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aquilesjlp300 avatar image
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Find or calculate intraday volatility.

Hello everyone,

I was wondering if any of you knows how to get the intraday volatility using Eikon API for Python. Or at least, if you knew any CF_ or TR formulas that could serve as snapshots for such value. The closest thing to what I've seen is the 2-day volatility TR formula but I want to know if I can get closer to what I'm looking for.

Thanks in advance!

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nick.zincone avatar image
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Hi @aquilesjlp300,

Unfortunately, there are no pre-defined historical volatility indicators less than the 2-day volatility. However, you can of course calculate intraday historical volatility by capturing intraday prices using the get_timeseries() method call over any period you choose. Here is one reference you can use.

thanks.

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aquilesjlp300 avatar image aquilesjlp300

Thank you Nick! This will be helpful indeed, thanks! :)