For a deeper look into our Eikon Data API, look into:

Overview |  Quickstart |  Documentation |  Downloads |  Tutorials |  Articles

question

Upvotes
Accepted
1 0 0 0

How to get historical implied volatility data of FX pairs ?

eikoneikon-data-apiworkspaceworkspace-data-apirefinitiv-dataplatform-eikonforex
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Upvote
Accepted
7.4k 10 6 8

@jincy.jose Hi so we provide a number of pre calculated realised volatilities over different periods - please see the following:

ek.get_timeseries(['JPY1MVCC=R','GBP3MVCC=R','EUR6MVCC=R'],'CLOSE',start_date="2021-04-29",end_date="2021-07-29")

I hope this can help.

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Upvotes
39.3k 76 11 27

@jincy.jose

I understand you're asking for implied rather than realized volatility, right? @jason.ramchandani provided examples for the latter. The former is available from chains like 'JPYVOL=', which provide implied vol for ATM, 10 and 25 delta butterflies and risk reversals. Each of those is available historically. E.g. daily history for USDJPY 3 month 10 delta risk reversal vol can be retrieved using RIC JPY3MR10= and get_historical_price_summaries method of RDP Library, e.g.

import refinitiv.dataplatform as rdp
rdp.open_desktop_session('YOUR_APP_KEY')
rdp.get_historical_price_summaries('JPY3MR10=')
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.