Getting Realized & Implied volatilities for different time horizon for STOXX50E

Can you please help with python code to pull data series for each of the below:

6m Index Implied Volatility SX5E(.STOXX50E)6m Realised Volatility SX5E(.STOXX50E)3m Index Implied Volatility SX5E(.STOXX50E)3m Realised Volatility SX5E(.STOXX50E)

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Accepted answers

raksina.samasiri

Hi anonymous user ,

This forum is more for
programming-type queries, rather than content queries. I would recommend you contact the Eikon support team directly via MyRefinitiv. You can ask for the =TR
formula in Eikon Excel which can be used to retrieve the data and if the
formula is available, we can apply it to the get_data method in Eikon Data API.
That way a content specialist can work closely with you to find a way to get
the required data.

Hope this could help and please let me know in case you have any further questions.

All comments

raksina.samasiri

Hi anonymous user ,

You can use CodeCreator (CODECR) application in Eikon Desktop/Refinitiv Workspace to find the fields you're interested

For example, the code from the screenshot above returns the response below

import refinitiv.data.eikon as ek

ek.set_app_key('DEFAULT_CODE_BOOK_APP_KEY')

df, err = ek.get_data(
    instruments = ['.STOXX50E'],
    fields = [
        'TR.Volatility10D',
        'TR.Volatility30D'
    ]
)

display(df)

You can also raise a content ticket via MyRefinitiv to confirm the fields to be used to retrieve the data you required.

Wasim Akram01

Thank you for the realized Volatility data, however this is for one data point i.e, only latest value. I need series of data, example like data series for last 6 months or 1 year or 5 years for each day.

Also, I do not see implied volatility field for each time horizon in code creator app. I also require this in data series like above for realized volatility.

Can you please help ?

Wasim Akram01

Also, I do not see implied volatility field for each time horizon in code creator app. I also require this in data series like above for realized volatility.

Can you please help ?

raksina.samasiri

Hi anonymous user ,

Hope this could help and please let me know in case you have any further questions.

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