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Volatility Surfaces inputVolatilityType
Could someone please explain the difference between Implied and Quoted for inputVolatilityType on the surfaces API endpoint: https://api.edp.thomsonreuters.com/data/quantitative-analytics-curves-and-surfaces/v1/surfaces From API documentation page: inputVolatilityTypeenumThe enumerate specifies the type of volatility used…
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Volatility Cube in API Playground
output volcube1.txt I’m using the api “https://api.refinitiv.com/data/quantitative-analytics-curves-and-surfaces/v1/surfaces” The data downloaded from the api for vol cube seems different from Eikon app. eg. the USD vol is constant. EUR IBOR and ESTR vol cubes are the same. Is there something wrong with the output? Output…
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Very high implied volatilities in Option Watch
Hi, in the option watch I see very high implied volatilities that do not match the Exchange. For example, for a Class IV Milk March24 18.50 Put option, the OPWSettleImpliedVolatility is equal to 770.7962 while the exchange reports an implied volatility of 16.61. There can be small differences due to different…
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Not being able to access Implied Volatility Data of Indian Stock Options using Python in Eikon Da...
...ta API I am trying to retrieve implied volatility data of Indian stock options by inputting the ISIN CODE. My end goal is to create a data frame with company, date and implied volatility. As you can see, I'm not being able to retrieve anything. Can you please guide me as to how I can go about it? Thank you!
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How can I pull historical implied vol surfaces to python?
Hi, is there a way to pull historical implied equity vol surfaces (e.g. .STOXX50E) to python via eikon app or datastream app? Thanks, Steffen
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How can I get historical Volatility surface?
I want to get historical volatility surface data for KOSPI200 options. I found above data with 'KS200VOLSURF' but I just can check real-time data. I want historical volatility surface data like above format(for example, 1year daily data each have above format).
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Historical volatility on stock prices
Hi, I am using the Eikon Excel add in and would like to find an efficient way to retrieve the annual volatility of stocks, per year, from 10 years back to today. How do you build such a formula? Thank you!
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Efficient Way to Get Historical ATM Implied Volatility
I'm trying to find an efficient way to download the Historical ATM Implied Volatility using python. Currently, I use the following code to get the historical volatility for some options: vol_df = rd.get_history(universe=option_ric, fields=["IMP_VOLT], interval="1D", start=start_date_2, end=end_date_2) But I realized when I…
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FX volatility smile
Hi, I have a doubt regarding the volatility smile that can be retrieved through the quantitative-analytics-curves-and-surfaces/v1/surfaces endpoint. I am making the http request with this body: { "universe": [ { "underlyingType": "Fx", "surfaceTag": "FxVol-GBPEUR", "underlyingDefinition": { "fxCrossCode": "GBPEUR" },…
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symbology conversion for ATM Implied volability RICs
Hello I am wondering if it is possible to convert a stock/etf RIC into the corresponding at the money implied volatility RIC. the following code will not provide an answer: df,e = ek.get_data('ASML.AS', ['TR.30DAYATTHEMONEYIMPLIEDVOLATILITYINDEXFORPUTOPTIONS.Date', 'TR.30DAYATTHEMONEYIMPLIEDVOLATILITYINDEXFORPUTOPTIONS' ],…
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How do I adjust Values of yAxis displayed on Matrix of FX Volatility Surface IPA?
I am retrieving matrix of IPA FX Volatility surface by using sample file on Github: https://github.com/Refinitiv-API-Samples/Article.RDPLibrary.Python.VolatilitySurfaces_Curves However, Values of yAxis seems not correctly displayed on Matrix of FX Volatility Surface IPA. Although setting up yValues as below in parameter of…
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How do I set up call/put in parameter for IPA FX Volatility surface API ?
A way to set up Call/Put in parameter for IPA FX Volatility surface API is not mentioned in the document"IPA Volatility Surfaces : FX". In Eikon FXVE, call delta and put delta are automatically come up in the bottom section by selecting "delta" as Y axis on the top left of the app: (Y axis=delta) (Call delta/Put delta)…
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What is the RIC for VIX Future spread product? For example VIX Future Spread product between VXc2...
What is the RIC for VIX Future spread product? For example VIX Future Spread product between VXc2 & VXc3 is UXX0UXZ0 as per bloomberg. We are loking for equivalent of this in Reuters.
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How to retrieve interest rate volatility cube
Hi, I am currently trying to understand the response of the example code in here: Firstly, I would like to know if it is possible and how to retrieve the normal volatilities. I would also like to understand what is the content of 'calibrationParameters', the data structure is not well defined and there are negative values.…
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How to interpret Cap volatility surface response
Hi, I am using the API playground to retrieve the EUR Cap volatility surface, but I have a question regarding the response data. In the description of the API endpoint I see the following sentence: It points out that the stripped volatility surface is returned, but what I want is the flat volatility surface. In the…
