OTC Equity option will not show option premium

All,

The option premium <marketValueInDealCcy> shows empty <NA>. The premium should be around ~$327. Please see below script.

Can you please let me know what is wrong?

Many Thanks,




session.open()

rd.session.set_default(session)

response = option.Definition(

underlying_type=option.UnderlyingType.ETI,

underlying_definition = option.EtiUnderlyingDefinition("MSFT.O"),

end_date="2024-01-26",

strike= 70.0,

call_put = "Call",

pricing_parameters=option.PricingParameters(

valuation_date = "2023-11-20T00:00:00Z",

volatility_type='SVISurface'),


fields=[

"ValuationDate",

"marketValueInDealCcy",

"OptionType",

"ExerciseType",

"ExerciseStyle",

"DividendType",

"OptionPrice",

"UnderlyingPrice",

"EndDate",

"StrikePrice",

"VolatilityPercent",

"DeltaPercent",

"GammaPercent"]

).get_data()

#rdp.get_last_status()

response.data.df


ValuationDate marketValueInDealCcy OptionType ExerciseType ExerciseStyle DividendType OptionPrice UnderlyingPrice EndDate StrikePrice VolatilityPercent DeltaPercent GammaPercent

2023-11-20 <NA> Vanilla CALL EURO HistoricalYield NaN 377.44 2024-01-26 70 80.205572 0.998571 0.0

Best Answer

  • [Deleted User]
    [Deleted User] Newcomer
    Answer ✓

    Hi @Moti.Konak
    In the request it should be "MarketValueInDealCcy" (capital M):


    # !pip install refinitiv-data
    import refinitiv.data as rd
    from refinitiv.data.content.ipa.financial_contracts import option

    rd.open_session()

    response = option.Definition(
    underlying_type=option.UnderlyingType.ETI,
    underlying_definition = option.EtiUnderlyingDefinition("MSFT.O"),
    end_date="2024-01-26",
    strike= 70.0,
    call_put = "Call",
    pricing_parameters=option.PricingParameters(
    valuation_date = "2023-11-20T00:00:00Z",
    volatility_type='SVISurface'),

    fields=[
    "ErrorMessage",
    "ValuationDate",
    "MarketValueInDealCcy",
    "OptionType",
    "ExerciseType",
    "ExerciseStyle",
    "DividendType",
    "OptionPrice",
    "UnderlyingPrice",
    "EndDate",
    "StrikePrice",
    "VolatilityPercent",
    "DeltaPercent",
    "GammaPercent"]).get_data()

    response.data.df

    1701093062926.png


Answers