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paul.mcallister1 avatar image
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Volatility Surfaces inputVolatilityType

Could someone please explain the difference between Implied and Quoted for inputVolatilityType on the surfaces API endpoint:

https://api.edp.thomsonreuters.com/data/quantitative-analytics-curves-and-surfaces/v1/surfaces


From API documentation page:

inputVolatilityTypeenumThe enumerate specifies the type of volatility used to build the surface.

  • Quoted
  • Implied
  • Settle (deprecated)


From an older PDF (outdated)

inputVolatilityType Enumerate This enumerate specify if the generation of the volatility is done from the implied volatility calculated from the latest quote or from the settlement volatility from the previous close. The available values are: Implied, Settle.


Is it correct to assume that:

Implied - calculated from previous close (same as "Settle")

Quoted - calculated from latest quote (used to be "implied")?


Also, trying to relate these options to the Equity Volatility Surface Eikon app, are the Volatilty Type options there analagous to the API options?

Settlement IV (eikon) -> Implied (API)?

Mid IV (eikon) -> Quoted (API)?

eikoneikon-data-apipythonrefinitiv-dataplatform-eikonworkspaceworkspace-data-apivolatility
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veerapath.rungruengrayubkul avatar image   veerapath.rungruengrayubkul

@paul.mcallister1

Hi,

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AHS

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Thanks,


AHS


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Gurpreet avatar image
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Hello @paul.mcallister1,

We are only able to answer technical API question on these forums. Here is an article on Instrument Pricing Analysis. If this information is not sufficient, I would recommend that you open a content support ticket at myRefinitiv.

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