Term Structures Richness

This endpoint returns the term structure richness. The “Term Structure Richness” is the relative “level” of the Contango or Backwardation shape. A reading of 1.00 would be a perfectly flat term structure - as measured by our method - while readings below/above represent Contango/Backwardation respectively. Using the term structure levels enables us to quantify how extended the term structure pricing currently is, at any point in time. The calculation take a ratio of 7-day ATM IV versus, 30-day, 60-day. 90-day and 180-days.

payload.metadata.api-versionstringVersion of the API.
payload.data[index].currencystringThe currency.
payload.data[index].exchangestringThe name of the exchange.
payload.data[index].timestampnumber | stringThe timestamp of the term structure.
payload.data[index].counternumberThis reflect the total ATM IV datapoint ratios used in the calculation. (Ex: 7dte/30dte = 1, 7dte/60dte =1, etc)
payload.data[index].atm7DaysnumberThe at-the-money implied volatility.
payload.data[index].atm30DaysnumberThe at-the-money implied volatility.
payload.data[index].atm60DaysnumberThe at-the-money implied volatility.
payload.data[index].atm90DaysnumberThe at-the-money implied volatility.
payload.data[index].atm180DaysnumberThe at-the-money implied volatility.
payload.data[index].rationumberThis is the calculated SUM of all the ratios in the counter.
payload.data[index].richnessnumberThis value reflects the final value of the term-structure richness. Contango reflects all values below 1.00, backwardation otherwise.

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