RIC on expired futures option

jbs
jbs Newcomer
in Eikon Data APIs

How can I get the RIC for expired SOFR Futures options?

In order to get the (currently active) SOFR futures call option with strike 99 and expiry in March 2023 I use the RIC "SRA99C3":

ek.get_timeseries("SRA99C3", interval='daily', start_date='2020-01-01', end_date='2022-10-25')

However, for the identical but expired 2022 option I have tried the Eikon "get_timeseries" Python API with the following RICs "SRA99C2^2", "SRA99C2^20", "SRA99C2^C2" , and "SRA99C2^C20" all with no luck.


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Best Answer

  • aramyan.h
    aramyan.h admin
    Answer ✓

    Dear @jbs ,


    Thank you for your question. From the RICs you have tried, I can see you know the logic of RIC reconstruction rules which is the "^" sign + expiry month code + expiry year. However in your examples you are using ^C20, which would indicate expiration for 2020. As there is no such RIC, perhaps because of incorrect strike price, you are not getting a valid results.

    The correct RIC seems to be SRA99C2^C22 (indicating expiration in 2022) which returns the following df.

    screen-shot-2022-10-26-at-145300.png

    Hope this was helpful!


    Best regards,

    Haykaz

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