How can I get the historical options greeks and implied volatility ?

jonabl

Find more posts tagged with

python

eikon

historical

derivatives

workspace

eikon-data-api

refinitiv-dataplatform-eikon

workspace-data-api

Accepted answers

Alex Putkov.1

@jonabl
To retrieve price, implied volatility or greeks history for expired options the request needs to specify the range of dates that overlaps with the lifetime of the option. Try

ek.get_data(['IWME241915500.U^E19','HSI27800P9.HF^D19'],
           ['TR.CLOSEPRICE.date','TR.IMPLIEDVOLATILITY',
            'TR.DELTA','TR.GAMMA','TR.THETA','TR.RHO'],
           {'SDate':'20190415', 'EDate':'20190502'})

For US stock options greeks history is not available.

All comments

nick.zincone

Hi @jonabl,

What asset/symbol are you trying to access? I would suggest to use the Data Item Browser to scan for the option fields of interest. Otherwise, you can submit your data-related question to my.refinitiv.com.

jonabl

Here is the RIC

IWME241915500.U

HSI27800P9.HF^D19

and here is the field

TR.IMPLIEDVOLATILITY

TR.DELTA

TR.GAMMA

TR.THETA

RHO

TR.EXCHANGEPROVIDEDIMPLIEDVOLATILITY

TR.OPWCloseDelta

TR.OPWCloseGamma

Thanks for your help !

chavalit-jintamalit

Hi @jonabl

This is the code for the data fields and RICs you asked for.

import eikon as ek



ek.set_app_key('some_app_keys')



df,e = ek.get_data(['IWME241915500.U','HSI27800P9.HF^D19'],['TR.IMPLIEDVOLATILITY','TR.DELTA','TR.GAMMA','TR.THETA','RHO','TR.EXCHANGEPROVIDEDIMPLIEDVOLATILITY','TR.OPWCloseDelta','TR.OPWCloseGamma'])

However, I am not sure why the data is not available.

Alex Putkov.1

@jonabl
To retrieve price, implied volatility or greeks history for expired options the request needs to specify the range of dates that overlaps with the lifetime of the option. Try

ek.get_data(['IWME241915500.U^E19','HSI27800P9.HF^D19'],
           ['TR.CLOSEPRICE.date','TR.IMPLIEDVOLATILITY',
            'TR.DELTA','TR.GAMMA','TR.THETA','TR.RHO'],
           {'SDate':'20190415', 'EDate':'20190502'})

For US stock options greeks history is not available.

EXPLORE OUR SITES