How to get historical bid offer prices and vols of option chains using the Python API?

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Question by xiang.zhang · May 13, 2019 at 03:10 PM · eikon eikon-data-api workspace workspace-data-api refinitiv-dataplatform-eikon python historical derivatives

How to get historical bid offer prices and vols of option chains using the Python API?

I was able to snap real-time option chains using ek.get_data (with the chain rics and defined fields), is there any way for me to get the same info as of EOD in the past?

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Answer 1 · 2019-05-13T16:17:32Z

REFINITIV

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Answer by Alex Putkov.1 · May 13, 2019 at 04:17 PM

The answer may depend on which options you're retrieving. Here's an example of retrieving the timeseries of bid/ask prices and bid/ask implied volatilities for a US stock option between two specific dates.

ek.get_data('FITBE171902700.U', ['TR.BIDPRICE','TR.ASKPRICE',
                                 'TR.IMPLIEDVOLATILITYOFBIDPRICE',
                                 'TR.IMPLIEDVOLATILITYOFASKPRICE'],
            {'SDate':'20190415', 'EDate':'20190501'})

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How to get historical bid offer prices and vols of option chains using the Python API?

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