Not being able to access Implied Volatility Data of Indian Stock Options using Python in Eikon Da...

kumar.abhishek

...ta API

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!

[Deleted User]

Hi @kumar.abhishek ,
Correct me if I'm wrong, but I believe that Implied Volatilities are only valid for Options, not Equities.
Fields such as `TR.IMPLIEDVOLATILITY` can be found for options using the DIB; I found an option for `INE151A01013` (TATA) in its Overview window's Devivatives tab:

ISINs = ['TATA126000K.NS']
start_date = '2023-01-01'
end_date = '2023-12-15'

df=rd.get_history(
    universe=ISINs,
    fields=['TR.IMPLIEDVOLATILITY'],
    interval="1D",
    start=start_date,
    end=end_date)
df.dropna()

Judging by your request however, you may be after expired options. Unfortunutally, these ar not indexed yet and cannot be found on Workspace's search. for these options, please follow steps in this article: "Reconstructing RICs for expired futures contracts", or this article: "Implied Volatility and Greeks of Index 'At The Money' Options".

kumar.abhishek

https://community.developers.refinitiv.com/discussion/comment/111358#Comment_111358

@jonathan.legrand Thank you for your response! I have another question regarding the automation of ISIN codes to "TATA126000K.NS" format because I have over 100+ ISIN codes for which I want to get the implied volatility data of the respective stock options.

I tried using the get_symbology function to convert the ISIN to RIC but unfortunately TATA.NS is not the right input as opposed to TATA126000K.NS.

[Deleted User]

https://community.developers.refinitiv.com/discussion/comment/111434#Comment_111434

Hi @kumar.abhishek, the symbology conversion wouldn't work in providing what you are after using "TATA126000K.NS" because it is already a RIC... Using "INE151A01013", it ought to work, but it will not give you Options because it will provide you with RIC codes for the ISINS asked; in this case, equity assets, and not (equity) option contracts.

Finding the right option for your equity implies many variables (e.g.: option strike price, tenure & start date or end date, exchange, ...); I show how one may find such *live* options (i.e.: ones that are not expired at the time when the code is run) for certain usecases (i.e.: Index At-The-Money Options) in the article "Implied Volatility and Greeks of Index 'At The Money' Options"; for all other options, please refer to the article: "Reconstructing RICs for expired futures contracts".