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Implied Volatility |
bharatpatel
White Belt
Joined: 26 Oct 2011
Posts: 397
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Post: #1  Posted: Mon Sep 05, 2016 2:20 pm Post subject: Implied Volatility |
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How to get IV (Implied Volatility EOD data) values .. close or O H L C Eod based ... ?? Working on a set up and need help in that regard ..
Thanks |
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pkholla
Black Belt
Joined: 04 Nov 2010
Posts: 2890
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| Post: #2 Posted: Wed Sep 07, 2016 10:56 am Post subject: |
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Bharat: I tried to get "implied volatility" in a search of NSE, they are giving me result = India VIX
However there is one value you can check
eg enter pincon in box and get quotes for Pincon Spirit Ltd, here you will find link to VALUE AT RISK% (VaR%) comprising of Security VaR = 6.48 AND other values leading to "applicable margin rate" = 12.50 (%)
This VaR is different for different shares, eg GMBREW has VaR = 14.93%, as it must be even more volatile?
ITC has VaR of only 4.16, SBIN = 6.58, AxisB= 6.74, LT = 5.05
In my opinion you can use this Security Value at Risk or VaR% as a substitute for the IV you are seeking?
Cheers, Prakash Holla |
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bharatpatel
White Belt
Joined: 26 Oct 2011
Posts: 397
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| Post: #3 Posted: Wed Sep 07, 2016 3:41 pm Post subject: |
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| pkholla wrote: | Bharat: I tried to get "implied volatility" in a search of NSE, they are giving me result = India VIX
However there is one value you can check
eg enter pincon in box and get quotes for Pincon Spirit Ltd, here you will find link to VALUE AT RISK% (VaR%) comprising of Security VaR = 6.48 AND other values leading to "applicable margin rate" = 12.50 (%)
This VaR is different for different shares, eg GMBREW has VaR = 14.93%, as it must be even more volatile?
ITC has VaR of only 4.16, SBIN = 6.58, AxisB= 6.74, LT = 5.05
In my opinion you can use this Security Value at Risk or VaR% as a substitute for the IV you are seeking?
Cheers, Prakash Holla |
Thank you sir .. but i am looking for CE & PE strikes IVs .. everyday it is on nse website .. but problem is .. if one fails to note down before next day market open .. it's impossible to get from NSE site .... So i was looking for any reference of web site or anyhow if it is possible to have data of july series and current sereis to back test my set up ... i am having sept. series data .. but have to wait for entire month to end .. and then can run back test ... so trying to save time .. Thanks. |
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Prutech
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Joined: 09 Apr 2019
Posts: 8
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