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Wasim Akram01 avatar image
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Getting Realized & Implied volatilities for different time horizon for STOXX50E and SPX (.SP500) indices.

I can pull realized data for multiple time horizon but I need series of data. Below is an example for .STOXX50E

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 every business day for different time horizon.

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 ?

  1. import refinitiv.data.eikon as ek
  3. ek.set_app_key('DEFAULT_CODE_BOOK_APP_KEY')
  5. df, err = ek.get_data(
  6. instruments = ['.STOXX50E'],
  7. fields = [
  8. 'TR.Volatility10D',
  9. 'TR.Volatility30D'
  10. ]
  11. )
  13. display(df)
eikon-data-apirefinitiv-dataplatform-eikon#contentdatastream-apidatastream
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Jirapongse avatar image
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anonymous user

Thank you for reaching out to us.

This forum is aimed at answering "how to" types of questions about using Refinitiv APIs and the moderators are not Content/Data specialists. For content availability type questions, I recommend you raise a ticket at Product Support | MyRefinitiv for the product concerned.


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jonathan.legrand avatar image
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Hi anonymous user
have you had a look at this article?
Historical Implied Volatility and Greeks of Index Options 'At The Money' On Update and in the Past using Python Type Hints

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