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steffen.fuchs avatar image
3 ●0 ●0 ●5

Historical Strike Price for constant maturity option

Hi,

I'm trying to pull historical strike prices for constant maturity oprions:

data = ek.get_timeseries('SPX24MO=R',fields = 'STRIKE_PRC',start_date='2019-09-30', end_date='2019-10-22')

which returns:

SPX24MO=R   STRIKE_PRC
Date                  
2019-09-30         NaN
2019-10-01         NaN
2019-10-02         NaN
2019-10-03         NaN
2019-10-04         NaN
2019-10-07         NaN
2019-10-08         NaN
2019-10-09         NaN
2019-10-10         NaN
2019-10-11         NaN
2019-10-14         NaN
2019-10-15         NaN
2019-10-16         NaN
2019-10-17         NaN
2019-10-18         NaN
2019-10-21         NaN
2019-10-22         NaN

however, using Excel formula builder with following formula "=RHistory("SPX2WO=R","STRIKE_PRC.Timestamp;STRIKE_PRC.Value","INTERVAL:1D",,"TSREPEAT:NO CH:Fd",B2)"

returns the data I'm looking for:

is there a way to pull the historical strikes to python?


Thanks,

Steffen

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4 Answers

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zoya faberov avatar image
23k ●22 ●9 ●14

Hello @steffen.fuchs,

According to my lookup via Data Item Browser (Eikon search -> Data Item Browser),

Implied Volatility is not populated for this instrument



However, the moderators of this forum are developers.

For in-depth content expertise, it is best to either refer to Refinitiv Helpdesk online or call your local Refinitiv Helpdesk, and to have your question be answered by a Refinitiv content expert.


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zoya faberov avatar image
23k ●22 ●9 ●14

Hello @steffen.fuchs,

Would this call return the data you are looking for:

ek.get_data(['SPX24MO=R'],['TR.STRIKEPRICE'],{'sdate':'09/30/2019', 'edate':'10/22/2019'})
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steffen.fuchs avatar image
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Thanks, it does indeed. Can it also return the value date of the data in a row?

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Jirapongse avatar image Jirapongse

@steffen.fuchs

You need to add TR.STRIKEPRICE.Date field.

ek.get_data(['SPX24MO=R'],['TR.STRIKEPRICE.Date','TR.STRIKEPRICE'],{'sdate':'09/30/2019', 'edate':'10/22/2019'})
Upvotes
steffen.fuchs avatar image
3 ●0 ●0 ●5

Thanks, is it also possible to include the Implied Volatility in this request or do I have to put in a separate request like the one below

ek.get_timeseries('SPX24MO=R',start_date='2018-01-02', end_date='2018-01-30')


TR.IMPLIEDVOLATILITY returns NaN for me


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