get https://api.amberdata.com/markets/derivatives/analytics/volatility-metrics
This endpoint contains all the metrics useful for having an immediate overview of the options market, for each active expiry. The current Mark IV is updated every minute. These metrics are then compared according to the selected "daysBack" parameter. All the differences are found in the columns with the indication "change" (current metrics vs days ago metrics)
RESPONSE DATA
| Field | Type | Description |
|---|---|---|
| payload.metadata.api-version | string | Version of the API. |
| payload.data[index].exchange | string | The name of the exchange. |
| payload.data[index].currency | string | The underlying currency. |
| payload.data[index].expirationTimestamp | timestamp | The instrument expiration timestamp. |
| payload.data[index].daysToExpiration | number | This is the days left to expiration. |
| payload.data[index].underlyingPrice | number | Underlying Future's (with same expiration) price. |
| payload.data[index].underlyingPriceChange | number | The change in the underlying future between now and the daysBack (or 24hrs default). |
| payload.data[index].riskReversal25 | number | This is the ∆25 riskReversal value. The riskReversal reflect the implied volatility of the ∆25Call minus the ∆25Put. |
| payload.data[index].riskReversal25Change | number | The change in the ∆25 riskReversal between now and the daysBack (or 24hrs default). |
| payload.data[index].riskReversal15 | number | This is the ∆15 riskReversal value. The riskReversal reflect the implied volatility of the ∆15Call minus the ∆15Put. |
| payload.data[index].riskReversal15Change | number | The change in the ∆15 riskReversal between now and the daysBack (or 24hrs default). |
| payload.data[index].butterfly25 | number | This is the ∆25 butterfly value. The butterfly reflect the implied volatility of the ∆25Call plus the ∆25Put, minus two times the "at-the-money" implied volatility. |
| payload.data[index].butterfly25Change | number | The change in the ∆25 butterfly between now and the daysBack (or 24hrs default). |
| payload.data[index].butterfly15 | number | This is the ∆15 butterfly value. The butterfly reflect the implied volatility of the ∆15Call plus the ∆15Put, minus two times the "at-the-money" implied volatility. |
| payload.data[index].butterfly15Change | number | The change in the ∆15 butterfly between now and the daysBack (or 24hrs default). |