Future Option time series data using Python EikonDesktopData API

Hi, I am trying to build historical volatility surface using Python EikonDesktopData API. I'd need to extract the following fields

PREMIUM, SPOT, STRIKE_PRC, STRIKE_PRC, DELIVERY MONTH, INTRST_RTE,

I am getting Null values for all the queries in the code below. Could you please help here, where I'm making mistake? Thanks.

import eikon as ek
ek.set_app_id('<my app id>')
strike = ek.get_timeseries(["LCO100N1MO=R"], start_date = "2018-05-01T15:04:05", end_date = "2018-05-05T15:04:05", interval="daily", fields=["STRIKE_PRC.Timestamp","STRIKE_PRC.Value"])

interest = ek.get_timeseries(["LCO100N1MO=R"], start_date = "2018-05-01T15:04:05", end_date = "2018-05-05T15:04:05", interval="daily", fields=["INTRST_RTE.Timestamp","INTRST_RTE.Value"])

spot = ek.get_timeseries(["LCO100N1MO=R"], start_date = "2018-05-01T15:04:05", end_date = "2018-05-05T15:04:05", interval="daily", fields=["SPOT.Timestamp","SPOT.Value"])

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Accepted answers

jason.ramchandani01

@Sanjit.Rath you can get a snapshot using the get_data Python API call using the following:

fields1 = ['PREMIUM', 'STRIKE_PRC', 'RISK_FREE', 'CF_CLOSE', 'EXPIR_DATE']

newins = ek.get_data('LCO100N1MO=R', fields=fields1)[0]

newins.head()

But as Zhenya states, you will have to wait for the history to be available in Q2 to calculate the historical vol surface.

All comments

Zhenya Kovalyov

@Sanjit.Rath none of the views that you need ('STRIKE_PRC', 'INTRST_RTE' and 'SPOT') are supported by the beta timeseries API. You can only get the close price, that refers to the default view ('LAST_QUOTE'):

This functionality will be added in the first official release some time in Q2.

Sanjit.Rath

Hi @Zhenya Kovalyov, Thanks for the explanation. Is it possible to get the the values using COM API . I tried AdxRtHistory but it expects fields in the old format not as shown below.. Do you know if we have old field names for the below?

["STRIKE_PRC.Timestamp, "STRIKE_PRC.Value"]