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Moti.Konak avatar image
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volatility surface for .DJI

Hello,

I am using python script to calculate evaluations of OTC Equity options via RDP and the parameter volatility_type='SVISurface' works well for most cases. I noticed that for OTC Equity Options with Dow Jones Index as underlying (<.DJI>) the volatility (vol) returned is the same regardless of maturity and/or strike which should not be the case for a surface.

Can you please let me know if another instrument code (instead of .DJI) should be used to get the right vol? or any other suggestion?

I attached the code and results.

Thanks,

Moti


DJI_VOL.txt

DJI_Python.txt


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dji-python.txt (1.4 KiB)
dji-vol.txt (1.8 KiB)
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wasin.w avatar image   wasin.w

Hello @Moti.Konak

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

Jirapongse avatar image   Jirapongse

@Moti.Konak

Hi,

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

Thanks,

AHS

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Jirapongse avatar image
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@Moti.Konak

Thank you for reaching out to us.

As this forum is more for programming type queries, rather than content queries - I would recommend you raise a 'I need help understanding content within the product's ticket with our helpdesk. That way a Content specialist can work closely with you and verify the assumption.

The product is "Instrument Pricing Analytics - Refinitiv Data Platform".

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