How to get historical implied volatility data of FX pairs ?

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Question by jincy.jose · Jul 29 at 10:52 AM · eikon eikon-data-api workspace refinitiv-dataplatform-eikon workspace-data-api forex

How to get historical implied volatility data of FX pairs ?

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Answer 1 · 2021-07-29T15:36:12Z

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Answer by jason.ramchandani01 · Jul 29 at 03:36 PM

@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.

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Answer 2 · 2021-07-29T21:54:06Z

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Answer by Alex Putkov.1 · Jul 29 at 09:54 PM

@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=')

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How to get historical implied volatility data of FX pairs ?

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