get https://api.amberdata.com/markets/derivatives/analytics/volatility/delta-surfaces/constant/tradfi
This endpoint returns the option delta surface with constant maturities.
USA Trading hours are 14:30:00 - 21:00:00 UTC (9:30a-4pm ET)
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].timestamp | `number \ | string` |
| payload.data[index].exchange | string | The name of the exchange. |
| payload.data[index].currency | string | The currency. |
| payload.data[index].daysToExpiration | number | Remaining DTE (daysToExpiration). |
| 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].indexPrice | number | The index price (spot). |
| payload.data[index].underlyingPrice | number | Underlying futures price with the corresponding DTE. |
| payload.data[index].deltaPut10 | number | This is the IV for the selected delta point on the curve. |
| payload.data[index].deltaPut20 | number | This is the IV for the selected delta point on the curve. |
| payload.data[index].deltaPut30 | number | This is the IV for the selected delta point on the curve. |
| payload.data[index].deltaPut40 | number | This is the IV for the selected delta point on the curve. |
| payload.data[index].atm | number | The "at-the-money" implied volatility. This is weighted between the closest OTM put and closest OTM call. The weights are proportional to the distance of the strike prices vs underlying price. |
| payload.data[index].deltaCall40 | number | This is the IV for the selected delta point on the curve. |
| payload.data[index].deltaCall30 | number | This is the IV for the selected delta point on the curve. |
| payload.data[index].deltaCall20 | number | This is the IV for the selected delta point on the curve. |
| payload.data[index].deltaCall10 | number | This is the IV for the selected delta point on the curve. |