Upgrade from Eikon -> Workspace. Learn about programming differences.

For a deeper look into our Eikon Data API, look into:

Overview |  Quickstart |  Documentation |  Downloads |  Tutorials |  Articles

question

Upvotes
Accepted
Wasim Akram avatar image
9 ●1 ●2 ●6

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
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

wasin.w avatar image   wasin.w

Hello @Wasim Akram

Thank you for your participation in the forum. Is the reply below satisfactory in resolving your query?


If so please can you click the 'Accept' text next to the appropriate reply? This will guide all community members who have a similar question.

Thanks,


AHS


raksina.samasiri avatar image   raksina.samasiri

Please be informed that a reply has been verified as correct in answering the question, and has been marked as such.

Thanks,
AHS

2 Answers

· Write an Answer
Upvotes
Accepted
Jirapongse avatar image
79.2k ●251 ●52 ●74

@Wasim Akram

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.


icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Upvotes
jonathan.legrand avatar image
5.8k ●21 ●2 ●6

Hi @Wasim Akram
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

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Write an Answer

Hint: Notify or tag a user in this post by typing @username.

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.