Does DSWS carry historical option greeks?

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Question by mansoor.elahi · Nov 17, 2020 at 08:50 PM · dsws options option prices

Does DSWS carry historical option greeks?

currently this is being used to pull historical price summaries, but wondering if option greeks are available historically for this sample option ric + others via DSWS instead of Eikon DAPI

d = rdp.get_historical_price_summaries('SPYA161010000.U^A10', start = '2007-01-01', end = '2020-11-12')

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Answer 1 · 2020-11-18T04:10:29Z

REFINITIV

Best Answer

Answer by jirapongse.phuriphanvichai · Nov 18, 2020 at 04:10 AM

@mansoor.elahi

I searched for "SPDR S&P 500 ETF" options through the DataStream website and it showed items that have expiry dates from 2015 to 2023.

I have tried one of them.

SPDR S&P 500 ETF 16-October-2015 193 Call

Mnemonic SPY1015193C

RIC SPYJ161519300.U

Underlying Series U:SPY

ds.get_data(tickers='<SPYJ161519300.U>', fields=['VL','PA','PB','PO'], start='BDATE',kind=1).dropna()

A RIC must be wrapped with '<>' before using it with DataStream.

The output is:

However, you need to directly contact the DataStream support team via MyRefinitiv to confirm it.

1605672054854.png (57.2 KiB)

1605672457198.png (14.9 KiB)

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Does DSWS carry historical option greeks?

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SPDR S&P 500 ETF 16-October-2015 193 Call

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