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Wasim Akram01 avatar image
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Getting Realized & Implied volatilities for different time horizon for STOXX50E and SPX (.SP500) indices from Datastream in series format.

I can pull realized data for multiple time horizon for a single date using Eikon API but I need series of data. Below is an example for .STOXX50E pulled using EIKON API.

However this is for one data point i.e, only latest value. I need series of data, example like data series for last 6 months or 1 year or 5 years for every business day for different time horizon.

Also, I do not see implied volatility field for each time horizon in code creator app. I also require this in data series like above for realized volatility.

Can you please help how can I pull the data using Datastream API?

  1. import refinitiv.data.eikon as ek

  3. ek.set_app_key('DEFAULT_CODE_BOOK_APP_KEY')

  5. df, err = ek.get_data(
  6. instruments = ['.STOXX50E'],
  7. fields = [
  8. 'TR.Volatility10D',
  9. 'TR.Volatility30D'
  10. ]
  11. )

  13. display(df)
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Jirapongse avatar image
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anonymous user

Thank you for reaching out to us.

This forum is aimed at answering "how to" types of questions about using Refinitiv APIs and the moderators are not Content/Data specialists. For content availability type questions, I recommend you raise a ticket at Product Support | MyRefinitiv for the product concerned.

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