Monthly versus Daily Volatility Ratio
curl --request GET \
--url https://api.amberdata.com/markets/derivatives/analytics/realized-volatility/monthly-vs-daily-ratio \
--header 'x-api-key: <api-key>'import requests
url = "https://api.amberdata.com/markets/derivatives/analytics/realized-volatility/monthly-vs-daily-ratio"
headers = {"x-api-key": "<api-key>"}
response = requests.get(url, headers=headers)
print(response.text)const options = {method: 'GET', headers: {'x-api-key': '<api-key>'}};
fetch('https://api.amberdata.com/markets/derivatives/analytics/realized-volatility/monthly-vs-daily-ratio', options)
.then(res => res.json())
.then(res => console.log(res))
.catch(err => console.error(err));<?php
$curl = curl_init();
curl_setopt_array($curl, [
CURLOPT_URL => "https://api.amberdata.com/markets/derivatives/analytics/realized-volatility/monthly-vs-daily-ratio",
CURLOPT_RETURNTRANSFER => true,
CURLOPT_ENCODING => "",
CURLOPT_MAXREDIRS => 10,
CURLOPT_TIMEOUT => 30,
CURLOPT_HTTP_VERSION => CURL_HTTP_VERSION_1_1,
CURLOPT_CUSTOMREQUEST => "GET",
CURLOPT_HTTPHEADER => [
"x-api-key: <api-key>"
],
]);
$response = curl_exec($curl);
$err = curl_error($curl);
curl_close($curl);
if ($err) {
echo "cURL Error #:" . $err;
} else {
echo $response;
}package main
import (
"fmt"
"net/http"
"io"
)
func main() {
url := "https://api.amberdata.com/markets/derivatives/analytics/realized-volatility/monthly-vs-daily-ratio"
req, _ := http.NewRequest("GET", url, nil)
req.Header.Add("x-api-key", "<api-key>")
res, _ := http.DefaultClient.Do(req)
defer res.Body.Close()
body, _ := io.ReadAll(res.Body)
fmt.Println(string(body))
}HttpResponse<String> response = Unirest.get("https://api.amberdata.com/markets/derivatives/analytics/realized-volatility/monthly-vs-daily-ratio")
.header("x-api-key", "<api-key>")
.asString();require 'uri'
require 'net/http'
url = URI("https://api.amberdata.com/markets/derivatives/analytics/realized-volatility/monthly-vs-daily-ratio")
http = Net::HTTP.new(url.host, url.port)
http.use_ssl = true
request = Net::HTTP::Get.new(url)
request["x-api-key"] = '<api-key>'
response = http.request(request)
puts response.read_body{
"status": 200,
"title": "OK",
"description": "Successful request",
"payload": {
"data": [
{
"timestamp": 1717113600000,
"monthlyHigh": 71980,
"monthlyLow": 56500,
"dailyOpen": 68338.58,
"dailyHigh": 69024.71,
"dailyLow": 66584.47,
"dailyClose": 67472.41,
"monthlyHistoricalVolatility": 50.3764986312911,
"dailyHistoricalVolatility30Days": 44.724266426706855
},
{
"timestamp": 1717027200000,
"monthlyHigh": 71980,
"monthlyLow": 56500,
"dailyOpen": 67569.44,
"dailyHigh": 69536.89,
"dailyLow": 67092.91,
"dailyClose": 68338.58,
"monthlyHistoricalVolatility": 50.3764986312911,
"dailyHistoricalVolatility30Days": 46.66868139849072
},
{
"timestamp": 1716940800000,
"monthlyHigh": 71980,
"monthlyLow": 56500,
"dailyOpen": 68321.99,
"dailyHigh": 68864.11,
"dailyLow": 67081.66,
"dailyClose": 67569.45,
"monthlyHistoricalVolatility": 50.3764986312911,
"dailyHistoricalVolatility30Days": 46.563226687535305
},
{
"timestamp": 1716854400000,
"monthlyHigh": 71980,
"monthlyLow": 56500,
"dailyOpen": 69366.31,
"dailyHigh": 69533.96,
"dailyLow": 67194.59,
"dailyClose": 68321.98,
"monthlyHistoricalVolatility": 50.3764986312911,
"dailyHistoricalVolatility30Days": 46.9562324420313
},
{
"timestamp": 1716768000000,
"monthlyHigh": 71980,
"monthlyLow": 56500,
"dailyOpen": 68470.8,
"dailyHigh": 70613.39,
"dailyLow": 68210.12,
"dailyClose": 69368.72,
"monthlyHistoricalVolatility": 50.3764986312911,
"dailyHistoricalVolatility30Days": 46.70074496173833
},
{
"timestamp": 1716681600000,
"monthlyHigh": 71980,
"monthlyLow": 56500,
"dailyOpen": 69289.69,
"dailyHigh": 69522,
"dailyLow": 68097.38,
