Re:Show HN: A simple way to get options prices for free
by matheweis on Wednesday April 12, 2017 @03:23AM
(#14095526)
It doesn't really work using VIX either. At the end of the day, using any constant across the options (measured volatility, VIX, etc.) you're assuming a flat volatility surface which you simply don't see in the real world.
A better approach might be to use some kind of avg volatility surface with VIX as a baseline, but even that leaves you with no sentiment.
For some strategies this might work well enough (e.g. a flat volatility surface implies a lot of 50/50 probabilities), but for any advanced historical analysis (which seems to be the scope of this post), you really need to have the price/IV of evry individual option.
A better approach might be to use some kind of avg volatility surface with VIX as a baseline, but even that leaves you with no sentiment.
For some strategies this might work well enough (e.g. a flat volatility surface implies a lot of 50/50 probabilities), but for any advanced historical analysis (which seems to be the scope of this post), you really need to have the price/IV of evry individual option.