Historical volatility surface or option data
Hello,
I am looking for a way to retrieve, via either Eikon API or Refinitiv Data Library for Python, the historical volatility surface (ie at any given date, a matrix of IV with option strikes along cloumns and option tenors along rows) of options on both equity indices and individual stocks.
Alternatively, it would suffice to retrieve data (price and contract features) for all options quoted/traded at any given date on a given equity index or individual stock.
Please can you advise?
Many thanks Dario
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Best Answer
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Hello @Dario
I am not the IPA expert, but there are some old posts that might help you as follows:
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