openapi: 3.1.0 info: title: derivatives-api version: '2' servers: - url: https://api.amberdata.com/markets/derivatives security: - sec0: [] paths: /analytics/instruments/information: get: summary: Options Instruments description: >- This endpoint returns all available exchanges, currencies and option instruments. If a timestamp is used we can then filter the information for historical data. operationId: derivatives-information-instruments parameters: - name: exchange in: query description: >- **[Optional]** The exchange for which to retrieve listed option instruments. **[Examples]** ` deribit | okex | bybit ` schema: type: string - name: currency in: query description: >- **[Optional]** The underlying currency for which there are listed option instruments. **[Examples]** ` BTC | SOL_USDC ` Note: inverse options underlying currencies are formatted as (BTC, ETH) while linear options currency formats include the stable coin (SOL_USDC) schema: type: string - name: expiration in: query description: >- **[Optional]** Filter records based on the specified expiration date. **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string format: date-time - name: putCall in: query description: |- **[Optional]** The option type **[Examples]** ` C | P ` schema: type: string - name: strike in: query description: >- **[Optional]** The option instrument subset with a given strike price. **[Examples]** ` 100000 | 3500 ` schema: type: integer format: int32 - name: timestamp in: query description: >- **[Optional]** A select historical timestamp for which a list of option instruments were active at the time. **[Examples]** ` 2024-04-03T08:00:00.000Z ` Supported Formats: milliseconds | ms* | iso | iso8601 | hr | human_readable schema: type: string format: date-time - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string responses: '200': description: '200' content: application/json: schema: type: object properties: status: type: integer example: 200 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: ts: type: string example: '2024-04-08 17:23:00.0' description: >- Timestamp when the instrument information was recorded exchange: type: string example: deribit description: >- The exchange where the option instrument is listed instrument: type: string example: DERIBIT-ETH-28MAR25-2000.0-P description: >- The full instrument identifier normalized by Amberdata nativeInstrument: type: string example: ETH-28MAR25-2000-P description: >- The native instrument identifier provided by the exchange multiplier: type: integer example: 1 description: >- The contract multiplier for the option instrument putCall: type: string example: P description: The option type - P for Put, C for Call expiration: type: string example: '2025-03-28 08:00:00.0' description: >- The expiration date and time of the option contract currency: type: string example: ETH description: The underlying currency/asset for the option strike: type: integer example: 2000 description: The strike price of the option contract examples: Result: value: status: 200 title: OK description: Successful request payload: data: - ts: '2024-04-08 17:23:00.0' exchange: deribit instrument: DERIBIT-ETH-28MAR25-2000.0-P nativeInstrument: ETH-28MAR25-2000-P multiplier: 1 putCall: P expiration: '2025-03-28 08:00:00.0' currency: ETH strike: 2000 '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/futures-perpetuals/trade-aggregation-information: get: summary: (new) Information Perpetuals and Futures description: >- This endpoint provides instrument information for each exchange. Users can also query it to view the dataset's start and end dates. Optional parameters, such as exchange or currency, can be used to filter the dataset for specific information. operationId: derivatives-futures-perpetuals-information parameters: - name: currency in: query description: >- **[Optional]** The underlying currency for which there are futures contracts/instruments. **[Examples]** ` BTC | ETH ` schema: type: string default: BTC - name: exchange in: query description: >- **[Optional]** The underlying exchange for which there are futures contracts/instruments. **[Examples]** ` binance | deribit | bitmex ` schema: type: string default: binance - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string default: hr responses: '200': description: '200' content: application/json: schema: type: object properties: status: type: integer title: type: string description: type: string payload: type: object examples: Result: value: {} '400': description: '400' content: application/json: examples: Result: value: status: 200 title: OK description: Successful request payload: data: - endDate: 2025-04-18 00:00:00 000 exchange: binance instrument: 1000000MOGUSDT startDate: 2024-11-07 00:00:00 000 - endDate: 2025-04-18 00:00:00 000 exchange: binance instrument: 1000BONKUSDC startDate: 2024-05-02 00:00:00 000 - endDate: 2025-04-18 00:00:00 000 exchange: binance instrument: 1000BONKUSDT startDate: 2023-11-22 00:00:00 000 - endDate: 2022-04-11 00:00:00 000 exchange: binance instrument: 1000BTTCUSDT startDate: 2022-01-26 00:00:00 000 - endDate: 2025-04-18 00:00:00 000 exchange: binance instrument: 1000CATUSDT startDate: 2024-10-21 00:00:00 000 deprecated: false security: - ApiKeyAuth: [] /analytics/futures-perpetuals/depth/information: get: summary: Futures Depth Instruments description: >- This endpoint returns all available exchanges and futures/perpetual instruments with order book depth data. operationId: derivatives-information-instruments parameters: - name: exchange in: query description: >- **[Optional]** The exchange for which to retrieve listed futures and perpetual instruments depth data. **[Examples]** ` deribit | okex | bybit ` schema: type: string default: deribit - name: instrument in: query description: |- **[Optional]** The instrument for which there is depth data. **[Examples]** ` BTC-PERPETUAL` schema: type: string - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string default: hr responses: '200': description: '200' content: