Delta Surfaces Constant

This endpoint returns the option delta surface with constant maturities.

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Time Range Limit

The timeInterval supports minute, hour, day.

Due to the density of data, historical time ranges (difference between startDate and endDate) are limited to the following call sizes:

  • 1 year of daily data
  • 90 days of hourly data
  • 1 hour of minutely data

In order to get more than the maximum allowed, you can use the startDate & endDate parameters to move the time frame window to get the next n days/hours/minutes of data.

RESPONSE DATA
FieldTypeDescription
payload.metadata.api-versionstringVersion of the API.
payload.data[index].timestampnumber | stringThis is the data timestamp
payload.data[index].exchangestringThe name of the exchange.
payload.data[index].currencystringThe currency
payload.data[index].daysToExpirationnumberremaining DTE (daysToExpiration)
payload.data[index].multipliernumberThe contract multiplier.
payload.data[index].openInterestnumberThe open interest at the time of this record.
payload.data[index].indexPricenumberThe index price (spot).
payload.data[index].underlyingPricenumberUnderlying futures price with the corresponding DTE.
payload.data[index].deltaPut05numberThis is the IV for the selected delta point on the curve.
payload.data[index].deltaPut10numberThis is the IV for the selected delta point on the curve.
payload.data[index].deltaPut15numberThis is the IV for the selected delta point on the curve.
payload.data[index].deltaPut20numberThis is the IV for the selected delta point on the curve.
payload.data[index].deltaPut25numberThis is the IV for the selected delta point on the curve.
payload.data[index].deltaPut30numberThis is the IV for the selected delta point on the curve.
payload.data[index].deltaPut35numberThis is the IV for the selected delta point on the curve.
payload.data[index].deltaPut40numberThis is the IV for the selected delta point on the curve.
payload.data[index].deltaPut45numberThis is the IV for the selected delta point on the curve.
payload.data[index].delta50numberThis is the IV for the selected delta point on the curve.
payload.data[index].atmnumberThe "at-the-money" implied volatility. This is weighted between the closest OTM put and closest OTM call. The weights are proportional to the distance of the strike prices vs underlying price.
payload.data[index].deltaCall45numberThis is the IV for the selected delta point on the curve.
payload.data[index].deltaCall40numberThis is the IV for the selected delta point on the curve.
payload.data[index].deltaCall35numberThis is the IV for the selected delta point on the curve.
payload.data[index].deltaCall30numberThis is the IV for the selected delta point on the curve.
payload.data[index].deltaCall25numberThis is the IV for the selected delta point on the curve.
payload.data[index].deltaCall20numberThis is the IV for the selected delta point on the curve.
payload.data[index].deltaCall15numberThis is the IV for the selected delta point on the curve.
payload.data[index].deltaCall10numberThis is the IV for the selected delta point on the curve.
payload.data[index].deltaCall05numberThis is the IV for the selected delta point on the curve.

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