Collected implied volatility using Eiklon Python package

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Question by aminhushen · May 09, 2019 at 04:37 PM · implied volatility implied volatilities timeseries

Collected implied volatility using Eiklon Python package

I am trying to collect AUDCAD 1 month implied volatility using pyton's Eikon package.

ek.get_data('AUDCAD1MO=R', 'IMP_VOLT')

Here is the error returned.

( Instrument IMP_VOLT 0 AUDCAD1MO=R NaN, [{'code': 251658244, 'col': 1, 'message': "Error: Field 'IMP_VOLT' was not found in response for the instrument 'AUDCAD1MO=R'", 'row': 0}])

I am able to collect its implied volatility from excel function. What is the correct way to fetch the data?

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Answer 1 · 2019-05-09T17:01:12Z

REFINITIV

Best Answer

Answer by Alex Putkov. · May 09, 2019 at 05:01 PM

You say you can retrieve what you need into Excel. What is the call you use in Excel?
Field IMP_VOLT does not exist for RIC AUDCAD1MO=R. RIC AUDCAD1MO=R provides several implied volatilities: bid volatility can be found in field "BID", ask volatility can be found in field "ASK", mid volatility can be found in field "PRIMACT_1".

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aminhushen · May 09, 2019 at 08:44 PM 0

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The script returns implied volatility by using ek.get_data('AUDCAD1MO=R', 'BID'). Thanks Alex!

Collected implied volatility using Eiklon Python package

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