Inconsistent delta value between rdp.get_historical_price_summaries() and eikon terminal

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Question by eiffel · Nov 13, 2020 at 06:51 AM · eikon eikon-data-api workspace refinitiv-dataplatform-eikon workspace-data-api python rdp-api derivatives

Inconsistent delta value between rdp.get_historical_price_summaries() and eikon terminal

Hi,

I am trying to retrieve the delta value of Option 'SPYL182034500.U'. I used rdp.get_historical_price_summaries() and under "DELTA_EXCH" column, the delta for ''2020-11-11" is 0.69. However, in Eikon terminal, TP.OPWLastDelta is 0.6282 instead. Can I check how these values are derived?

Thanks.

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Answer 1 · 2020-11-16T03:58:04Z

REFINITIV

Best Answer

Answer by chavalit · Nov 16, 2020 at 03:58 AM

Hi @eiffel

I think the TR.OPWLastDelta is the current value.

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Inconsistent delta value between rdp.get_historical_price_summaries() and eikon terminal

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