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

tom.oddo
tom.oddo Newcomer
in Eikon Data APIs

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

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Best Answer

  • zoya faberov
    zoya faberov ✭✭✭✭✭
    Answer ✓

    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"
            ]
          }
        }
      ]
    }

Answers

  • Alex Putkov.1
    Alex Putkov.1 ✭✭✭✭✭

    @tom.oddo

    I reproduced the issue you described. It appears that minMaturity parameter has no effect when useWeeklyOptions is set to true.
    I opened a support case on your behalf with Refinitiv Helpdesk for this issue. For your reference the case number is 09756077. Refinitiv Support will investigate the problem and will keep you informed on the progress.

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