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Historic Deltas of options

Hello,


I am trying to load the historic or daily deltas of options on the sugar market. What is working for the Implied Volatility is not working for the Deltas. Is there anyway that I can extract those historic Deltas ?

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1 Answer

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@emmanuel.chaslin Please see the answer on this thread. I have tried with RDP using the following code and it returns correctly - but for only one valuation date at a time which seems highly unsatisfactory. So one option could be to iterate over each date you need. Here is the the code but be very careful as you could easily reach your 10K daily API call limits - if say you use a few RICs or options chains.

import refinitiv.dataplatform as rdp 
from refinitiv.dataplatform.content.ipa import option 
rdp.open_desktop_session('MY_APP_KEY') 
rdp.get_option_analytics(
    universe = "1SB2100A2",
    fields = ["DeltaPercent", 
              "UnderlyingPrice"],
    calculation_params = option.CalculationParams(
        valuation_date="2021-09-15")
)

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This is the only method I have for you at the moment I am afraid for options that don't have deltas populated from the ek.get_data function.


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