How can I get the historical options greeks and implied volatility ?

jonabl
jonabl Explorer
in Eikon Data APIs
How can I get the historical options greeks and implied volatility ?
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Best Answer

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

    @jonabl
    To retrieve price, implied volatility or greeks history for expired options the request needs to specify the range of dates that overlaps with the lifetime of the option. Try

    ek.get_data(['IWME241915500.U^E19','HSI27800P9.HF^D19'],
               ['TR.CLOSEPRICE.date','TR.IMPLIEDVOLATILITY',
                'TR.DELTA','TR.GAMMA','TR.THETA','TR.RHO'],
               {'SDate':'20190415', 'EDate':'20190502'})

    For US stock options greeks history is not available.

Answers

  • nick.zincone
    nick.zincone admin

    Hi @jonabl,

    What asset/symbol are you trying to access? I would suggest to use the Data Item Browser to scan for the option fields of interest. Otherwise, you can submit your data-related question to my.refinitiv.com.

  • jonabl
    jonabl Explorer

    Here is the RIC

    IWME241915500.U

    HSI27800P9.HF^D19


    and here is the field

    TR.IMPLIEDVOLATILITY

    TR.DELTA

    TR.GAMMA

    TR.THETA

    RHO

    TR.EXCHANGEPROVIDEDIMPLIEDVOLATILITY

    TR.OPWCloseDelta

    TR.OPWCloseGamma

    Thanks for your help !

  • chavalit-jintamalit
    chavalit-jintamalit admin

    Hi @jonabl

    This is the code for the data fields and RICs you asked for.

    import eikon as ek



    ek.set_app_key('some_app_keys')



    df,e = ek.get_data(['IWME241915500.U','HSI27800P9.HF^D19'],['TR.IMPLIEDVOLATILITY','TR.DELTA','TR.GAMMA','TR.THETA','RHO','TR.EXCHANGEPROVIDEDIMPLIEDVOLATILITY','TR.OPWCloseDelta','TR.OPWCloseGamma'])

    However, I am not sure why the data is not available.

    image

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