"dailyClose": 68473.72,
"monthlyHistoricalVolatility": 50.3764986312911,
"dailyHistoricalVolatility30Days": 46.405537150028884
},
{
"timestamp": 1716595200000,
"monthlyHigh": 71980,
"monthlyLow": 56500,
"dailyOpen": 68545.52,
"dailyHigh": 69605.03,
"dailyLow": 68487.44,
"dailyClose": 69289.67,
"monthlyHistoricalVolatility": 50.3764986312911,
"dailyHistoricalVolatility30Days": 46.46990787338427
},
{
"timestamp": 1716508800000,
"monthlyHigh": 71980,
"monthlyLow": 56500,
"dailyOpen": 67932.79,
"dailyHigh": 69278.75,
"dailyLow": 66587.91,
"dailyClose": 68547.8,
"monthlyHistoricalVolatility": 50.3764986312911,
"dailyHistoricalVolatility30Days": 47.08589841634579
},
{
"timestamp": 1716422400000,
"monthlyHigh": 71980,
"monthlyLow": 56500,
"dailyOpen": 69109.93,
"dailyHigh": 70066.95,
"dailyLow": 66259,
"dailyClose": 67940.45,
"monthlyHistoricalVolatility": 50.3764986312911,
"dailyHistoricalVolatility30Days": 46.45863315887012
},
{
"timestamp": 1716336000000,
"monthlyHigh": 71980,
"monthlyLow": 56500,
"dailyOpen": 70142.88,
"dailyHigh": 70659.99,
"dailyLow": 68887.52,
"dailyClose": 69109.93,
"monthlyHistoricalVolatility": 50.3764986312911,
"dailyHistoricalVolatility30Days": 45.06156764942955
},
{
"timestamp": 1716249600000,
"monthlyHigh": 71980,
"monthlyLow": 56500,
"dailyOpen": 71432.16,
"dailyHigh": 71980,
"dailyLow": 69146.01,
"dailyClose": 70142.84,
"monthlyHistoricalVolatility": 50.3764986312911,
"dailyHistoricalVolatility30Days": 45.59409947695456
}
]
}
}{}Realized Volatility
Monthly versus Daily Volatility Ratio
This endpoint returns the relationship/comparison of Parkinson realized volatility calculation using one monthly calculation versus 30 daily calculations. The reasons these calculations might differ is due to mean-reversion, intra-month volatility and trending markets.
GET
/
analytics
/
realized-volatility
/
monthly-vs-daily-ratio
Monthly versus Daily Volatility Ratio
curl --request GET \
--url https://api.amberdata.com/markets/derivatives/analytics/realized-volatility/monthly-vs-daily-ratio \
--header 'x-api-key: <api-key>'import requests
url = "https://api.amberdata.com/markets/derivatives/analytics/realized-volatility/monthly-vs-daily-ratio"
headers = {"x-api-key": "<api-key>"}
response = requests.get(url, headers=headers)
print(response.text)const options = {method: 'GET', headers: {'x-api-key': '<api-key>'}};
fetch('https://api.amberdata.com/markets/derivatives/analytics/realized-volatility/monthly-vs-daily-ratio', options)
.then(res => res.json())
.then(res => console.log(res))
.catch(err => console.error(err));<?php
$curl = curl_init();
curl_setopt_array($curl, [
CURLOPT_URL => "https://api.amberdata.com/markets/derivatives/analytics/realized-volatility/monthly-vs-daily-ratio",
CURLOPT_RETURNTRANSFER => true,
CURLOPT_ENCODING => "",
CURLOPT_MAXREDIRS => 10,
CURLOPT_TIMEOUT => 30,
CURLOPT_HTTP_VERSION => CURL_HTTP_VERSION_1_1,
CURLOPT_CUSTOMREQUEST => "GET",
CURLOPT_HTTPHEADER => [
"x-api-key: <api-key>"
],
]);
$response = curl_exec($curl);
$err = curl_error($curl);
curl_close($curl);
if ($err) {
echo "cURL Error #:" . $err;
} else {
echo $response;
}package main
import (
"fmt"
"net/http"
"io"
)
func main() {
url := "https://api.amberdata.com/markets/derivatives/analytics/realized-volatility/monthly-vs-daily-ratio"
req, _ := http.NewRequest("GET", url, nil)
req.Header.Add("x-api-key", "<api-key>")
res, _ := http.DefaultClient.Do(req)
defer res.Body.Close()
body, _ := io.ReadAll(res.Body)
fmt.Println(string(body))
}HttpResponse<String> response = Unirest.get("https://api.amberdata.com/markets/derivatives/analytics/realized-volatility/monthly-vs-daily-ratio")
.header("x-api-key", "<api-key>")
.asString();require 'uri'
require 'net/http'
