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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)
refinitiv-dataplatform-eikon#content
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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.

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14.7k 30 5 10

Hi anonymous user ,

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

1686302702396.png

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)

1686302902979.png

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


1686302702396.png (123.1 KiB)
1686302902979.png (15.5 KiB)
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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 ?

Upvotes
3 0 0 1

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 ?

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