Code is to extract implied volatility data for multiple stocks/indices from Equity Volatility Surface

Question

question

Wasim Akram01

3 ●0 ●0 ●1

Code is to extract implied volatility data for multiple stocks/indices from Equity Volatility Surface

Hi, Below code is to extract implied volatility data for SP500 index. However, I want to pull data for multiple stocks and indices for multiple time horizon using single run. How can I amend the code to do that?

import refinitiv.data as rd

from refinitiv.data.content.ipa import surfaces

import pandas as pd

import plotly.express as px

import plotly.graph_objects as go

rd.open_session()

request_definition = rd.delivery.endpoint_request.Definition(

url="https://api.refinitiv.com/data/quantitative-analytics-curves-and-surfaces/v1/surfaces",

method=rd.delivery.endpoint_request.RequestMethod.POST,

body_parameters={

"universe": [

{

"surfaceTag": "SPX",

"underlyingType": "Eti",

"underlyingDefinition": {

"instrumentCode": ".SPX@RIC"

},

"surfaceParameters": {

"inputVolatilityType": "Quoted",

"timeStamp": "Default",

"priceSide": "Mid",

"volatilityModel": "SSVI",

"xAxis": "Tenor",

"yAxis": "Moneyness",

"calculationDate": "2024-03-21"

},

"surfaceLayout": {

"format": "Matrix",

}

}],

"outputs": ["Data", "ForwardCurve", "MoneynessStrike"]

}

)

response = request_definition.get_data()

surface_tag = response.data.raw['data'][0]['surfaceTag']

_surface_df = pd.DataFrame(

data=response.data.raw['data'][0]['surface'])

surface_df_title = f"{surface_tag} Equity Volatility Surface"

surface_df = pd.DataFrame(

data=_surface_df.loc[1:,1:].values,

index=_surface_df[0][1:],

columns=_surface_df.iloc[0][1:])

surface_df.columns.name = "Moneyness"

surface_df.index.name = "Tenor"

surface_df.loc[["3M","6M"],["1"]]

eikon-data-api refinitiv-dataplatform-eikon #technology

Apr 15 at 04:20 AM

10 |1500

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

Jirapongse Apr 24 at 10:12 AM

@Wasim Akram01

Hi,

Thank you for your participation in the forum.

Are any of the replies below satisfactory in resolving your query?

If yes please click the 'Accept' text next to the most appropriate reply, and then close the question. This will guide all community members who have a similar question.

Otherwise please post again offering further insight into your question.

Thanks,

AHS

Answer 1 · 2024-04-15T14:05:35Z

aramyan.h

5.1k ●16 ●2 ●7

Hi @Wasim Akram01 ,

Regarding making the code cleaner and more readable, you can probably use the following example where I refactored the code:

stocks = {".SPX":["2024-03-21"], "AAPL.O": ["2024-03-21", "2024-02-22"]}

universe = [
    {
        "surfaceTag": stock,
        "underlyingType": "Eti",
        "underlyingDefinition": {
            "instrumentCode": f"{stock}@RIC"
        },
        "surfaceParameters": {
            "inputVolatilityType": "Quoted",
            "timeStamp": "Default",
            "priceSide": "Mid",
            "volatilityModel": "SSVI",
            "xAxis": "Tenor",
            "yAxis": "Moneyness",
            "calculationDate": date
        },
        "surfaceLayout": {
            "format": "Matrix",
        }
    } for stock, dates in stocks.items() for date in dates
]

request_definition = rd.delivery.endpoint_request.Definition(
    url="https://api.refinitiv.com/data/quantitative-analytics-curves-and-surfaces/v1/surfaces",
    method=rd.delivery.endpoint_request.RequestMethod.POST,
    body_parameters={
        "universe": universe,
        "outputs": ["Data", "ForwardCurve", "MoneynessStrike"]
    }
)

response = request_definition.get_data()

Best regards,

Haykaz

Apr 15 at 02:05 PM

10 |1500

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

Answer 2 · 2024-04-15T12:57:46Z

aramyan.h

5.1k ●16 ●2 ●7

Hi @Wasim Akram01 ,

You can include multiple entries in the "universe" list within the request body. Here's an example of how you can modify the provided code:

request_definition = rd.delivery.endpoint_request.Definition(
url="https://api.refinitiv.com/data/quantitative-analytics-curves-and-surfaces/v1/surfaces",
method=rd.delivery.endpoint_request.RequestMethod.POST,
body_parameters={
"universe": [
{
"surfaceTag": "SPX",
"underlyingType": "Eti",
"underlyingDefinition": {
"instrumentCode": ".SPX@RIC"
},
"surfaceParameters": {
"inputVolatilityType": "Quoted",
"timeStamp": "Default",
"priceSide": "Mid",
"volatilityModel": "SSVI",
"xAxis": "Tenor",
"yAxis": "Moneyness",
"calculationDate": "2024-03-21"
},
"surfaceLayout": {
"format": "Matrix",
}
},
{
"surfaceTag": "AAPL",
"underlyingType": "Eti",
"underlyingDefinition": {
"instrumentCode": "AAPL.O@RIC"
},
"surfaceParameters": {
"inputVolatilityType": "Quoted",
"timeStamp": "Default",
"priceSide": "Mid",
"volatilityModel": "SVI",
"xAxis": "Tenor",
"yAxis": "Moneyness",
"calculationDate": "2024-03-21"
},
"surfaceLayout": {
"format": "Matrix",
}
},
{
"surfaceTag": "AAPL",
"underlyingType": "Eti",
"underlyingDefinition": {
"instrumentCode": "AAPL.O@RIC"
},
"surfaceParameters": {
"inputVolatilityType": "Quoted",
"timeStamp": "Default",
"priceSide": "Mid",
"volatilityModel": "SVI",
"xAxis": "Tenor",
"yAxis": "Moneyness",
"calculationDate": "2024-02-22"
},
"surfaceLayout": {
"format": "Matrix",
}
}
],
"outputs": ["Data", "ForwardCurve", "MoneynessStrike"]
}
)

response = request_definition.get_data()

Hope this helps.

Best regards,

Haykaz

Apr 15 at 12:57 PM

10 |1500

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

Wasim Akram01 Apr 15 at 01:05 PM

@aramyan.h ,

I have around 100 stocks, the approach you advised it is good for 3 or 5 stocks, however not useful for 100 stocks. Can you please check if there is any possibility to enter multiple stocks in "instrumentCode" line (like any list/tuple/dictionary) ?

aramyan.h Apr 15 at 01:14 PM

Hi @Wasim Akram01 ,

Just checked, according to the Swagger type for instrumentCode is string. So I am afraid, you can't have list of instruments there:

        "instrumentCode": {
          "description": "Code to define the instrument. Only RIC is supported.",
          "type": "string"
        },

Wasim Akram01 aramyan.h Apr 15 at 01:33 PM

Hi @aramyan.h ,

Any other way make the code shorter, otherwise universe will be very lengthy.

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