Hi Team, Unusual Volatility surface data: I am using the python API to retrieve some volatility surf

Amit_Shrotri

Unusual Volatility surface data: I am using the python API to retrieve some volatility surface data for some stocks, and there are some unusual values exceed 1000. For example, the volatility surface for AAPL.O on 2017-02-17 was 44379.8042005109 across all moneyness. This occurs for several other tickers, such as ZTS on 2017-02-13. I would like to enquire the reason behind these abnormal values

Upon checking with specialist team, there is no data prior to 2020 for volatility surface for AAPL.O can you please confirm from where this data is getting pulled. Client is using below query

{

"universe": [

{

"surfaceTag": "1",

"underlyingType": "Eti",

"underlyingDefinition": {

"instrumentCode": "AAPL.O"

},

"surfaceParameters": {

"priceSide": "Mid",

"volatilityModel": "SSVI",

"xAxis": "Tenor",

"yAxis": "Moneyness",

"calculationDate": "2017-02-17"

},

"surfaceLayout": {

"format": "Matrix",

"xValues": [

"1M"

]

}

}

]

}

and here's the response:

{

"data": [

{

"surfaceTag": "1",

"surface": [

[

null,

"0.5",

"0.6",

"0.7",

"0.75",

"0.8",

"0.85",

"0.9",

"0.95",

"0.975",

"1",

"1.025",

"1.05",

"1.1",

"1.15",

"1.2",

"1.25",

"1.3",

"1.4",

"1.5"

],

[

"1M",

44379.8042005109,

44379.8035807471,

44379.8030567443,

44379.8028222175,

44379.8026028324,

44379.8023967518,

44379.8022024538,

44379.8020186636,

44379.8019303654,

44379.8018443029,

44379.8017603655,

44379.801678451004,

44379.8015203159,

44379.8013692116,

44379.8012245391,

44379.8010857733,

44379.8009524508,

44379.800700536296,

44379.800466009605

]

]

}

]

}

Jirapongse

@Amit_Shrotri

Thank you for reaching out to us.

If I change the calculationDate to 2017-02-16, the data looks okay.

          "1.4",

          "1.5"

        ],

        [

          "1M",

          35.7443176771419,

          30.0327259824314,

          24.8149635623557,

          22.4399034178389,

Please contact the helpdesk team directly via MyAccount to verify what the problem is.

Amit_Shrotri

Hi @Jirapongse Thank you for your response. I am from helpdesk.

Our specialist has confirmed that we do not have this data for 2017, is it possible that there is no historical data available but the values come up randomly on API?

Jirapongse

https://community.developers.refinitiv.com/discussion/comment/125562#Comment_125562

@Amit_Shrotri

The values are from the /data/quantitative-analytics-curves-and-surfaces/v1/surfaces endpoint. Please contact the product support team to verify the problem in this endpoint.