How to retrieve historical delta of one specific option

Hi,

I am working to retrieve historical delta of specific dates of one specific option. However, I didn't find the date parameter for the delta codes. May I ask is there any way to retrieve the deltas?

For example, for option "SPYK202033000.U", I can use 'TR.OPWMidDelta' to retrieve today's delta. But how to retrieve previous days' deltas?

Thanks!

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Accepted answers

Alex Putkov.1

According to the results of the Helpdesk investigation, Refinitiv started collecting the timeseries for delta for US stock options from 12-Oct-2020. Refinitiv does not have the history going back further than that. The only alternative I see is to calculate the delta on the dates you're interested in. You can use get_option_analytics method of RDP Library for Python, e.g.

import refinitiv.dataplatform as rdp 
from refinitiv.dataplatform.content.ipa import option 
rdp.open_desktop_session('MY_APP_KEY') 
rdp.get_option_analytics(
    universe = "SPYK202033000.U",
    fields = ["MarketValueInDealCcy", 
              "DeltaPercent", 
              "UnderlyingPrice"],
    calculation_params = option.CalculationParams(
        valuation_date="2020-01-03")
)

I think this will only be practical for a relatively small number of options or a narrow range of dates. If you'd like to learn about using RDP Library to calculate options analytics, you can find the documentation on Refinitiv Data Platform APIs page (navigate to Manuals & Guides - IPA Financial Contracts). Examples can be found in Codebook (in the Codebook File Browser select Examples / 02 - Refinitiv Data Platform Library / 1.7.1 - Function - IPA - Option Pricing).

All comments

chavalit-jintamalit

Hi @eiffel

The "TR.OPWMidDelta" field does not support timeseries retrieval.

You can use "Data Item Browser" to confirm the supported variable.

But how to retrieve previous days' deltas?

If there are any fields carry the timeseries then it is possible to retrieve the data using the same field.

For an authoritative answer to any content questions, the best resource is the Refinitiv Content Helpdesk.
The moderators here do not have deep expertise in every type of content available through Eikon.
The Refinitiv Content Helpdesk can be reached using Contact Us capability in your Eikon application.
Or by calling the Helpdesk number in your country.
Or at https://my.refinitiv.com/

Alex Putkov.1

You can get timeseries of US equity option's delta using RDP Library.

import refinitiv.dataplatform as rdp
rdp.open_desktop_session('MY_APP_KEY')
rdp.get_historical_price_summaries('SPYK202033000.U', fields = ['DELTA_EXCH'], 
                                   start = '2020-10-01', end = '2020-10-30')

eiffel

Hi Alex,

Thanks for your answer. It's really helpful!

But I encountered some new problems. I am working to retrieve more historical data but this function only returns the recent 1 month's records. Can I check is there any way to retrieve long-time historical data?

Thanks

Alex Putkov.1

import refinitiv.dataplatform as rdp 
from refinitiv.dataplatform.content.ipa import option 
rdp.open_desktop_session('MY_APP_KEY') 
rdp.get_option_analytics(
    universe = "SPYK202033000.U",
    fields = ["MarketValueInDealCcy", 
              "DeltaPercent", 
              "UnderlyingPrice"],
    calculation_params = option.CalculationParams(
        valuation_date="2020-01-03")
)

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