pull iv delta according to delta of specific expiry.

I am working on trying to pull via api a certain value with no success. It seems to be possible and I hope you can help. I am trying to pull the 25 delta IV value for specific options. meaning I want get the value under the number 25 on both sides of the table (put & call) 8for a specific expiry for example in the attached photo for expiry 22.10 I will want the numbers 33.811 and 29.97. I have a list of the atm ric for same expiry. Thanks!

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Accepted answers

jason.ramchandani01

@rafi.levy1 My colleague has written an excellent article about using the Instrument and Pricing Analytics API using the RDP libraries which Eikon Users have access to using an appkey. You can also test the query in the RDP API playground

I believe the code you would need is as follows for FB.O:

import http.client
import json

conn = http.client.HTTPSConnection("api.refinitiv.com")
payload = json.dumps({
    "universe": [
        {
            "surfaceTag": "1",
            "underlyingType": "Eti",
            "underlyingDefinition": {
                "instrumentCode": "FB.O@RIC"
            },
            "surfaceParameters": {
                "priceSide": "Mid",
                "volatilityModel": "SVI",
                "xAxis": "Date",
                "yAxis": "Delta"
            },
            "surfaceLayout": {
                "format": "Matrix",
                "yPointCount": 10
            }
        }
    ]
})
headers = {
    'content-type': 'application/json'
}
conn.request("POST", "/data/quantitative-analytics-curves-and-surfaces/v1/surfaces", payload, headers)
res = conn.getresponse()
data = res.read()
print(data.decode("utf-8"))

I hope this can help.

All comments

rafi.levy1

for python!!

jason.ramchandani01

I believe the code you would need is as follows for FB.O:

import http.client
import json

conn = http.client.HTTPSConnection("api.refinitiv.com")
payload = json.dumps({
    "universe": [
        {
            "surfaceTag": "1",
            "underlyingType": "Eti",
            "underlyingDefinition": {
                "instrumentCode": "FB.O@RIC"
            },
            "surfaceParameters": {
                "priceSide": "Mid",
                "volatilityModel": "SVI",
                "xAxis": "Date",
                "yAxis": "Delta"
            },
            "surfaceLayout": {
                "format": "Matrix",
                "yPointCount": 10
            }
        }
    ]
})
headers = {
    'content-type': 'application/json'
}
conn.request("POST", "/data/quantitative-analytics-curves-and-surfaces/v1/surfaces", payload, headers)
res = conn.getresponse()
data = res.read()
print(data.decode("utf-8"))

I hope this can help.

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