Implied Volatility

In today’s tutorial we investigate how you can use ThetaData’s API to retreive 10 years of historical options data for comparing Implied Volatility to Historical Volatility. We also describe what the difference between historical volatility and implied volatility actually is.

In today’s tutorial we investigate how you can use ThetaData’s API to retreive historical options data for end-of-day, and intraday trades and quotes. We will create volatility surfaces use an interpolation method (B-Splines) to compare surfaces between the morning (10am) implied volalitity and afternoon (2pm) implied volatility surfaces.