symbology conversion for ATM Implied volability RICs

laurens

Hello I am wondering if it is possible to convert a stock/etf RIC into the corresponding at the money implied volatility RIC.

the following code will not provide an answer:

df,e = ek.get_data('ASML.AS',
                   ['TR.30DAYATTHEMONEYIMPLIEDVOLATILITYINDEXFORPUTOPTIONS.Date',
                    'TR.30DAYATTHEMONEYIMPLIEDVOLATILITYINDEXFORPUTOPTIONS'
                   ],
                   {'SDate':'20200903','EDate':'20210902','Frq':'D'})

this will result into the following error

 code col                                      message row
1  412   1 Unable to resolve all requested identifiers.   0
2  412   2 Unable to resolve all requested identifiers.   0

However the following code will reply the correct answer:

df,e = ek.get_data('ASMLATMIV.EX',
                   ['TR.30DAYATTHEMONEYIMPLIEDVOLATILITYINDEXFORPUTOPTIONS.Date',
                    'TR.30DAYATTHEMONEYIMPLIEDVOLATILITYINDEXFORPUTOPTIONS'
                   ],
                   {'SDate':'20200903','EDate':'20210902','Frq':'D'})

Of course for a single stock this can be sorted out by hand. Bur for managing a portfolio this can become quite cumbersome.

Moreover when I search in the terminal for ASMLATMIV I get the following results:

This means that there are multiple options and that a guessing an ATM IV RIC can be quite dangerous.
For ASML this is the case because ASML is traded at two exchanges (ASML.AS (EUR, Amsterdam) and ASML.O(USD, N.Y.)). Why the search results shows the RIC of Allianz a german insurance company (ALVG.DE) is a complete mystery to me.

There I am wondering if and how it is possible to do a conversion from a stock or option RIC to an ATM implied volability RIC in either eikon or RDP.

thanks,

Laurens

haykaz.aramyan

Hi Laurens,

I am not aware of a direct way of conversion, but it seems the structure of at the money implied volatility RIC is as following (you can confirm this from the Content team as well):

1. First part of the Asset RIC, such as ASML, IBM etc.

2. ATMIV - standing for At The Money Implied Volatility

3. Exchange Identifier. This seems the most challenging one, because as you already noticed a stock can be traded in multiple exchanges.

Taking into consideration all this, I would suggest, first retrieving all ATMIV RICs for a given asset using RDP search. Please see below examples for ASML and IBM:

response = rdp.search(
    query = 'ASMLATMIV*',
    select = 'RIC')
response

response = rdp.search(
    query = 'IBMATMIV*',
    select = 'RIC')
response

Now as you have all possible ATMIV RICs for a given asset, you can then loop over all ATMIV RICs or use only the one you are interested in and request the volatility data using your code.

Hope this was helpful, please let me know should you have any further questions