IVolatility.com - data and services usage: Data Download Wizard

The Data Download Wizard is one of the first services that were made available here at IVolatility.com. Though the service purpose is pretty straightforward and the usage quite easy we, nevertheless, think it worth a dedicated article in our Data and Services Usage series.

Available Datasets

Let us start with re-iterating why you would need to use the Data Download Wizard. The obvious answer is to download the data for your custom analysis. The Wizard is a direct interface to IVolatility Database - a historical database that keeps end-of-day prices, fundamental data (such as dividends, splits, interest rates etc), implied and realized volatilities, correlation, beta and many proprietary indicators of North American and European markets since November 2000 � more than six years now (including all de-listed instruments).

As of now the Wizard offers the following datasets for the download in a CSV (comma-separated values) format:

  • Realized (Historical) Volatility � a statistical measure of the variability of a stock price. To be exact this is �a standard deviation of a stock's returns over a fixed number of observations�. See our Knowledge Base for an in-depth description.
  • Individual Option Contract Implied Volatility data (Raw IV) on each option provides actual Implied volatility and Greeks based on the full string for the listed contracts (including contracts bid/ask, volume and open interest).
  • Implied Volatility Index (IV Index) is a best measure of averaged implied volatility for an equity or Index. We calculate such a composite Volatility for a stock by taking suitable weighted individual option volatilities (see more in the Knowledge Base or read our past newsletters on the subject)
  • Implied Volatility Surface by Moneyness: a surface normalized by moneyness and maturity built on �raw� IV basis by interpolation. The most convenient way to capture data for any kind of options historical analysis as it provides the standard matrix of moneyness and days to expiration. See Volatility Surface by �Moneyness� section in our recent article on available representations of Implied Volatility surface.
  • And finally, due to a large interest, a subset or Raw IV dataset - Equity Options prices (NBBO) with volume and open interest was added recently.

Of course you don�t always need to get access to the �raw� data � we offer a wide set of services that can be used both for historical analysis of a particular stock and its options (like Advanced Historical Data that shows most interesting indicators in a graphical form) or to look at the current market volatility (available in many services, Advanced Options page is the one to start from). Moreover, you can use the Options Scanners Suite - the only service you need to find the best trade available on the market.

If, however, you do need to work with the data in a custom analysis Worksheet and need past historical data as numbers (not a chart), the Data Download Wizard is the service you need. The service is also a perfect information source for Derivatives Accountants (FAS 133), Stock Option Accounting (FAS 123), Fair Value reporting � whenever you need the implied volatility data for any publicly traded instruments.

Service cost and limitations

Unlike the rest of IVolatility.com, the Data Download Wizard service does not offer a free trial � you always pay for the data you download, based on the amount of information you need. The more you download the lower the information price is. For the detailed rates schedule please look here (very bottom of the page), to give you an idea of the price � 5 years of IV Index for 5 stocks will cost you around $90 dollars (and you can download this information as many times as you need), Options price with volume and open interest for the same period will be around $36. If you need a larger dataset you might consider making a bulk data request (here is the form to submit or just email us at support@ivolatility.com) � for large requests we provide large price discount (up to 50% off for orders above $500).

You will also have to submit a custom request if your order exceeds a file download size limit. For example, you can download 6 years of IV Index (or Historical Volatility) for 50 instruments in a single file, but when dealing with options data the file size grows significantly (and depends on the amount of strikes particular underlying has) � so you will only be able to download around 4 years of data for just one stock of Raw IV data (even less for an Index). You can still download the data you need but you will have to split your request in several portions breaking it by the historical range.

Finally, a minimum download charge is $3, but if your order is less than this minimum charge you will have the service credit valid for 24 hours. If your download order is less than $10 we don�t charge it right away, your card will only be charged when the total amount due will exceed $10 or a 3 months period passes after the first download.

Service Usage and Tips

To start the data download you just need to click on the Download Wizard link in the left menu or top drop-down menu. The first time you access this page you will be asked to subscribe to the service (a link at the top of this page). The service subscription does not mean any immediate charge, you will be charged later when you will actually download the data (and you will be given a screen to confirm every data order). So here the subscription is just a registration (though you will do need to provide payment information � your credit card).

Once you�re subscribed you can start using the service � a straightforward four steps Wizard.

The first step is about selecting the instruments you want to download. You can either enter a comma-separated list of tickers plus select the market on the left (choose from USA, Canada and Europe markets) or, you can use your pre-defined Favorite list on the right. When you click �Add� the instruments will be added to your instruments �basket�

Fig. 1. Populating your �basket� of instruments

In case you�ve entered a ticker which was not recognized by the system (instead of entering MSFT above you�ve typed �Microsoft�) that will be added to the list as an unknown instrument, with an option to correct it using the �symbol lookup� link offered in the �comment� field:

Fig. 2. Correct the unrecognized ticker

On the next screen you can use the �lookup� functionality to find the ticker of the instrument you need � you can search by part of a ticker or a company (or index) name, when the result will contain the instrument you need just click on the ticker (see figure 3 below).

Fig. 3. Use the �symbol lookup� screen to find the instrument you need

When you�re done with the list of instruments just click on the �Next� button to proceed to the next step. Here you can select one of the 5 datasets offered; you�re also given a �record� price and quick description of the dataset. You don�t need to do any math on the order price since you will be shown the exact figure a bit later:

Fig. 4. Choose your dataset

Fig.5. Choose the required historical data range and time-series frequency

Once you�ve selected the dataset click the �Next� to proceed to the historical range selection screen:

Here you can modify historical data range and the time-series frequency (by default we assume you need daily data, but you can always select �weekly� or even �monthly� data). The table at the bottom shows what period our database covers, total number of records for the stock and amount of records you have downloaded for each stock anytime before (as you see we have IV index data for some stocks even before November 2000). I will only need the last year data so will adjust the range accordingly verify the order:

Fig. 6. Last chance to modify the order

The order is ready; as a matter of fact you still can modify the dataset � change the range, remove any item from the basket, or even click on the �Step 1� or �Step 2� links to go back and modify the order, but BEFORE clicking the 'Accept' button. When you click on the �Accept� button you confirm the order and proceed to the data download screen:

Fig. 7. Preview and download the order

On this final screen you can define the columns of the file you are about to download - specify the IV Index (or HV) �terms� or Volatility surface �maturities�. You also can preview the data on the screen before the download (one instrument at a time).

You can always re-download your order anytime later � just click on the �My Downloads� link in the Data Download menu:

Fig.8. Revise your downloads history and re-download any previous order

Here you can see the full list of all your past downloads and re-download each order again.

You might have noticed the Daily Data link on the Fig. 7 � this is another related data service � Daily Updates Wizard. The Updates Wizard will be the topic of our next newsletter. Meanwhile, feel free to email us your questions at support@ivolatility.com.