get https://api.amberdata.com/markets/derivatives/analytics/realized-volatility/implied-vs-realized/tradfi
This endpoint returns the close-to-close daily realized volatility for 5-days and 21-days. Using the daysToExpiration parameter, users can choose which "at-the-money" implied volatility to compare. Implied Volatility is returned on an hourly interval.
USA Trading hours are 14:30:00 - 21:00:00 UTC (9:30a-4pm ET)
RESPONSE DATA
| Field | Type | Description |
|---|---|---|
| payload.metadata.api-version | string | Version of the API. |
| payload.data[index].timestamp | string | The timestamp reflecting the interval. |
| payload.data[index].exchange | string | The name of the exchange. |
| payload.data[index].currency | string | This is the underlying currency being analyzed. |
| payload.data[index].atm | number | This is the "at-the-money" implied volatility for the selected daysToExpiration. |
| payload.data[index].indexPrice | number | This is the underlying spot price. |
| payload.data[index].realizedvolatility5 | number | The is the 5-day realized volatility constructed using hourly data. (Because of weekends this is the TradFi approx for 7-days) |
| payload.data[index].realizedvolatility21 | number | The is the 30-day realized volatility constructed using hourly data. (Because of weekends this is the TradFi approx for 30-days) |