Volatility Surface

kenley.macandog123

Hi Team,

Script below works for 0#STXEVOLSURF but not for 0#IBOVVOLSURF

Please advise.

import refinitiv.dataplatform.eikon as ek

import pandas as pd

ek.set_app_key('DEFAULT_CODE_BOOK_APP_KEY')

chain_df, err = ek.get_data('0#STXEVOLSURF',['GV3_TEXT','GV4_TEXT'])

moneyness_labels = chain_df['GV4_TEXT'].tolist()

vol_surf_df = pd.DataFrame(columns= moneyness_labels)

ric_list = chain_df['Instrument'].tolist()

chain_df.set_index('Instrument', inplace=True)

#chunksize = 50

chunksize = 50

for i in range (0, len(ric_list), chunksize):

tmp_df = ek.get_timeseries(ric_list[i:i+chunksize],

start_date='2023-02-14', end_date='2023-02-16',interval='daily')

for x in tmp_df.columns:

vol_surf_df.loc[chain_df.loc[x,'GV3_TEXT'],

chain_df.loc[x,'GV4_TEXT']] = tmp_df[x][0]

vol_surf_df

Jirapongse

@kenley.macandog123

Thanks for reaching out to us.

The error messages indicate that those items don't support daily historical data.

I checked with Eikon Quote and got the same errors.

It seems that Eikon doesn't provide historical data for those items. You can contact the Eikon or Refinitiv Workspace support team via MyRefinitiv to confirm this.

I hope that this information is of help.