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Implied Volatility of iPath ETNs - IV Historical Data
iPath Exchange Traded Notes, ETNs, are unsecured debt securities, delivered by Barclays Bank PLC, that offers investors a way to track and earn from the return of strategies or market indices.
ETNs follow the performance of a benchmark or market index; the iPath EUR/USD Exchange Rate ETN for example, tracks the performance of the Euro compared to the U.S. dollar and consequently increases when the EUR/USD currency appreciates and decreases when the EUR/USD Forex pair declines. Another example is the S&P 500 VIX Short-Term Futures Index, an ETN designed to track the stock market volatility via the VIX Index (CBOE Volatility Index).
The implied volatility of all iPath ETNs are downloaded by this trading object. This item downloads the implied volatility data from the iPath ETN website and then stores it in the "volatility -> iv" database field.
Here is an example on how to access and plot the implied volatilityon a chart:
iv = GetData("volatility" , "iv");
plot(iv, "Implied Volatility");
And here is a trading rule that returns a bullish/bearish signal when the implied volatility of the corresponding ETN is lower than its 30-Bar moving average:
GetData("volatility" , "iv") < SMA(GetData("volatility" , "iv"), 30)
An increase or decrease in the implied volatility can be measured using the RoC or rate of change technical analysis indicator; here is an example:
roc(GetData("volatility" , "iv"), 10) > 5
The above trading rule returns one if the implied volatility of the underlying ETN increases by more than 5% during the previous 10 trading days.
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