Find historical option price for given ticker, date and strike price closest trading price?

tmohann
tmohann
in Eikon Data APIs

I trying to get the option price (Put and Call) for a given ticker, and the following criteria? I am getting lost in seeing the proper way to do this via Eikon API. Do you have any ideas on how to get it done?

For example, given the following criteria, what is the best way to get the put and call option price?

Ticker

Date - 11/1/18

Strike price - closest to 11/1/18's price (I can inject it during the API call, if need be)

Expiration - Next expiring and atleast 15 days away from 11/1/18


May be I need to do multiple queries to get the appropriate option RICS and then query again for the price. Eitherway is fine. Just looking for a workable solution. Appreciate any guidance

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Best Answer

  • James.Perkins
    James.Perkins
    Answer ✓

    You can retrieve expired option pricing, but you have to construct the RIC, and there will only be prices for the life of the option (in most cases 3 months)...

    You can reference RULES2 in Eikon for letter/month conventions and RULES7 for the breakdown of the RIC structure. To access historical you need to use "^" followed by the expiry month letter and year... in the example below ^G18 (expiring in Feb 2018).

    option = ek.get_timeseries(['ECAG201801100.U^G18'],start_date='2018-01-10',end_date='2018-02-10',interval='daily')

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Answers

  • tmohann
    tmohann

    James - This is great!! Appreciate your speedy response. Incredibly helpful. I will look into the RULES2 and 7 to build it. I am trying to understand your comment - ".. there will only be prices for the life of the option (in most cases 3 months)". Do you mean the pricing is only available during the ~3 months of the particular option i.e. we have to specify start/end dates during those 3 months? Just want to make sure I understand that. Thanks

  • James.Perkins
    James.Perkins

    Great. glad helpful. Yes, the pricing for an option will only exist as long as the option exists itself... most options lives are 3 months from listing to expiry. However, in the example I provided, which is actually an Option on a Future (rather than a traditional Equity option) there is in fact a longer history since the underlying keeps rolling ...

  • tmohann
    tmohann

    James - Few more follow up questions to build the RIC structure.

    1. Is there a way to find the strike price interval for a particular stock?

    2. For a given stock and date, is there a way to find the next two expiry dates? For ex, AAPL.O on 11/1/18, how do we get the next two expiry dates?

    3. Once we build a RIC using the above information, is there a way to check if it is a valid RIC? I am presuming an API call will return "Invalid RIC" if it is not correct. Want to find out if there is a suggested practice in checking if a RIC is valid.

    Thanks

  • James.Perkins
    James.Perkins

    good questions. If the RIC is invalid you'll get an error "Invalid RIC" . In terms of knowing what the subsequent expiration dates are I don't believe this is baked into the RULES pages, however, almost all options have very predictable and specific rules outlined by the trading venues ...for US Equity options mainly the 3rd Saturday of the month CBOE and MarketWatch

  • eb_13
    eb_13

    Why is there not a function to get historical and current set of available listed option expiry dates for a given underlyer? The data must be readily available in eikon already...

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