Find or calculate intraday volatility.

aquilesjlp300
aquilesjlp300 Contributor
in Eikon Data APIs

Hello everyone,

I was wondering if any of you knows how to get the intraday volatility using Eikon API for Python. Or at least, if you knew any CF_ or TR formulas that could serve as snapshots for such value. The closest thing to what I've seen is the 2-day volatility TR formula but I want to know if I can get closer to what I'm looking for.

Thanks in advance!

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  • nick.zincone
    nick.zincone admin
    Answer ✓

    Hi @aquilesjlp300,

    Unfortunately, there are no pre-defined historical volatility indicators less than the 2-day volatility. However, you can of course calculate intraday historical volatility by capturing intraday prices using the get_timeseries() method call over any period you choose. Here is one reference you can use.

    thanks.

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