How to get historical implied volatility data of FX pairs ?

jincy.jose
jincy.jose
in Eikon Data APIs
How to get historical implied volatility data of FX pairs ?
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  • jason.ramchandani01
    jason.ramchandani01
    Answer ✓

    @jincy.jose Hi so we provide a number of pre calculated realised volatilities over different periods - please see the following:

    ek.get_timeseries(['JPY1MVCC=R','GBP3MVCC=R','EUR6MVCC=R'],'CLOSE',start_date="2021-04-29",end_date="2021-07-29")

    I hope this can help.

Answers

  • Alex Putkov.1
    Alex Putkov.1

    @jincy.jose

    I understand you're asking for implied rather than realized volatility, right? @jason.ramchandani provided examples for the latter. The former is available from chains like 'JPYVOL=', which provide implied vol for ATM, 10 and 25 delta butterflies and risk reversals. Each of those is available historically. E.g. daily history for USDJPY 3 month 10 delta risk reversal vol can be retrieved using RIC JPY3MR10= and get_historical_price_summaries method of RDP Library, e.g.

    import refinitiv.dataplatform as rdp
    rdp.open_desktop_session('YOUR_APP_KEY')
    rdp.get_historical_price_summaries('JPY3MR10=')

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