Historical Data
In the equity options universe, IVolatility’s database offers the most complete and accurate source of implied volatilities available. Coverage includes:
- U.S., Canadian and European listed stocks and indices. This is more than 3,700 optionable names. Our history dates back to November 2000.
- US Futures and Future options. Coverage includes over 600 Futures instruments and over 90 Optionable Futures instruments. Historical data dates back to December 2005.
Available Datasets for Equities:
1) NBBO closing prices: includes daily volumes and open interest of each option (sample)
All Expirations
All Strikes
Can be downloaded through Download Wizard or for bulk data request contact sales@ivolatility.com
2) Raw IV: Implied Volatilities with prices, volumes and open interest and greeks of each option (sample)
All Expirations
All Strikes
This is an excellent product for analyzing the shape of the vol curve or back testing your trading ideas.
Can be downloaded through Download Wizard or for bulk data request contact sales@ivolatility.com
3) Implied Volatility Index (sample)
Terms: 30, 60, 90, 120, 150, 180, 270, 360, 720
Type: Call, Put, Mean
This index gives a measure of a stocks expected volatility based on weighted at-the-money volatilities. It is a great tool for volatility studies looking for a single volatility value as well as studies reviewing historic stock volatility and mean reversal principles.
Can be downloaded through Download Wizard or for bulk data request contact sales@ivolatility.com
4) Parameterized Volatility Surface (sample)
Terms: all actual traded expirations
This product incorporates the proprietary smoothing calculations of our raw implied data into a parameterized curve. It is an efficient way to analyze how in-the-money and out-of the-money options have been priced historically. This is a data set to incorporate into complex trading and risk management models.
Contact sales@ivolatility.com for this data request
5) Implied Volatility Surface by Moneyness (sample)
A surface normalized by moneyness and maturity.
Terms: 1, 2, 3, 4, 5, 6, 12, 24 months
Moneyness: (-50%, -40%, -30%, -20%, -10%, 0% (OTM puts), 0%, 10%, 20%, 30%, 40%, 50% (OTM calls)
Surface by moneyness allows historical analysis of implied volatility, i.e. to compare the current option price (IV) with the same moneyness and days remaining to expiration, that was observed in the past.
Can be downloaded through Download Wizard or for bulk data request contact sales@ivolatility.com
6) Parameterized Volatility Surface by Delta: (sample)
A surface normalized by delta and maturity
Terms: 1,2,3,4,5,6, 9, 12,24 months
Deltas: (from 0.1 to 0.9 with step 0.05)
Surface by Delta is the most accurate way to analyze historical behavior of particular option or volatility skew with a given delta. This particular surface is built on the basis of Parameterized surface.
Contact sales@ivolatility.com for this data request
7) Implied Volatility Surface by Delta: (sample)
Volatility Surface normalized by delta and maturity
Terms: 1,2,3,4,5,6, 9, 12,24 months
Deltas: (from 0.1 to 0.9 with step 0.05)
Surface is built on the Raw IV basis.
Contact sales@ivolatility.com for this data request
8)Close-to-close and Parkinson’s volatilities historical data (sample)
Terms: 10, 20, 30, 60, 90, 120, 150, 180
Type: Close-to-close, Parkinson’s
Contact sales@ivolatility.com for this data request
9)Correlation and beta between stocks/indices returns (sample)
All US stocks VS S&P 500 index, all Canadian stocks VS TSX 300, etc.)
European stocks VS Benchmark index of a given market
Also, components VS these indexes, SPX, NDX, OEX, DJX
Cross-stock price and volatility returns correlation and beta for the last day
Terms: 10, 20, 30, 60, 90, 120, 150, 180
Contact sales@ivolatility.com for this data request
10) Skew and kurtosis of returns distribution historical data (sample)
Terms: 10, 20, 30, 60, 90, 120, 150, 180
Contact sales@ivolatility.com for this data request
11) Lagged Correlation between IVIndex 30d and HV 20d (sample)
Correlation between shifted IV Index and HV to track how expected IV corresponds to realized HV.
Contact sales@ivolatility.com for this data request
12) Splits, dividends, multiple-terms interest rates
Complimentary data needed for correct implied volatility calculation.
Contact sales@ivolatility.com for this data request
Available datasets for Futures markets:
- Futures prices (sample)
All traded futures contracts along with settlement prices.
- Options on futures with prices, Raw IV and Greeks (sample)
Expirations: all available for future
Strikes: all available for future
- Implied Volatility Index (IVX) (sample)
Terms: 30, 60, 90, 120, 150, 180, 270, 360, 720
Type: Call, Put, Mean
- Implied Volatility Surface by Moneyness (sample)
A surface normalized by moneyness and maturity.
Terms: 1, 2, 3, 4, 5, 6, 12, 24 months
Moneyness: (-50%, -40%, -30%, -20%, -10%, 0% (OTM puts), 0%, 10%, 20%, 30%, 40%, 50% (OTM calls).
- Historical Volatility (sample)
Term: 1w, 2w, 1m, 2m, 3m, 4m, 5m, 6m, 9m, 1y
A continuous historical volatility compounded from futures prices.
Contact sales@ivolatility.com for these data requests
Proprietary Dispersion analytics:
Coverage: major US, Canadian, European indices
Implied Correlation:
Averaged correlation between index & components computed from implied volatilities.
Realized Correlation:
Averaged correlation between index & components computed from historical volatilities.
Averaged correlations provide insight into the market as they represent how coordinated price and volatility movements are for major stocks.
Theoretical Index Volatilities:
Implied volatility of a specific index computed from the component’s implied or realized volatilities using different weightings and correlation approaches.
File Delivery
Our Bulk Data service is specially designed for those who require significant amount of data, or a custom dataset. This service provides for significant discounts from our standard web site download rates for purchases over $250. Delivery available via web site, FTP server, or email.
MANAGED BULK DATA SERVICE
Our managed services for bulk data takes over where our standard bulk data service ends. We place your CSV files on the web or FTP server, and also provide a 'software package' for your server that allows us to maintain your database remotely. This 'package' keeps track of all data changes - the daily update files contain both daily data along with any possible corrections for historical data. All data is delivered to your 'IV' database. Your database will also be kept updated with any changes due to corporate actions like name changes, deletions, and IPOs. If you decide to expand your data base coverage and request new data, this automated way of uploading and modifying your database for new changes will make processing of this very convenient for you.
ADDITIONAL FEATURES
- We offer end-of-day data going back to November 2000
- You can purchase historical data and/or ongoing updates
- You define a universe of instruments you're interested in and not paying for extra information you do not really need
- Extra information is available for you - splits, dividends, multiple-terms interest rates - all data needed for correct implied volatility calculation
Read 
More details on available dataset or download our in-depth data guide IVolatility Data Guide (500K)
PRICING
Our pricing varies by the type of dataset we provide, and by the amount of data we provide, i.e how much history you require and for how many symbols. Please use this document for reference:
IVolatility Data Pricing
You can also request a quote on your specific order or contact us by email - sales@ivolatility.com
