get https://api.amberdata.com/markets/derivatives/analytics/delta-surfaces/floating
This endpoint returns the option delta surface with floating maturities (exchange listed expirations).
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&endDateparameters to move the time frame window to get the next n days/hours/minutes of data.
RESPONSE DATA
| Field | Type | Description |
|---|---|---|
| payload.metadata.api-version | string | Version of the API. |
| payload.data[index].ask | number | The ask. |
| payload.data[index].askIv | number | The ask implied volatility. |
| payload.data[index].askVolume | number | The ask size. |
| payload.data[index].bid | number | The bid. |
| payload.data[index].bidIv | number | The bid implied volatility. |
| payload.data[index].bidVolume | number | The bid size. |
| payload.data[index].currency | string | The currency |
| payload.data[index].delta | number | The greek delta value of the underlying option. |
| payload.data[index].exchange | string | The name of the exchange. |
| payload.data[index].exchangeTimestamp | number | string | The date & time as provided by the exchange. |
| payload.data[index].expirationTimestamp | number | string | The expiration timestamp. |
| payload.data[index].gamma | number | The greek gamma value of the underlying option. |
| payload.data[index].hifiTimestamp | number | string | The date & time of the aggregated record. |
| payload.data[index].indexPrice | number | The index price (spot). |
| payload.data[index].instrument | string | The name of the instrument as provided by exchange. |
| payload.data[index].instrumentNormalized | string | The name of the instrument in Amberdata format. |
| payload.data[index].isAtm | boolean | The "at-the-money" flag for the given expiration cycle. Each expiration has exactly one ATM put and ATM call. |
| payload.data[index].isCarryForward | boolean | Whether this record was a carry forward from the previous data point (if there is not quote updates, the most recent quote is carried forward). |
| payload.data[index].isExchangeProvidedGreeks | boolean | Whether the Greeks were provided by the exchange or calculated by Amberdata. |
| payload.data[index].markPrice | number | The mark price. |
| payload.data[index].markIv | number | The mark implied volatility. |
| payload.data[index].multiplier | number | The contract multiplier. |
| payload.data[index].openInterest | number | The open interest at the time of this record. |
| payload.data[index].putCall | string | Whether this record is a put or a call. |
| payload.data[index].rho | number | The greek rho value of the underlying option. |
| payload.data[index].strike | string | The strike price. |
| payload.data[index].theta | number | The greek theta value of the underlying option. |
| payload.data[index].underlyingPrice | number | The underlying price (ex: Deribit options are future options, the underlying is not spot but the corresponding future). |
| payload.data[index].vega | number | The greek vega value of the underlying option. |
| payload.data[index].volume | number | This is the 24hr rolling volume. |