How can I download FX historical and implied volatility?

a.mahoudi

Hello,

I am quite new at using the Eikon API. I managed to download "EUR=" historical open, high, low and close by using the ek.timeseries function. I am now looking to download historical and implied volatility for the EUR/USD. When I type:

data, error = ek.get_data('EUR=', ['CF_DATE', 'HST_VOLT'], parameters={'SDate':'2017-06-01', 'EDate':'2017-08-04'})

I only get a data frame containing the date of today in the column CF_DATE and a NaN in the HST_VOLT column.

What should I do to be able to download historical and implied volatility?

Thank you in advance!

Alex Putkov.1

You can find at the money implied volatility using the chain "EURVOLO=". Each RIC within this chain represents specific time to maturity. E.g. bid and ask quotes for 3 month at the money implied volatility can be retrieved using RIC "EUR3MO=" and fields "BID" and "ASK".
The full volatility surface can be found using chain "EURVOL=".
I don't believe we calculate historical volatility on the datafeed. You can easily calculate it yourself from the timeseries of "EUR=" price history.
If you need further help with finding content in Eikon or if you need any content explanation, the best resource is Thomson Reuters Helpdesk, which you can reach by either calling the Helpdesk number in your country or by using Contact Us capability in your Eikon application.

a.mahoudi

Alex Putkov.1

Jan 24, 2018

You can find at the money implied volatility using the chain "EURVOLO=". Each RIC within this chain represents specific time to maturity. E.g. bid and ask quotes for 3 month at the money implied volatility can be retrieved using RIC "EUR3MO=" and fields "BID" and "ASK".
The full volatility surface can be found using chain "EURVOL=".
I don't believe we calculate historical volatility on the datafeed. You can easily calculate it yourself from the timeseries of "EUR=" price history.
If you need further help with finding content in Eikon or if you need any content explanation, the best resource is Thomson Reuters Helpdesk, which you can reach by either calling the Helpdesk number in your country or by using Contact Us capability in your Eikon application.

Thank you very much @Alex Putkov.1. This is very clear. I have an additional question, how can I find the list of all RICs included in a chain via the Python API?

Zhenya Kovalyov

a.mahoudi

Jan 24, 2018

Thank you very much @Alex Putkov.1. This is very clear. I have an additional question, how can I find the list of all RICs included in a chain via the Python API?

@a.mahoudi the easiest way here would be to generate the RIC names based off the RIC structure. Something like:

periods = ['ON', 'SW', '1M', '2M', '3M', '6M', '9M', '1Y', '2Y', '3Y', '5Y', '7Y', '10Y']

atm = [f'EUR{x}O=' for x in periods]

rr25 = [f'EUR{x}RR=' for x in periods]

bf25 = [f'EUR{x}BF=' for x in periods]

rr10 = [f'EUR{x}R10=' for x in periods]

bf10 = [f'EUR{x}B10=' for x in periods]