curl --request GET \
--url https://api.amberdata.com/markets/derivatives/analytics/realized-volatility/monthly-vs-daily-ratio \
--header 'x-api-key: <api-key>'
{
"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
}
]
}
}
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.
curl --request GET \
--url https://api.amberdata.com/markets/derivatives/analytics/realized-volatility/monthly-vs-daily-ratio \
--header 'x-api-key: <api-key>'
{
"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
}
]
}
}
[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
200
The response is of type object
.
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