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tom.oddo avatar image
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How to receive volatility surfaces for the SPX corresponding to the shortest tenor available?

How can I receive volatility surfaces for the SPX corresponding to the shortest tenor available?

Using Eikon SURF for example, I can get the volatility surfaces for March 17, 2021. But the curve/smile that is the nearest in the future has an expiry on March 26, 2021. Are there curves/smiles available with a shorter tenor?

Using Eikon Codebook, I cannot receive data for shorter tenors. (see the github example with volatiltiy surfaces for BNP Paribas: https://github.com/Refinitiv-API-Samples/Example.RDPAPI.Python.InstrumentPricingAnalytics/blob/main/curves-and-surfaces/surfaces/Equity%20Volatility%20Surface.ipynb)

I modified the code. I set "xAxis": "Date", "filters": {"maturityFilterRange": {"minMaturity": "1D"}, "useWeeklyOptions": True}.

However the nearest expiry is still on March 26, 2021

eikoneikon-data-apipythonrefinitiv-dataplatform-eikonworkspaceworkspace-data-apiderivativesvolatilityforwards
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wasin.w avatar image   wasin.w

<AHS>

@chavalit.jintamalit @Alex Putkov.

Could you please help the client regarding this Eikon Data API question?

Alex Putkov.1 avatar image   Alex Putkov.1

I was able to reproduce the issue. minMaturity parameter appears to have no effect. Emailed Sam Schwalm asking for guidance on how to get the issue looked into.

zoya faberov avatar image   zoya faberov

Hello @tom.oddo,

Thank you for your participation in the forum.

Is the reply below satisfactory in resolving your query?

If yes, please click the 'Accept' text next to the appropriate reply. This will guide all community members who have a similar question. Otherwise please post again offering further insight into your question.

Thanks,

-AHS

chavalit-jintamalit avatar image   chavalit-jintamalit

Please be informed that a reply has been verified as correct in answering the question, and has been marked as such.
Thanks,
AHS


2 Answers

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zoya faberov avatar image
32.2k ●40 ●11 ●20

Hello @tom.oddo and all,

The support case was closed, I am conveying the resolution:

Input expiries happening in less than a week are filtered out by the surface building algo.

However, it is possible to get any short term point on the surface by specifying in the request. here is an example:

{
  "universe": [
    {
      "surfaceTag": "SPX_short_term",
      "underlyingType": "Eti",
      "underlyingDefinition": {
        "instrumentCode": ".SPX@RIC"
      },
      "surfaceParameters": {
        "xAxis": "Tenor",
        "yAxis": "Moneyness"
      },
      "surfaceLayout": {
        "format": "Matrix",
        "xValues": [
          "1D",
          "3D",
          "1W",
          "1M",
          "3M",
          "5M",
          "6M",
          "1Y"
        ]
      }
    }
  ]
}
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Alex Putkov.1 avatar image
39.4k ●77 ●11 ●27

@tom.oddo

I reproduced the issue you described. It appears that minMaturity parameter has no effect when useWeeklyOptions is set to true.
I opened a support case on your behalf with Refinitiv Helpdesk for this issue. For your reference the case number is 09756077. Refinitiv Support will investigate the problem and will keep you informed on the progress.

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