For a deeper look into our Eikon Data API, look into:

Overview |  Quickstart |  Documentation |  Downloads |  Tutorials |  Articles

question

Upvotes
Accepted
3 0 0 1

How to get a time series of Implied Volatility for 1 month option for AAPL, FB for last 3 years using python code?

Hi Team,


Good day.


How to get a time series of Implied Volatility for 1 month option for AAPL, FB for last 3 years using python code?


Thank you.

eikoneikon-data-apiworkspaceworkspace-data-apirefinitiv-data-platform-eikon
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 5.0 MiB each and 10.0 MiB total.

Upvote
Accepted
23k 22 9 14

Hello @VyaJunaine.Gutierrez ,

Sorry to hear that the discussion of a similar requirement and how it was solved on the suggested forum thread was not helpful to you, and you were unable to adapt the python code that was accepted as the solution:

df,e = ek.get_data('VODATMIV.L',
                   ['TR.30DAYATTHEMONEYIMPLIEDVOLATILITYINDEXFORPUTOPTIONS.Date',
                    'TR.30DAYATTHEMONEYIMPLIEDVOLATILITYINDEXFORPUTOPTIONS'
                   ],
                   {'SDate':'20140903','EDate':'20150902','Frq':'D'})
df.sort_index(ascending=False, inplace=True)
df

with your required instrument and your required dates.

---

So let us proceed to getting the exact details that you require using the same approach, as it was done on the suggested discussion thread:

Do you have the Excel formula that results in what you are looking to achieve in python? Please share the formula and I will try to translate it into python for you.

If you require a hand to derive the requirement formula first, please contact Refinitiv Workspace/Eikon content experts via Refinitiv Helpdesk Online -> Content -> Refinitiv Workspace/Eikon directly, and share the formula with us?

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 5.0 MiB each and 10.0 MiB total.

Upvotes
23k 22 9 14

Hello @VyaJunaine.Gutierrez ,

Would the approach used in this previous discussion thread be what you are looking for?

If you replace the instrument and start and end dates, with your required parameters.

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 5.0 MiB each and 10.0 MiB total.

Upvotes
3 0 0 1

Hi @zoya faberov

Good day.

May you please assist in getting these details please?

Time series of Implied Volatility for 1 month option for AAPL, FB for last 3 years


Thank you.



icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 5.0 MiB each and 10.0 MiB total.

Upvotes
1.7k 2 4 7

Hi @VyaJunaine.Gutierrez ,

From information in the thread mentioned by Zoya above, I can update the RICs and get the code below. Is this what you're looking for?


df,e = ek.get_data(['AAPLATMIV.U','FBATMIV.U'],
                   ['TR.30DAYATTHEMONEYIMPLIEDVOLATILITYINDEXFORPUTOPTIONS.Date',
                    'TR.30DAYATTHEMONEYIMPLIEDVOLATILITYINDEXFORPUTOPTIONS'
                   ],
                   {'SDate':'-3Y','EDate':'0Y','Frq':'D'})
df.sort_index(ascending=False, inplace=True)
e

1634737864248.png



1634737864248.png (25.9 KiB)
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 5.0 MiB each and 10.0 MiB total.

the RICs used, not sure if they're the correct one

1634737933272.png

1634737945911.png

1634737933272.png (17.2 KiB)
1634737945911.png (17.9 KiB)
Click below to post an Idea Post Idea