How can I import data on derivatives, especially strikes and the corresponding prices for calls a...

henry.hildebrandt
henry.hildebrandt Newcomer
in Eikon Data APIs

...nd puts?

I am working with python on a MacBook and thus have installed the python eikon API proxy of Thomson Reuters. For analytic purposes, I need to import cross-sectional data for equity derivatives through the eikon API, namely a series of strike prices for options on a specified equity derivative and their corresponding purchase prices, separately for calls and puts, all on a specified date. When I tried to find the code to do so using the built-in instrument browser of the API proxy, I was not able to find it.

So my general question is how to import this data via the python eikon API. Especially, are option prices featured as instruments of the equity (so I use the equity’s ticker to import the data?) or do derivatives on an equity have a separate ticker, and strikes as well as prices are then featured as instruments of the derivative?

I hope my explanation of the problem is understandable to you. If anything needs to be clarified, please do not hesitate to ask.

I would highly appreciate it if you could send me a short step-by-step description on how to import the data I described above.
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Best Answer

  • Zhenya Kovalyov
    Zhenya Kovalyov LSEG
    Answer ✓

    @henry.hildebrandt the beta python api is missing the key piece required for the workflow that you have described - the searching capability.

    If you have Eikon installed on Windows somewhere, have a look at the Excel template library, specifically 'Stock Options close to ATM' model (Excel > Thomson Reuters tab > Templates > Search for 'Stock Options'). You can create some hybrid model where the list of instruments is generated in Excel or with the RSearch COM API in VBA.

    Alternatively, you can contact your local Thomson Reuters support desk and ask for a training in RIC (symbology) structure for equity derivatives.

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