I have an enquiry concerning historical option data from the Eikon database. I would like to get historical data of option prices. Average European call and put option prices that are at the money (e.g. 0.97-1.03) and close to maturity (for example 10 - 90 days).The data should give a single time series with 1 daily option price per underlying asset (e.g. Options on UKX, DAX and CAC).
I am wondering if there is a function that gives me this specific time series for historical option prices prices.
Thank you very much in advance.
If you are using Datastream to pull this rather than Eikon API then you can use Datastream continuous series for call and put options: Calculated to provide uninterrupted option model inputs as well as several implied volatility variants including at-the-money, interpolated and weighted volatilities as well as 1, 3 and 6 month constant maturity. Total volume and open interest per option class is available More info available here https://amers1.exempt.proxy.cp.thomsonreuters.com/infobase/content/options/