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mehul.mathur avatar image
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I am looking for Implied volatility data for the 100% moneyness symbols. The filed is "O6" for 6M ATM IV.

For example the 100% moneyness symbol for AAPL.OQ is AAQ$MONEY100. I want data for this symbol through datastream API. Thanks

datastream-apidsws-apiderivativesvolatility
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2 Answers

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Jirapongse avatar image
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@mehul.mathur

You can use the DataStream Website to find instruments and fields. For example, these are valid fields of AAQ$MONEY100.

Then, you can use the DatastreamDSWS library to retrieve the data.

For example, this is a sample python code:

import DatastreamDSWS as DSWS
ds = DSWS.Datastream(username = 'username', password = 'password')
df = ds.get_data(tickers="AAQ$MONEY100",fields =["O6"], kind=0)
df

For time-series data:

df = ds.get_data(tickers='AAQ$MONEY100', fields=["O6"], start="2011-01-01", end="2019-01-01", kind=1)
df

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mehul.mathur avatar image mehul.mathur

Thank you very much Jirapongse Phuriphanvichai. It worked. Could you please help me on How we can get these "100% moneyness" symbols in API. For example AAQ$MONEY100 for AAPL.OQ.

Many Thanks

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Jirapongse avatar image
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@mehul.mathur

The API supports "DS.SYMBOLLOOKUP" to lookup symbols.

df = ds.get_data(tickers="APPLE", fields=["DS.SYMBOLLOOKUP(Count=20)"], kind=0)

However, it is unable to look up those "100% moneyness" symbols. Therefore, you may not be able to get those "100% moneyness" symbols in API.

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