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

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Question by jonabl · May 29, 2019 at 03:26 AM · eikon eikon-data-api workspace refinitiv-dataplatform-eikon workspace-data-api python historical derivatives

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

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Answer 1 · 2019-05-30T19:19:15Z

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Answer by Alex Putkov.1 · May 30, 2019 at 07:19 PM

@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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Answer 2 · 2019-05-29T12:06:29Z

REFINITIV

Answer by nick.zincone · May 29, 2019 at 12:06 PM

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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Answer 3 · 2019-05-29T23:58:21Z

Answer by jonabl · May 29, 2019 at 11:58 PM

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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Answer 4 · 2019-05-30T05:43:14Z

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Answer by chavalit · May 30, 2019 at 05:43 AM

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.

2019-05-30-17-40-49.png (23.2 KiB)

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

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