Historical-Implied-Volatility-IV

Did you try IB? https://interactivebrokers.github.io/tws-api/historical_bars.html#hd_what_to_show

Interesting, no but I'll try that.

How is this different from CBOE -> VIX and friends?
(VIX1D, VIX3M, VIX6M, VIX9D, etc)

The difference is i’m looking for each individual stock’s IV on a historical basis.

I asked Microsoft CoPilot:

QUOTE:
What historical stock data providers offer historical implied volatility on a symbol-by-symbol basis?

QUOTE:
Here are some top-tier providers that offer historical implied volatility data on a symbol-by-symbol basis:
🧠 Leading Providers
- OptionMetrics
Offers IvyDB databases with end-of-day implied volatility, Greeks, and options prices dating back to 1996. Covers U.S., European, and Asia-Pacific markets. Ideal for institutional research and backtesting.
- IVolatility.com
Provides deep historical options and futures data, including volatility surfaces and analytics. Their APIs support symbol-level queries and are popular among retail and institutional traders.
- SpiderRock
Specializes in volatility surface datasets, including end-of-day and intraday implied volatility curves. Offers symbol-specific data with earnings event filtering and skew analysis.
- Option Strategist
Publishes free weekly implied volatility and historical volatility data for stocks, indexes, and futures. Great for retail traders needing percentile rankings and comparative analysis.
- Datarade
Aggregates datasets from multiple vendors like FinPricing, Intrinio, and Trading Volatility. You can browse and compare providers offering symbol-level implied volatility data across global markets.
If you're looking for API access, volatility surfaces, or percentile rankings, each of these providers has a slightly different strength. Want help narrowing down based on your use case or platform?

I'd give CoPilot a try and ask it follow-up questions.

I did a quick hack as a test and IB has it - and even at the intraday level back to 2006.


I'm not sure what Glitch has in mind, but I'd recommend using a "_IV" symbol suffix, e.g., NVDA_IV, so that the IB Provider could request the series like any other symbol. That closing series could be used as the IV TimeSeries input to OptionSynthetic.GetHistory().

With this as the IV input, synthetic option pricing should very close to real pricing - historically. (In practice IV varies a bit on OTM contracts.)

What is the symbol to use to get this for IB?

It's not a symbol. You have to alter the code to request a different data series. My suggestion was adding the "_IV" suffix to any stock, etf, or index so that the IB Provider detects it, parses out the symbol, and requests OPTION_IMPLIED_VOLATILITY instead of TRADES.

Awesome, I'll look into this!

@Cone, can you post your code for generating the IV graph? Also, does the Schwab data feed offer IV for options also? Specifically, I'm looking to plot/follow IV Rank as well. Not sure if that would need to be calculated (if there even is that data available), or if the data feed supplies that, which they have on their platform(s) but I know their API data feed does not have as much detail. But having that data could be a differentiator in choosing to buy a call vs sell a put (both bull-ish options strategies), and vice versa (sell a call or buy a put) for bear-ish expectations.

See Historical Option Implied Volality [sic] in the F1 Help, IB topic.