Historical Implied Volatility Data?

[joeydisco]

Hi,

I'm trying to find a site that offers historical implied volatility charts that can be fed into Ninjatrader.

E.G. A chart that details the average IV of atm options of a security such as AAPL or a currency pair over a set time period.

I think ivolatility offers these sort of charts but from what I can tell it is not possible to connect Ninjatrader to ivolatility.

I don't mind paying for such data but I'd prefer not to have to open a brokerage account and post a minimum account balance simply to access their historical data for backtesting. I imagine this would be the case with the likes of IB.

Can anyone please offer any assistance?

All replies appreciated.

Thanks for your time.

[NinjaTrader_Jason]

Hello joeydisco,

We support "data feed only" providers as well in NinjaTrader. We support Kinetick, IQFeed, BarChart and eSignal. I suggest to check with these data providers if they offer the data you require.

As per NinjaTrader 7, our preferred market data service is Kinetick. Real time service starts as low as $50 per month. If you trade CME Globex products, you can have these exchange fees waived if you have a qualified brokerage account. This service is only available for NinjaTrader 7. Please visit www.kinetick.com for more detailed information.

[drmartinjr3i]

Implied Volatility Apple Etc...

Kinetick only charges $5.00 for the CBOE indices which are implied volatilty (i.e. VIX) - this will cover a large part of major markets including some stocks - like apple ebay, goldman, google, ibm, gold, eurocurrency, major indexes (sp500, dj, r2k, nasdaq) oil, silver etc..

http://www.cboe.com/micro/volatility/introduction.aspx

Hi,

I'm trying to find a site that offers historical implied volatility charts that can be fed into Ninjatrader.

E.G. A chart that details the average IV of atm options of a security such as AAPL or a currency pair over a set time period.

I think ivolatility offers these sort of charts but from what I can tell it is not possible to connect Ninjatrader to ivolatility.

I don't mind paying for such data but I'd prefer not to have to open a brokerage account and post a minimum account balance simply to access their historical data for backtesting. I imagine this would be the case with the likes of IB.

Can anyone please offer any assistance?

All replies appreciated.

Thanks for your time.

[joeydisco]

Brilliant. Thanks a lot.

That looks exactly what I am looking for.

What is your opinion of using implied volatility as an indicator of future price movement of the underlying asset or index?

[drmartinjr3i]

implied volatility to determine future movement

Implied volatility is about the future movement. However it is very difficult to see the actual impact on direction as by definition IV simply is showing the fear of drastic movement when high (i.e. the day before earnings IV will be huge on a stock - i.e. chipotle - and after the announcement comes out it will move and the IV will drop. So IV is really more about telling you the true future range of movement.

There are two methods - one is through the use of standard deviation. This will help you determine the expected move (and it is very very accurate if you are using the right formula) but it is not directional. (until it hits the deviation - i.e. it was 9 pts and 13 pts on ES last two days respectively - and it worked like a charm - thursday used it for bounce to bounce to bounce) There are many standard deviation models out there but most are nothing more than an ATR as they use historical volatility (this is basically useless). A true standard deviation model has the implied volatility factored in. I am actually programming an indicator right now to plot the points on charts correctly using the CBOE indices.

In addition, their is an indicator title The Apex Choppy Market Warning that I use to help me be wary of price change and choppiness. It is very cool. You can plug in any volatility indice It basically notices a divergence in option IV compared to price movement. i.e. IV going up market going up (should be opposing), or IV going down market going down and shows this as a divergence. apexinvesting . com offers it with free trial. You will need the cboe indices to view it on an intraday basis. With kinetick EOD you can use it on daily bars just to check it out if you don't yet have the data feed..

Brilliant. Thanks a lot.

That looks exactly what I am looking for.

What is your opinion of using implied volatility as an indicator of future price movement of the underlying asset or index?

[joeydisco]

Interesting.

I had not thought of using IV as the input to an ATR indicator.

I have only heard of Larry Connors' system of using the VIX and VXN as lead indicators that he details in his book "How Markets Really Work". There appears to be some substance there that warrants further investigation.

Do keep us updated on how your indicator development works out.

Thanks again.

[drmartinjr3i]

you can check out the choppy market warning indicator that factors in the cboe volatility indicies at http://apexinvesting.com