Historical implied vol for LGOc1

matthew.ang
matthew.ang
in Eikon Data APIs

Hi, I'd like to get the historical IV for the ATM option of the front-month LGO contract. I've found LGOATM+0c1 and the fields IMPLIED_VOLT/TR.IMPLIEDVOLATILITY, but none of them seem to work.

Thank you in advance!

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Best Answer

  • marcin.bunkowski
    marcin.bunkowski
    Answer ✓

    Hi @matthew.ang, we have also data items called implied volatility index for pre-defined periods.

    image

    Example syntax:

    df,err = ek.get_data('LGOATMIV',['TR.30DAYATTHEMONEYIMPLIEDVOLATILITYINDEXFORCALLOPTIONS.date','TR.30DAYATTHEMONEYIMPLIEDVOLATILITYINDEXFORCALLOPTIONS'],,{"Sdate":'-10D', "Edate":'0D'})


Answers

  • Alex Putkov.1
    Alex Putkov.1

    To get current implied vol for LGOATM+0c1 use field name IMP_VOLT. To get the history use RHistory function in Excel:
    =RHistory("LGOATM+0c1","IMP_VOLT.Timestamp;IMP_VOLT.Value","START:10-Jan-2020 END:10-Feb-2020 INTERVAL:1D",,"CH:Fd")

  • matthew.ang
    matthew.ang

    What would be the Python function to do the same?

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