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eiffel avatar image
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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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Alex Putkov.1 avatar image   Alex Putkov.1

@eiffel

Thank you for your participation in the forum. Are any of the replies below satisfactory in resolving your query? If yes please click the 'Accept' text next to the reply that best answers your question. This will guide all community members who have a similar question. Otherwise please post again offering further insight into your question.

Thanks,

-AHS

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Thanks,
AHS

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chavalit-jintamalit avatar image
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Hi @eiffel

I think the TR.OPWLastDelta is the current value.


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