Delta Surfaces Constant

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)

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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 & endDate parameters 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.

Query Params

currency

string

required

Defaults to IBIT

[Required] The underlying currency for which there are listed option instruments.
[Examples] IBIT | COIN

startDate

date-time

[Optional] Payload only includes data after this date (inclusive).
[Formats] seconds | milliseconds | iso8601
[Examples] 1578531600 | 1578531600000 | 2024-11-19T15:00:00

endDate

date-time

[Optional] Payload only includes data before this date (exclusive).
[Formats] seconds | milliseconds | iso8601
[Examples] 1578531600 | 1578531600000 | 2024-11-20T15:00:00

daysToExpirationStart

int32

[Optional] Users can pass a days to expiration filter lower bound, to return only a subset of the delta surface.
[Examples] 0 | 7 | 60

daysToExpirationEnd

int32

[Optional] Users can pass a days to expiration filter upper bound, to return only a subset of the delta surface.
[Examples] 1 | 30 | 180 | 600

timeInterval

string

[Optional] Time interval of data frequency for the selected date range.
[Examples] minute | hour | day
[Note] Due to the density of data historical date ranges are limited to 60x 1-minute or 24x 1 hour intervals, per call.

timeFormat

string

[Optional] Time format of the timestamps in the return payload.
[Defaults] milliseconds | ms* | iso | iso8601 | hr | human_readable

Responses

Language

Credentials

Header


xxxxxxxxxx
1
curl --request GET \
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     --url 'https://api.amberdata.com/markets/derivatives/analytics/volatility/delta-surfaces/constant/tradfi?currency=IBIT' \
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     --header 'accept: application/json'

Click Try It! to start a request and see the response here! Or choose an example:

application/json

📘Time Range Limit

200200

400400

📘
Time Range Limit