get https://api.amberdata.com/markets/derivatives/analytics/volatility/level-1-quotes
This endpoint returns the “Level 1” option chain with associated volatilities, greeks and underlying prices. This is the core underlying options data for many analytics.
Although this data streams to Amberdata every 100ms this endpoint returns the first observation for each instrument in 1-minute, 1-hour or 1-day intervals.
Note: Due to the density of data historical date ranges are limited to 60x 1-minute or 24x 1 hour intervals, per call. If no date range is passed, the most recent option chain will be returned.
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].openInterestUSD | number | The open interest at the time of this record (notional value). |
| 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. |
| payload.data[index].volumeUSD | number | This is the 24hr rolling volume (notional value). |