-
Volatility Cube in API Playground
output volcube1.txt I’m using the api “https://api.refinitiv.com/data/quantitative-analytics-curves-and-surfaces/v1/surfaces” The data downloaded from the api for vol cube seems different from Eikon app. eg. the USD vol is constant. EUR IBOR and ESTR vol cubes are the same. Is there something wrong with the output? Output…
-
Very high implied volatilities in Option Watch
Hi, in the option watch I see very high implied volatilities that do not match the Exchange. For example, for a Class IV Milk March24 18.50 Put option, the OPWSettleImpliedVolatility is equal to 770.7962 while the exchange reports an implied volatility of 16.61. There can be small differences due to different…
-
Not being able to access Implied Volatility Data of Indian Stock Options using Python in Eikon Data
I am trying to retrieve implied volatility data of Indian stock options by inputting the ISIN CODE. My end goal is to create a data frame with company, date and implied volatility. As you can see, I'm not being able to retrieve anything. Can you please guide me as to how I can go about it? Thank you!
-
How can I get historical Volatility surface?
I want to get historical volatility surface data for KOSPI200 options. I found above data with 'KS200VOLSURF' but I just can check real-time data. I want historical volatility surface data like above format(for example, 1year daily data each have above format).
-
Historical volatility on stock prices
Hi, I am using the Eikon Excel add in and would like to find an efficient way to retrieve the annual volatility of stocks, per year, from 10 years back to today. How do you build such a formula? Thank you!
-
Efficient Way to Get Historical ATM Implied Volatility
I'm trying to find an efficient way to download the Historical ATM Implied Volatility using python. Currently, I use the following code to get the historical volatility for some options: vol_df = rd.get_history(universe=option_ric, fields=["IMP_VOLT], interval="1D", start=start_date_2, end=end_date_2) But I realized when I…
-
symbology conversion for ATM Implied volability RICs
Hello I am wondering if it is possible to convert a stock/etf RIC into the corresponding at the money implied volatility RIC. the following code will not provide an answer: df,e = ek.get_data('ASML.AS', ['TR.30DAYATTHEMONEYIMPLIEDVOLATILITYINDEXFORPUTOPTIONS.Date', 'TR.30DAYATTHEMONEYIMPLIEDVOLATILITYINDEXFORPUTOPTIONS' ],…
-
How do I adjust Values of yAxis displayed on Matrix of FX Volatility Surface IPA?
I am retrieving matrix of IPA FX Volatility surface by using sample file on Github: https://github.com/Refinitiv-API-Samples/Article.RDPLibrary.Python.VolatilitySurfaces_Curves However, Values of yAxis seems not correctly displayed on Matrix of FX Volatility Surface IPA. Although setting up yValues as below in parameter of…
-
How do I set up call/put in parameter for IPA FX Volatility surface API ?
A way to set up Call/Put in parameter for IPA FX Volatility surface API is not mentioned in the document"IPA Volatility Surfaces : FX". In Eikon FXVE, call delta and put delta are automatically come up in the bottom section by selecting "delta" as Y axis on the top left of the app: (Y axis=delta) (Call delta/Put delta)…
-
FX volatility smile
Hi, I have a doubt regarding the volatility smile that can be retrieved through the quantitative-analytics-curves-and-surfaces/v1/surfaces endpoint. I am making the http request with this body: { "universe": [ { "underlyingType": "Fx", "surfaceTag": "FxVol-GBPEUR", "underlyingDefinition": { "fxCrossCode": "GBPEUR" },…
-
How to retrieve interest rate volatility cube
Hi, I am currently trying to understand the response of the example code in here: Firstly, I would like to know if it is possible and how to retrieve the normal volatilities. I would also like to understand what is the content of 'calibrationParameters', the data structure is not well defined and there are negative values.…
-
How to interpret Cap volatility surface response
Hi, I am using the API playground to retrieve the EUR Cap volatility surface, but I have a question regarding the response data. In the description of the API endpoint I see the following sentence: It points out that the stripped volatility surface is returned, but what I want is the flat volatility surface. In the…
-
How to receive volatility surfaces for the SPX corresponding to the shortest tenor available?
