volatility surface for .DJI

Moti.Konak

Hello,

I am using python script to calculate evaluations of OTC Equity options via RDP and the parameter volatility_type='SVISurface' works well for most cases. I noticed that for OTC Equity Options with Dow Jones Index as underlying (<.DJI>) the volatility (vol) returned is the same regardless of maturity and/or strike which should not be the case for a surface.

Can you please let me know if another instrument code (instead of .DJI) should be used to get the right vol? or any other suggestion?

I attached the code and results.

Thanks,

Moti

DJI_VOL.txt

DJI_Python.txt

Jirapongse

@Moti.Konak

Thank you for reaching out to us.

As this forum is more for programming type queries, rather than content queries - I would recommend you raise a 'I need help understanding content within the product's ticket with our helpdesk. That way a Content specialist can work closely with you and verify the assumption.

The product is "Instrument Pricing Analytics - Refinitiv Data Platform".