get https://api.amberdata.com/markets/derivatives/analytics/volatility/metrics/tradfi
This endpoint contains all the metrics useful for having an immediate overview of the options market, for each active expiry. The current Mark IV is updated every minute. These metrics are then compared according to the selected "daysBack" parameter. All the differences are found in the columns with the indication "change" (current metrics vs 24hr ago)
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].currency | string | The underlying currency. |
| payload.data[index].daysToExpiration | number | This is the days left to expiration. |
| payload.data[index].indexPrice | number | Underlying stock price. |
| payload.data[index].indexPriceChange | number | The change in the underlying stock between now and the last 24hr. |
| payload.data[index].atm | number | The current at-the-money volatility. |
| payload.data[index].atmChange | number | The change in the at-the-money volatility between now and the last 24hr. |
| payload.data[index].riskReversal20 | number | This is the ∆25 riskReversal value. The riskReversal reflect the implied volatility of the ∆25Call minus the ∆25Put. |
| payload.data[index].riskReversal20Change | number | The change in the ∆25 riskReversal between now and the last 24hr. |
| payload.data[index].riskReversal10 | number | This is the ∆15 riskReversal value. The riskReversal reflect the implied volatility of the ∆15Call minus the ∆15Put. |
| payload.data[index].riskReversal10Change | number | The change in the ∆15 riskReversal between now and the last 24hr. |
| payload.data[index].butterfly20 | number | This is the ∆25 butterfly value. The butterfly reflect the implied volatility of the ∆25Call plus the ∆25Put, minus two times the "at-the-money" implied volatility. |
| payload.data[index].butterfly20Change | number | The change in the ∆25 butterfly between now and the last 24hr. |
| payload.data[index].butterfly10 | number | This is the ∆15 butterfly value. The butterfly reflect the implied volatility of the ∆15Call plus the ∆15Put, minus two times the "at-the-money" implied volatility. |
| payload.data[index].butterfly10Change | number | The change in the ∆15 butterfly between now and the last 24hr. |