How can I receive volatility surfaces for the SPX corresponding to the shortest tenor available? Using Eikon SURF for example, I can get the volatility surfaces for March 17, 2021. But the curve/smile that is the nearest in the future has an expiry on March 26, 2021. Are there curves/smiles available with a shorter tenor?…
-
Volatility Surfaces inputVolatilityType
Could someone please explain the difference between Implied and Quoted for inputVolatilityType on the surfaces API endpoint: https://api.edp.thomsonreuters.com/data/quantitative-analytics-curves-and-surfaces/v1/surfaces From API documentation page: inputVolatilityTypeenumThe enumerate specifies the type of volatility used…
-
Volatility surfaces for japanese equities?
Hello, Does the API support creating volatility surfaces for instruments on the tokyo stock exchange, such as: 4503.T This ric has an option chain ric, 0#4503*.OS, so it seems like the creation of a volatility surface should be possible. However, the below API request fails. API endpoint:…
-
pull historical implied vol in python eikon api
hi, i have been looking up similar thread here, find out there is no a mapping features in eikon.get_timeseries() api for excel query: RHistory("AAPLATMIV.U","NDA_RAW.Nda_date;NDA_RAW.Nda_d30_atm_iv_call","START:18-Jun-2018 NBROWS:3 INTERVAL:1D") back to 2018, i.e., those special field beside default values. Wonder if…
-
What is the RIC for VIX Future spread product? For example VIX Future Spread product between VXc2 &
What is the RIC for VIX Future spread product? For example VIX Future Spread product between VXc2 & VXc3 is UXX0UXZ0 as per bloomberg. We are loking for equivalent of this in Reuters.
-
Swaption bp vol time series data retreival in python
In excel using the formula =RHistory("GBP20YX20Y=ICAP",".Close;.Timestamp","START:01-Jan-2019 END:18-Aug-2020 INTERVAL:1D",,"TSREPEAT:NO CH:IN;Fd",H10) does not retreive data back to presant day. Equivalenty using python it returns the same data using the following: df = ek.get_timeseries(['GBP20YX20Y=ICAP'],…
-
I am looking for Implied volatility data for the 100% moneyness symbols. The filed is "O6" for 6M AT
For example the 100% moneyness symbol for AAPL.OQ is AAQ$MONEY100. I want data for this symbol through datastream API. Thanks
-
Failed to get access token 400
Hello, I am trying to connect to the Refinitiv platform and receive volatility data, but I always get the same error "Failed to get access token 400". I'm having the same error trying the example of the "Quickstart guide for Refinitive Data Platform" I have verified that the user, password and application ID are correct.…
-
How to get historical implied volatility surfaces with Python API?
We can get implied volatility surfaces in tabular format for the specified date withth " EQUITY VOLATOLITY SURFACE". Is it possible to obtain similar historical implied volatility surfaces data by specifying a date using Python API?
-
What API to use to get quote snapshots
Hi All: We are building a pricing service that requires getting quote snapshots every few minutes. We would also like to get implied volatility for a given underlying equity where possible. The pricing service is written in python and runs on Linux (though we can run it on Windows as well). Also, I am currently…
-
Historical implied vol for LGOc1
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!
-
Why does Eikon Python API return empty fields on certain names?
I use the function eikon.get_data() from Eikon Python API to retrieve option data. The fields I use are 'TR.OPWAskImpliedVolatility' and 'TR.OPWBidImpliedVolatility'. Sometimes I got empty data while I am able to see the numbers in the DIB window in Eikon API. For example, I can see the values of these two fields for the…
-
search for implied volatility in datastream
Dear Sir/Madam, I was trying to look for the implied volatility time series for the companies such as starbucks. In the datastream excel, when I typed the VL (symbol for implied volatility) for Starbucks, it comed out with 'error, invalid code or expression entered'. Can I actually get the data of implied volatility time…
-
ek.get_data on option chain ticker
Hi, I'm able to get the "Option Watch Implied Vol" on an individual option like this: df, e = ek.get_data('EMBA172011400.U', ['TR.BIDPRICE','TR.ASKPRICE','TR.OPWBidImpliedVolatility', 'TR.OPWAskImpliedVolatility']) However, the same does not work on the option chain ticker 0#EMB*.U: df, e = ek.get_data('0#EMB*.U',…
-
How to get "Option Watch Implied vols" in python api?
