How can I get historical Volatility surface?

thekimk
thekimk
in Datastream

1690274260600.png

I want to get historical volatility surface data for KOSPI200 options.

I found above data with 'KS200VOLSURF' but I just can check real-time data.

I want historical volatility surface data like above format(for example, 1year daily data each have above format).

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Best Answer

  • Jirapongse
    Jirapongse
    Answer ✓

    @thekimk

    Thank you for reaching out to us.

    I am not sure that if this article (Instrument Pricing Analytics - Volatility Surfaces and Curves) can help. It supports the calculationDate parameter with is the date at which the volatility surface is constructed. The product is Refintiv Data Platform APIs.

    For more information, please refer to the IPA Volatility Surfaces - Getting Started document.

    I tested the following request.

    {
      "universe": [
        {
          "surfaceTag": "1",
          "underlyingType": "Eti",
          "underlyingDefinition": {
            "instrumentCode": ".KS200"
          },
          "surfaceParameters": {
            "priceSide": "Mid",
            "volatilityModel": "SVI",
            "xAxis": "Tenor",
            "yAxis": "Strike",
            "calculationDate": "2023-07-01"
          },
          "surfaceLayout": {
            "format": "Matrix",
            "yPointCount": 10
          }
        }
      ]
    }

    The output is:

    1690350864707.png


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