volatility surface for .DJI

Moti.Konak
Moti.Konak
in Refinitiv Data Platform

Hello,

I am using python script to calculate evaluations of OTC Equity options via RDP and the parameter volatility_type='SVISurface' works well for most cases. I noticed that for OTC Equity Options with Dow Jones Index as underlying (<.DJI>) the volatility (vol) returned is the same regardless of maturity and/or strike which should not be the case for a surface.

Can you please let me know if another instrument code (instead of .DJI) should be used to get the right vol? or any other suggestion?

I attached the code and results.

Thanks,

Moti


DJI_VOL.txt

DJI_Python.txt


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Best Answer

  • Jirapongse
    Jirapongse
    Answer ✓

    @Moti.Konak

    Thank you for reaching out to us.

    As this forum is more for programming type queries, rather than content queries - I would recommend you raise a 'I need help understanding content within the product's ticket with our helpdesk. That way a Content specialist can work closely with you and verify the assumption.

    The product is "Instrument Pricing Analytics - Refinitiv Data Platform".

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