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» SPX implied volatility
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| Author | Topic: SPX implied volatility (6 messages, Page 1 of 1) |
 razv -Interested User- Posts: 4 Joined: Mar 10, 2012 |
Posted: Mar 10, 2012 06:49 AM
Msg. 1 of 6
is there a symbol for the SPX implied volatility?
thanks |
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DTN_ToddH -DTN Guru- Posts: 287 Joined: Oct 6, 2011 |
Posted: Mar 12, 2012 11:15 AM
Msg. 2 of 6
Hello Razv,
VIX.XO is the IQFeed symbol for the S&P 500 volatility index from the CBOE. If you were thinking of something else, let me know and we will try again. |
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razv -Interested User- Posts: 4 Joined: Mar 10, 2012 |
Posted: Mar 12, 2012 11:26 AM
Msg. 3 of 6
I was not referring to the VIX.
I attached the SPX implied volatility. Here is a print screen of the SPX implied volatility from InteractiveBrokers (last 2 days). You can see is very different from the VIX, which at one point today was -10%. I would like to get this from your feed in order to render the graph in InvestorRT. File Attached: spx implied volatility.png (downloaded 1726 times) |
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DTN_ToddH -DTN Guru- Posts: 287 Joined: Oct 6, 2011 |
Posted: Mar 12, 2012 11:56 AM
Msg. 4 of 6
Hello again,
We do not have a symbol for Option Implied Volatility. While your screenshot chart is titled SPX from the CBOE, it looks like the Option Implied Volatility view that you are showing may be a feature of that particular software. |
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razv -Interested User- Posts: 4 Joined: Mar 10, 2012 |
Posted: Mar 12, 2012 12:15 PM
Msg. 5 of 6
that is the implied volatility of ATM options, which is different from the VIX, because any quote (on BID or ASK) can trigger a trade.
For the CBOE's VIX one would can put a quote deep out of the money just to get a higher/lower VIX. On page 6 of this document (www.cboe.com/micro/vix/vixwhite.pdf) you can find how the VIX is calculated and how deep OTM options can influence the VIX. It would be great if DTN could offer a symbol for the SPX IV (which is the implied volatility of ATM options) |
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DTN_ToddH -DTN Guru- Posts: 287 Joined: Oct 6, 2011 |
Posted: Mar 12, 2012 01:40 PM
Msg. 6 of 6
Thanks for the insight Razv.
That sounds like a good nomination for our IQFeed Data wish list. If you would like, feel free to add that at: http://forums.dtn.com/index.cfm?page=forum&forumID=15 |
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