How to get historical bid offer prices and vols of option chains using the Python API?

xiang.zhang
xiang.zhang Newcomer
in Eikon Data APIs

I was able to snap real-time option chains using ek.get_data (with the chain rics and defined fields), is there any way for me to get the same info as of EOD in the past?

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  • Alex Putkov.1
    Alex Putkov.1 ✭✭✭✭✭
    Answer ✓

    The answer may depend on which options you're retrieving. Here's an example of retrieving the timeseries of bid/ask prices and bid/ask implied volatilities for a US stock option between two specific dates.

    ek.get_data('FITBE171902700.U', ['TR.BIDPRICE','TR.ASKPRICE',
                                     'TR.IMPLIEDVOLATILITYOFBIDPRICE',
                                     'TR.IMPLIEDVOLATILITYOFASKPRICE'],
                {'SDate':'20190415', 'EDate':'20190501'})

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