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How can I get the historical options greeks and implied volatility ?

eikoneikon-data-apipythonrefinitiv-dataplatform-eikonworkspaceworkspace-data-apihistoricalderivatives
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@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.

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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.

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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 !

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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.


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