I am looking for Implied volatility data for the 100% moneyness symbols. The filed is "O6" for 6M AT

mehul.mathur
mehul.mathur
in Datastream

For example the 100% moneyness symbol for AAPL.OQ is AAQ$MONEY100. I want data for this symbol through datastream API. Thanks

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Best Answer

  • Jirapongse
    Jirapongse
    Answer ✓

    @mehul.mathur

    You can use the DataStream Website to find instruments and fields. For example, these are valid fields of AAQ$MONEY100.

    image

    Then, you can use the DatastreamDSWS library to retrieve the data.

    For example, this is a sample python code:

    import DatastreamDSWS as DSWS
    ds = DSWS.Datastream(username = 'username', password = 'password')
    df = ds.get_data(tickers="AAQ$MONEY100",fields =["O6"], kind=0)
    df

    For time-series data:

    df = ds.get_data(tickers='AAQ$MONEY100', fields=["O6"], start="2011-01-01", end="2019-01-01", kind=1)
    df

Answers

  • mehul.mathur
    mehul.mathur

    Thank you very much Jirapongse Phuriphanvichai. It worked. Could you please help me on How we can get these "100% moneyness" symbols in API. For example AAQ$MONEY100 for AAPL.OQ.

    Many Thanks

  • Jirapongse
    Jirapongse

    @mehul.mathur

    The API supports "DS.SYMBOLLOOKUP" to lookup symbols.

    df = ds.get_data(tickers="APPLE", fields=["DS.SYMBOLLOOKUP(Count=20)"], kind=0)

    However, it is unable to look up those "100% moneyness" symbols. Therefore, you may not be able to get those "100% moneyness" symbols in API.

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