How to receive volatility surfaces for the SPX corresponding to the shortest tenor available?

tom.oddo

How can I receive volatility surfaces for the SPX corresponding to the shortest tenor available?

Using Eikon SURF for example, I can get the volatility surfaces for March 17, 2021. But the curve/smile that is the nearest in the future has an expiry on March 26, 2021. Are there curves/smiles available with a shorter tenor?

Using Eikon Codebook, I cannot receive data for shorter tenors. (see the github example with volatiltiy surfaces for BNP Paribas: https://github.com/Refinitiv-API-Samples/Example.RDPAPI.Python.InstrumentPricingAnalytics/blob/main/curves-and-surfaces/surfaces/Equity%20Volatility%20Surface.ipynb)

I modified the code. I set "xAxis": "Date", "filters": {"maturityFilterRange": {"minMaturity": "1D"}, "useWeeklyOptions": True}.

However the nearest expiry is still on March 26, 2021

zoya faberov

Hello @tom.oddo and all,

The support case was closed, I am conveying the resolution:

Input expiries happening in less than a week are filtered out by the surface building algo.

However, it is possible to get any short term point on the surface by specifying in the request. here is an example:

{
  "universe": [
    {
      "surfaceTag": "SPX_short_term",
      "underlyingType": "Eti",
      "underlyingDefinition": {
        "instrumentCode": ".SPX@RIC"
      },
      "surfaceParameters": {
        "xAxis": "Tenor",
        "yAxis": "Moneyness"
      },
      "surfaceLayout": {
        "format": "Matrix",
        "xValues": [
          "1D",
          "3D",
          "1W",
          "1M",
          "3M",
          "5M",
          "6M",
          "1Y"
        ]
      }
    }
  ]
}