Using the python API, is there any way to retrieve the data from the Volatility Chart on XAU= (Vo...

jeremiemae.celajes

...latility QC in eikon [VOLC].

Using the python API, is there any way to retrieve the data from the Volatility Chart on XAU= (Volatility QC in eikon [VOLC].

Having this is a table with vol with different terms/pillars.

aramyan.h

Hi @jeremiemae.celajes ,

I was trying to answer to your question yesterday, however failed to find a comprehensive one. But let me share with you what I have found during my research and maybe you find it useful to take it from there.

I have tried using Instrument Price Analytics from Refinitiv Data Libraries to get the volatility surface for the required instrument. Please see my code below:

import refinitiv.data as rd
from refinitiv.data.content.ipa import surfaces
rd.open_session()

response = surfaces.fx.Definition(

    surface_tag="XAU/USD",
    underlying_definition=surfaces.fx.FxSurfaceDefinition(
        fx_cross_code="XAUUSD"
    ),
    surface_parameters=surfaces.fx.FxCalculationParams(
        volatility_model="SVI",
        x_axis="Tenor",
        y_axis="Strike",
        calculation_date="2023-10-18",
    ),
    surface_layout=surfaces.fx.SurfaceLayout(
        format="Matrix",
    ),
).get_data()

response.data.df

Below is the output for the the requested calculation date:

I have tried to see if there is a way to provide a time range, but failed to find a way to do it. You may try to make separate requests for each day.

You may find more information about the parameters/fields from the API Playground page of the endpoint and the official documentation here.

Also, you find useful some additional examples from our GitHub page.

Hope this helps, I will let my colleagues to contribute in case have missed anything here.

Best regards,

Haykaz