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!

jonathan.legrand

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".