Collected implied volatility using Eiklon Python package

aminhushen

I am trying to collect AUDCAD 1 month implied volatility using pyton's Eikon package.

ek.get_data('AUDCAD1MO=R', 'IMP_VOLT')

Here is the error returned.

( Instrument IMP_VOLT 0 AUDCAD1MO=R NaN, [{'code': 251658244, 'col': 1, 'message': "Error: Field 'IMP_VOLT' was not found in response for the instrument 'AUDCAD1MO=R'", 'row': 0}])

I am able to collect its implied volatility from excel function. What is the correct way to fetch the data?

Alex Putkov.1

You say you can retrieve what you need into Excel. What is the call you use in Excel?
Field IMP_VOLT does not exist for RIC AUDCAD1MO=R. RIC AUDCAD1MO=R provides several implied volatilities: bid volatility can be found in field "BID", ask volatility can be found in field "ASK", mid volatility can be found in field "PRIMACT_1".

aminhushen

I am using Build Formula function and select implied volatility in the search data item.

The script only returns bid/ask price by using ek.get_data('AUDCAD1MO=R', 'BID')

I am still new to Eikon package. Do you know what I need to replace 'IMP_VOLT' for implied volatility? A sample code can be great.

Thanks

aminhushen

The script returns implied volatility by using ek.get_data('AUDCAD1MO=R', 'BID'). Thanks Alex!

aminhushen

I tried ek.get_data('AUDCAD3MO=R','TR.IMPLIEDVOLATILITY')

This time, implied volatility column shows NAN.