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steffen.fuchs avatar image
3 ●2 ●5 ●9

Historical Strike Price for constant maturity option

Hi,

I'm trying to pull historical strike prices for constant maturity oprions:

data = ek.get_timeseries('SPX24MO=R',fields = 'STRIKE_PRC',start_date='2019-09-30', end_date='2019-10-22')

which returns:

SPX24MO=R   STRIKE_PRC
Date                  
2019-09-30         NaN
2019-10-01         NaN
2019-10-02         NaN
2019-10-03         NaN
2019-10-04         NaN
2019-10-07         NaN
2019-10-08         NaN
2019-10-09         NaN
2019-10-10         NaN
2019-10-11         NaN
2019-10-14         NaN
2019-10-15         NaN
2019-10-16         NaN
2019-10-17         NaN
2019-10-18         NaN
2019-10-21         NaN
2019-10-22         NaN

however, using Excel formula builder with following formula "=RHistory("SPX2WO=R","STRIKE_PRC.Timestamp;STRIKE_PRC.Value","INTERVAL:1D",,"TSREPEAT:NO CH:Fd",B2)"

returns the data I'm looking for:

is there a way to pull the historical strikes to python?


Thanks,

Steffen

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wasin.w avatar image   wasin.w

Hello @steffen.fuchs


Thank you for your participation in the forum. Is the reply below satisfactory in resolving your query?

If so please can you click the 'Accept' text next to the appropriate reply. This will guide all community members who have a similar question.

Thanks,


AHS

veerapath.rungruengrayubkul avatar image   veerapath.rungruengrayubkul

Please be informed that a reply has been verified as correct in answering the question, and has been marked as such.
Thanks,
AHS

4 Answers

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zoya faberov avatar image
32.2k ●40 ●11 ●20

Hello @steffen.fuchs,

According to my lookup via Data Item Browser (Eikon search -> Data Item Browser),

Implied Volatility is not populated for this instrument



However, the moderators of this forum are developers.

For in-depth content expertise, it is best to either refer to Refinitiv Helpdesk online or call your local Refinitiv Helpdesk, and to have your question be answered by a Refinitiv content expert.


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zoya faberov avatar image
32.2k ●40 ●11 ●20

Hello @steffen.fuchs,

Would this call return the data you are looking for:

ek.get_data(['SPX24MO=R'],['TR.STRIKEPRICE'],{'sdate':'09/30/2019', 'edate':'10/22/2019'})
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steffen.fuchs avatar image
3 ●2 ●5 ●9

Thanks, it does indeed. Can it also return the value date of the data in a row?

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Jirapongse avatar image Jirapongse

@steffen.fuchs

You need to add TR.STRIKEPRICE.Date field.

ek.get_data(['SPX24MO=R'],['TR.STRIKEPRICE.Date','TR.STRIKEPRICE'],{'sdate':'09/30/2019', 'edate':'10/22/2019'})
Upvotes
steffen.fuchs avatar image
3 ●2 ●5 ●9

Thanks, is it also possible to include the Implied Volatility in this request or do I have to put in a separate request like the one below

ek.get_timeseries('SPX24MO=R',start_date='2018-01-02', end_date='2018-01-30')


TR.IMPLIEDVOLATILITY returns NaN for me


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