I noticed that in Eikon DIB, the fields "TR.OPWBidImpliedVolatility", "TR.OPWAskImpliedVolatility" reflect different implied vols compared to 'TR.IMPLIEDVOLATILITYOFBIDPRICE','TR.IMPLIEDVOLATILITYOFASKPRICE' (e.g. check EMBA172011400.U). On the one hand, I'm not sure what's the difference between those two sets of the…
-
Download historical value of Volatility250D
Hi, I am trying to download historical value of Volatility250D using the field TR.Volatility250D. However, even after providing the start and end date in get_data( ) function, I only get today's value of Volatility250D. Does anybody have an idea how to get historical values for the same? Take "TCS.NS" as sample RIC. Thanks
-
How can I pull historical implied vol surfaces to python?
Hi, is there a way to pull historical implied equity vol surfaces (e.g. .STOXX50E) to python via eikon app or datastream app? Thanks, Steffen
-
Find or calculate intraday volatility.
Hello everyone, I was wondering if any of you knows how to get the intraday volatility using Eikon API for Python. Or at least, if you knew any CF_ or TR formulas that could serve as snapshots for such value. The closest thing to what I've seen is the 2-day volatility TR formula but I want to know if I can get closer to…
-
Collected implied volatility using Eiklon Python package
I am trying to collect AUDCAD 1 month implied volatility using pyton's Eikon package. ek.get_data('AUDCAD1MO=R', 'IMP_VOLT') Here is the error returned. ( Instrument IMP_VOLT 0 AUDCAD1MO=R NaN, [{'code': 251658244, 'col': 1, 'message': "Error: Field 'IMP_VOLT' was not found in response for the instrument 'AUDCAD1MO=R'",…
-
Hi. I want to know whether there are steps into Thomson Reuter implied volatility calculations. Bloo
Hi. I want to know whether there are steps into Thomson Reuter implied volatility calculations. Bloomberg already introduced it and I am wondering if its the case for Thomson Reuter. Thank you in advance.
-
Retrieving historical swaption volatility with ek.get_data
Hello, I am trying to retrieve historical BasisPoint OIS-discounted swaption volatility in Python. I managed to retrieve the latest values with the following command for example for EUR 1m10y volatility: ek.get_data('EUR1MX10Y=ICAP', 'GEN_VAL1') But when I try adding the start date and end date parameters…
-
How do I get future price and volume of volatility indeces from Tick History?
I tried to get price and volume data of volatility indices using RIC, VXTYc1, VXTYc2 and .TYVIX. from Tick History. I set all fields I could in report template setting, but I could not get any record for every fields and instruments. Do you know any futures actively traded for volatility of US treasuries or government…
-
volatility surface
Hi, I am trying to get this function to work in eikon but I was not able to make it work. Could you advice how to retrieve this? Eikon excel: TR("SAN.MC","TR.SurfVolMoneyness","CH:Range RH:Tenor Range:50;150 Tenor:1M;10M VolType:MID",,) Python: case 1: case 2:
-
Future Option time series data using Python EikonDesktopData API
Hi, I am trying to build historical volatility surface using Python EikonDesktopData API. I'd need to extract the following fields PREMIUM, SPOT, STRIKE_PRC, STRIKE_PRC, DELIVERY MONTH, INTRST_RTE, I am getting Null values for all the queries in the code below. Could you please help here, where I'm making mistake? Thanks.…
-
Retrieve current historic volatility surface
Hi, I am wondering what the most elegant way to retrieve a full surface through the Python API is. For example LCOSURF3 contains a lot of RICs like LCO100N1MO=R for which historic as well as live values can be retrieved. Is there another way except pulling the data RIC by RIC?
-
EOD Implied volatility of equity stock options
I tried to follow the tutorial https://developers.thomsonreuters.com/thomson-reuters-tick-history-trth/thomson-reuters-tick-history-trth-rest-api/learning?content=11268&type=learning_material_item in python and managed to retrieve the field list for EOD data but i don't see any fields to retrieve the implied volatility. Is…
-
How can I download FX historical and implied volatility?
Hello, I am quite new at using the Eikon API. I managed to download "EUR=" historical open, high, low and close by using the ek.timeseries function. I am now looking to download historical and implied volatility for the EUR/USD. When I type: data, error = ek.get_data('EUR=', ['CF_DATE', 'HST_VOLT'],…
-
Retrieving panel data- where can I find documentation on syntax and values?
Hi all, I have a list of SEDOLs that I need to get time series data for. I know that I can convert the sedols into RICs and use that as an array, but I can't figure out how to get multiple values in the get_timeseries function and the appropriate names to use to get values. For example, I know I can use "Close" to get…