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How can I get the historical options greeks and implied volatility ?
@jonabl
To retrieve price, implied volatility or greeks history for expired options the request needs to specify the range of dates that overlaps with the lifetime of the option. Try
ek.get_data(['IWME241915500.U^E19','HSI27800P9.HF^D19'],
['TR.CLOSEPRICE.date','TR.IMPLIEDVOLATILITY',
'TR.DELTA','TR.GAMMA','TR.THETA','TR.RHO'],
{'SDate':'20190415', 'EDate':'20190502'})
For US stock options greeks history is not available.
Hi @jonabl,
What asset/symbol are you trying to access? I would suggest to use the Data Item Browser to scan for the option fields of interest. Otherwise, you can submit your data-related question to my.refinitiv.com.
Here is the RIC
IWME241915500.U
HSI27800P9.HF^D19
and here is the field
TR.IMPLIEDVOLATILITY
TR.DELTA
TR.GAMMA
TR.THETA
RHO
TR.EXCHANGEPROVIDEDIMPLIEDVOLATILITY
TR.OPWCloseDelta
TR.OPWCloseGamma
Thanks for your help !
Hi @jonabl
This is the code for the data fields and RICs you asked for.
import eikon as ek
ek.set_app_key('some_app_keys')
df,e = ek.get_data(['IWME241915500.U','HSI27800P9.HF^D19'],['TR.IMPLIEDVOLATILITY','TR.DELTA','TR.GAMMA','TR.THETA','RHO','TR.EXCHANGEPROVIDEDIMPLIEDVOLATILITY','TR.OPWCloseDelta','TR.OPWCloseGamma'])
However, I am not sure why the data is not available.
