Hi, I'd like to get the historical IV for the ATM option of the front-month LGO contract. I've found LGOATM+0c1 and the fields IMPLIED_VOLT/TR.IMPLIEDVOLATILITY, but none of them seem to work.
Thank you in advance!
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Hi @matthew.ang, we have also data items called implied volatility index for pre-defined periods.
Example syntax:
df,err = ek.get_data('LGOATMIV',['TR.30DAYATTHEMONEYIMPLIEDVOLATILITYINDEXFORCALLOPTIONS.date','TR.30DAYATTHEMONEYIMPLIEDVOLATILITYINDEXFORCALLOPTIONS'],,{"Sdate":'-10D', "Edate":'0D'})
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To get current implied vol for LGOATM+0c1 use field name IMP_VOLT. To get the history use RHistory function in Excel:
=RHistory("LGOATM+0c1","IMP_VOLT.Timestamp;IMP_VOLT.Value","START:10-Jan-2020 END:10-Feb-2020 INTERVAL:1D",,"CH:Fd")
