Historical implied vol for LGOc1

matthew.ang

Hi, I'd like to get the historical IV for the ATM option of the front-month LGO contract. I've found LGOATM+0c1 and the fields IMPLIED_VOLT/TR.IMPLIEDVOLATILITY, but none of them seem to work.

Thank you in advance!

m.bunkowski

Hi @matthew.ang, we have also data items called implied volatility index for pre-defined periods.

Example syntax:

df,err = ek.get_data('LGOATMIV',['TR.30DAYATTHEMONEYIMPLIEDVOLATILITYINDEXFORCALLOPTIONS.date','TR.30DAYATTHEMONEYIMPLIEDVOLATILITYINDEXFORCALLOPTIONS'],,{"Sdate":'-10D', "Edate":'0D'})

Alex Putkov.1

To get current implied vol for LGOATM+0c1 use field name IMP_VOLT. To get the history use RHistory function in Excel:
=RHistory("LGOATM+0c1","IMP_VOLT.Timestamp;IMP_VOLT.Value","START:10-Jan-2020 END:10-Feb-2020 INTERVAL:1D",,"CH:Fd")

matthew.ang

https://community.developers.refinitiv.com/discussion/comment/55332#Comment_55332

What would be the Python function to do the same?