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Question by nick.kirchner · May 06, 2020 at 08:00 PM · historical dataoptionsdata

Missing Close Prices of active Option chain

Dear Refinitiv community and help desk,

thank you very much for taking the time to help me.

Missing close prices:

For many of the active RICs for options, there are also no close prices but Bid & Ask prices (see attachment). Especially for many options of the 0#OEX*.U chain. Where can I get historical close prices for these options? The close prices of the options on the S&P 100 Index are extremely important for me.

At the moment I extract all active RICs of the S&P100 and then get TR.Closeprice for each which does not work if there is no data for that command.

I would be very delighted if you could help me.


Best regards,

Nick

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Answer by chavalit.jintamalit · May 06, 2020 at 11:55 PM

Hi @nick.kirchner


This is the sample code:

#get all the underlying rics
df,e = ek.get_data('0#OEX*.U','LONGLINK1')
rics = df['Instrument'].tolist()
#rics is list of 25xx instruments.

#get TR.ClosePrice for all the instruments
df,e = ek.get_data(rics,'TR.ClosePrice')

#drop rows with NaN value
df1 = df.dropna()
df1.head(10)


It seems that around 78 instruments from 2551 instruments that have TR.ClosePrice data.


I would not be able to answer why the TR.ClosePrice is not available to those instruments.

You can contact Refinitiv Content Helpdesk to clarify about the content question at https://my.refinitiv.com/


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Answer by Rizalie Jean.Manayon0 · May 08, 2020 at 09:48 PM

Hello @nick.kirchner

I sent you an email regarding this through the case you raised with us. Feel free to reply to the email I sent you just now.

To get the historical price of the Chain RIC 0#OEX*.U.

1. Once you cell reference the RIC in the instrument field -> Click the Time Series Icon (looks like a graph icon beside the name interval)
2. You can go to Bid then select the data items needed.
3. You can cell reference the date then once done, you can hit insert.

User-added image


I sent you the template I created to the email registered to the case.


Best Regards,

Rizalie

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