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Could someone please explain the difference between Implied and Quoted for inputVolatilityType on the surfaces API endpoint: https://api.edp.thomsonreuters.com/data/quantitative-analytics-curves-and-surfaces/v1/surfaces From API documentation page: inputVolatilityTypeenumThe enumerate specifies the type of volatility used…
output volcube1.txt I’m using the api “https://api.refinitiv.com/data/quantitative-analytics-curves-and-surfaces/v1/surfaces” The data downloaded from the api for vol cube seems different from Eikon app. eg. the USD vol is constant. EUR IBOR and ESTR vol cubes are the same. Is there something wrong with the output? Output…
Hi, in the option watch I see very high implied volatilities that do not match the Exchange. For example, for a Class IV Milk March24 18.50 Put option, the OPWSettleImpliedVolatility is equal to 770.7962 while the exchange reports an implied volatility of 16.61. There can be small differences due to different…
...ta API I am trying to retrieve implied volatility data of Indian stock options by inputting the ISIN CODE. My end goal is to create a data frame with company, date and implied volatility. As you can see, I'm not being able to retrieve anything. Can you please guide me as to how I can go about it? Thank you!
Hi, is there a way to pull historical implied equity vol surfaces (e.g. .STOXX50E) to python via eikon app or datastream app? Thanks, Steffen
I want to get historical volatility surface data for KOSPI200 options. I found above data with 'KS200VOLSURF' but I just can check real-time data. I want historical volatility surface data like above format(for example, 1year daily data each have above format).
Hi, I am using the Eikon Excel add in and would like to find an efficient way to retrieve the annual volatility of stocks, per year, from 10 years back to today. How do you build such a formula? Thank you!
I'm trying to find an efficient way to download the Historical ATM Implied Volatility using python. Currently, I use the following code to get the historical volatility for some options: vol_df = rd.get_history(universe=option_ric, fields=["IMP_VOLT], interval="1D", start=start_date_2, end=end_date_2) But I realized when I…
Hi, I have a doubt regarding the volatility smile that can be retrieved through the quantitative-analytics-curves-and-surfaces/v1/surfaces endpoint. I am making the http request with this body: { "universe": [ { "underlyingType": "Fx", "surfaceTag": "FxVol-GBPEUR", "underlyingDefinition": { "fxCrossCode": "GBPEUR" },…
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' ],…
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