get https://api.amberdata.com/markets/derivatives/analytics/volatility/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.
RESPONSE DATA
| Field | Type | Description |
|---|---|---|
| payload.metadata.api-version | string | Version of the API. |
| payload.data[index].currency | string | The currency. |
| payload.data[index].exchange | string | The name of the exchange. |
| payload.data[index].timestamp | number | string | The timestamp of the term structure. |
| payload.data[index].counter | number | This reflect the total ATM IV datapoint ratios used in the calculation. (Ex: 7dte/30dte = 1, 7dte/60dte =1, etc) |
| payload.data[index].atm7Days | number | The at-the-money implied volatility. |
| payload.data[index].atm30Days | number | The at-the-money implied volatility. |
| payload.data[index].atm60Days | number | The at-the-money implied volatility. |
| payload.data[index].atm90Days | number | The at-the-money implied volatility. |
| payload.data[index].atm180Days | number | The at-the-money implied volatility. |
| payload.data[index].ratio | number | This is the calculated SUM of all the ratios in the counter. |
| payload.data[index].richness | number | This value reflects the final value of the term-structure richness. Contango reflects all values below 1.00, backwardation otherwise. |