For a deeper look into our Eikon Data API, look into:

Overview |  Quickstart |  Documentation |  Downloads |  Tutorials |  Articles

question

Upvotes
Accepted
1 2 2 2

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?

eikoneikon-data-apipythonworkspaceworkspace-data-apirefinitiv-dataplatform-eikonhistoricalderivatives
icon clock
10 |1500

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

1 Answer

Upvotes
Accepted
39.3k 76 11 27

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'})
icon clock
10 |1500

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