on foreign exchange (preferably not just at-the-money). I checked out ivolatility.com but it looks like they only calculate implied volatilities for options on equity. I don't mind paying for data if necessary. Any help would be enormously appreciated. I am an academic and don't really have a clue how to go about getting data of this kind, but I need it for a research project. I do have access to datastream and bloomberg, if that is any use.

Brendan

Brendan, what exactly do you want? If historical Implied Vol for FX, Bloomberg has it, just download directly.

For Vol for Option on FX, go to [Currency], <VOLC>, and pick the period /currency you want...

Hope this help

 

[Andy Nguyen]

Don't know if this is what you need but I got this VIX a while ago while I'm doing some technical indicator using VIX

A comma delimited ASCII file with three columns: Date, S&P500 Index and close of the VIX (Implied Volatility for Options on SP100 Index). The date is in the format of YYYYMMDD. The first date is 19680102, which is 1968, January, 2.

 

[Brendan]

Thanks guys! I will head over to the library now and see if I can do what you said on Bloomberg. I need the VIX and S&P500 too so thanks for those.