url = URI("https://api.amberdata.com/markets/derivatives/analytics/realized-volatility/monthly-vs-daily-ratio")
http = Net::HTTP.new(url.host, url.port)
http.use_ssl = true
request = Net::HTTP::Get.new(url)
request["x-api-key"] = '<api-key>'
response = http.request(request)
puts response.read_body{
"status": 200,
"title": "OK",
"description": "Successful request",
"payload": {
"data": [
{
"timestamp": 1717113600000,
"monthlyHigh": 71980,
"monthlyLow": 56500,
"dailyOpen": 68338.58,
"dailyHigh": 69024.71,
"dailyLow": 66584.47,
"dailyClose": 67472.41,
"monthlyHistoricalVolatility": 50.3764986312911,
"dailyHistoricalVolatility30Days": 44.724266426706855
},
{
"timestamp": 1717027200000,
"monthlyHigh": 71980,
"monthlyLow": 56500,
"dailyOpen": 67569.44,
"dailyHigh": 69536.89,
"dailyLow": 67092.91,
"dailyClose": 68338.58,
"monthlyHistoricalVolatility": 50.3764986312911,
"dailyHistoricalVolatility30Days": 46.66868139849072
},
{
"timestamp": 1716940800000,
"monthlyHigh": 71980,
"monthlyLow": 56500,
"dailyOpen": 68321.99,
"dailyHigh": 68864.11,
"dailyLow": 67081.66,
"dailyClose": 67569.45,
"monthlyHistoricalVolatility": 50.3764986312911,
"dailyHistoricalVolatility30Days": 46.563226687535305
},
{
"timestamp": 1716854400000,
"monthlyHigh": 71980,
"monthlyLow": 56500,
"dailyOpen": 69366.31,
"dailyHigh": 69533.96,
"dailyLow": 67194.59,
"dailyClose": 68321.98,
"monthlyHistoricalVolatility": 50.3764986312911,
"dailyHistoricalVolatility30Days": 46.9562324420313
},
{
"timestamp": 1716768000000,
"monthlyHigh": 71980,
"monthlyLow": 56500,
"dailyOpen": 68470.8,
"dailyHigh": 70613.39,
"dailyLow": 68210.12,
"dailyClose": 69368.72,
"monthlyHistoricalVolatility": 50.3764986312911,
"dailyHistoricalVolatility30Days": 46.70074496173833
},
{
"timestamp": 1716681600000,
"monthlyHigh": 71980,
"monthlyLow": 56500,
"dailyOpen": 69289.69,
"dailyHigh": 69522,
"dailyLow": 68097.38,
"dailyClose": 68473.72,
"monthlyHistoricalVolatility": 50.3764986312911,
"dailyHistoricalVolatility30Days": 46.405537150028884
},
{
"timestamp": 1716595200000,
"monthlyHigh": 71980,
"monthlyLow": 56500,
"dailyOpen": 68545.52,
"dailyHigh": 69605.03,
"dailyLow": 68487.44,
"dailyClose": 69289.67,
"monthlyHistoricalVolatility": 50.3764986312911,
"dailyHistoricalVolatility30Days": 46.46990787338427
},
{
"timestamp": 1716508800000,
"monthlyHigh": 71980,
"monthlyLow": 56500,
"dailyOpen": 67932.79,
"dailyHigh": 69278.75,
"dailyLow": 66587.91,
"dailyClose": 68547.8,
"monthlyHistoricalVolatility": 50.3764986312911,
"dailyHistoricalVolatility30Days": 47.08589841634579
},
{
"timestamp": 1716422400000,
"monthlyHigh": 71980,
"monthlyLow": 56500,
"dailyOpen": 69109.93,
"dailyHigh": 70066.95,
"dailyLow": 66259,
"dailyClose": 67940.45,
"monthlyHistoricalVolatility": 50.3764986312911,
"dailyHistoricalVolatility30Days": 46.45863315887012
},
{
"timestamp": 1716336000000,
"monthlyHigh": 71980,
"monthlyLow": 56500,
"dailyOpen": 70142.88,
"dailyHigh": 70659.99,
"dailyLow": 68887.52,
"dailyClose": 69109.93,
"monthlyHistoricalVolatility": 50.3764986312911,
"dailyHistoricalVolatility30Days": 45.06156764942955
},
{
"timestamp": 1716249600000,
"monthlyHigh": 71980,
"monthlyLow": 56500,
"dailyOpen": 71432.16,
"dailyHigh": 71980,
"dailyLow": 69146.01,
"dailyClose": 70142.84,
"monthlyHistoricalVolatility": 50.3764986312911,
"dailyHistoricalVolatility30Days": 45.59409947695456
}
]
}
}{}Authorizations
Query Parameters
[Required] The exchange for which to retrieve the volatility cone.
[Examples] gdax
[Required] The underlying pair for which to retrieve the volatility cone.
[Examples] btc_usd
[Optional] Time format of the timestamps in the return payload.
[Defaults] milliseconds | ms* | iso | iso8601 | hr | human_readable
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