Option Volume Traded and Open Interest for a stock

swapna.dr
swapna.dr
in Eikon Data APIs

Is there a way to get call and put option volume traded on a particular stock on a given date through the API? And similarly Open Interest. If a direct data item is not available, is it possible to get the data to help me aggregate it? Thank you

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Best Answer

  • Alex Putkov.1
    Alex Putkov.1
    Answer ✓

    I don't believe this data is available in Eikon historically. You can retrieve volume and open interest for individual options including expired options. But I cannot think of any way to reconstruct the options chain or the list of options that were active as of a given date.
    You may want to verify this information with Refinitiv Helpdesk, which is the best resource for any content search and explanation queries. Ask if this data can be retrieved into Excel. The rule of thumb is if the data is available in Excel, it's available through Eikon APIs.

Answers

  • vlad.dimanshteyn
    vlad.dimanshteyn

    Hi Alex,

    How do I retrieve 'OPENINT_1' or 'TR.OPENINTEREST' with EIKON API? I'm using df, e = ek.get_data('IBM.N', ['OPENINT_1'], {'SDate':'2022-01-01','EDate':'2022-04-01'}) and its coming back with NA. Thanks

  • vlad.dimanshteyn
    vlad.dimanshteyn
    Also, if I get historical data subscription, will I be able to get historical SPX option chains as of market close? Thank you

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