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Is there an API for IV rank?

I'm just testing a short put strategy for IV Rank >70. But I cannot find IV rank anywhere in the API. Do we need to calculate it ourselves? 

Thank you.

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Let me know if you find it, I haven't been able to find any references to one in the docs. With how slow the options backtests are already, a custom function for an ATM30 IV on a minutely basis would probably grind the backtest to a halt.

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Hi Dat,

IV Rank is not in the API and Implied Volatility can't be accessed via a historical data request, but we have it on our to-do list and hope to implement it in the near future. To can view the status of this feature here in GitHub. In the meantime, Implied Volatility is easy to access and you can calculate the IV Rank using Rolling Windows (find out more about them here) by storing historical IV values. I've attached a backtest below demonstrating how this can be done.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Update Backtest





0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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