application/json: schema: type: object properties: status: type: integer example: 200 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: endDate: type: string example: '2024-04-08 17:23:00.0' description: >- Timestamp when the instrument information was last recorded exchange: type: string example: deribit description: The exchange where the instrument is listed instrument: type: string example: BTC-PERPETUAL description: The full instrument identifier startDate: type: string example: '2024-04-08 17:23:00.0' description: >- Timestamp when the instrument information was first recorded examples: Result: value: status: 200 title: OK description: Successful request payload: data: - endDate: 2025-10-24 00:02:00 000 exchange: deribit instrument: BTC-PERPETUAL startDate: 2025-06-01 00:00:00 000 '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/futures-perpetuals/trade-aggregation: get: summary: (new) Trade Aggregation Currency description: >- This endpoint summarizes all trading activity for a specific underlying coin on a specific exchange. For example, while Binance offers multiple BTC futures and perpetual contracts, this endpoint aggregates all related statistics into a single, easy-to-use value. The data also features dynamic granularity based on the selected date range. operationId: derivatives-futures-perpetuals-trade-aggregation parameters: - name: currency in: query description: >- **[Optional]** The underlying currency for which there are futures contracts/instruments. **[Examples]** ` BTC | ETH ` schema: type: string default: BTC - name: exchange in: query description: >- **[Optional]** The underlying exchange for which there are futures contracts/instruments. **[Examples]** ` binance | deribit | bitmex ` schema: type: string default: binance - name: startDate in: query description: >- **[Optional]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string - name: endDate in: query description: >- **[Optional]** Payload only includes data before this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string default: hr responses: '200': description: '200' content: application/json: schema: type: object properties: status: type: integer title: type: string description: type: string payload: type: object examples: Result: value: status: 200 title: OK description: Successful request payload: data: - averageUnderlyingPrice: 84017.17281987873 buyLiquidationsUsd: 23477420.25731384 exchange: binance openInterestCoin: 106713.09638160991 openInterestUsd: 8965732660.838097 sellLiquidationsUsd: 3849213.6930378526 tss: 2025-03-19 00:00:00 000 volumeCoin: 300438.3414100124 volumeUsd: 25241980051.962738 - averageUnderlyingPrice: 85221.42787751833 buyLiquidationsUsd: 4175096.105497541 exchange: binance openInterestCoin: 111396.42380859665 openInterestUsd: 9493362297.417788 sellLiquidationsUsd: 13837105.687016506 tss: 2025-03-20 00:00:00 000 volumeCoin: 287203.7676573761 volumeUsd: 24475915171.56461 - averageUnderlyingPrice: 84096.31818809925 buyLiquidationsUsd: 2667630.0910991565 exchange: binance openInterestCoin: 105364.36328984518 openInterestUsd: 8860755020.909304 sellLiquidationsUsd: 4671223.616294775 tss: 2025-03-21 00:00:00 000 volumeCoin: 171565.14556106713 volumeUsd: 14427997071.091063 - averageUnderlyingPrice: 84137.94643596424 buyLiquidationsUsd: 908063.8057317486 exchange: binance openInterestCoin: 105646.95853479617 openInterestUsd: 8888918138.323215 sellLiquidationsUsd: 1035958.0064099494 tss: 2025-03-22 00:00:00 000 volumeCoin: 62107.256121741666 volumeUsd: 5225576988.855812 '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/futures-perpetuals/trade-aggregation-instrument: get: summary: (new) Trade Aggregation Instrument description: >- This endpoint summarizes all trading activity for a specific instrument contract on a specific exchange. The endpoint features detailed statistics and metrics. This enables users to dig into the specifics. The data also features dynamic granularity based on the selected date range. operationId: derivatives-futures-perpetuals-trade-aggregation-instruments parameters: - name: instrument in: query description: >- **[Require]** The underlying instrument symbol for the future/perpetual contracts. **[Examples]** ` BTCBUSD | BTCUSDT ` required: true schema: type: string default: BTCBUSD - name: exchange in: query description: >- **[Required]** The underlying exchange for which there are futures contracts/instruments. **[Examples]** ` binance | deribit | bitmex ` required: true schema: type: string default: binance - name: startDate in: query description: >- **[Optional]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string - name: endDate in: query description: >- **[Optional]** Payload only includes data before this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string default: hr responses: '200': description: '200' content: application/json: schema: type: object properties: status: type: integer title: type: string description: type: string payload: type: object examples: Result: value: status: 200 title: OK description: Successful request payload: data: - averagePrice: 42233.54522460341 btcPrice: 43743.77342853462 buyLiquidations: 0.254 buyLiquidationsPrice: 20578.699999999997 buyNumberOrders: null buyVolume: 435.00999999999993 closePrice: null exchange: binance expirationTimestamp: 1970-01-01 00:00:00 000 highPrice: null instrument: BTCBUSD liquidationsMultiplier: 42761.811023622045 longAccount: 0.5214 lowPrice: null multiplier: 42614.02289051534 openInterest: 666.166 openPrice: null sellLiquidations: 5.494999999999999 sellLiquidationsPrice: 42550.2 sellNumberOrders: null sellVolume: 435.83199999999977 shortAccount: 0.4786 timestampBucket: 2023-12-11 00:00:00 000 totalVolume: 870.8419999999998 type: swaps underlying: BTC - averagePrice: 43637.076917930455 btcPrice: 43380.72502255058 buyLiquidations: 3.9959999999999996 buyLiquidationsPrice: 44191.973333333335 buyNumberOrders: null buyVolume: 1763.8819999999996 closePrice: null exchange: binance expirationTimestamp: 1970-01-01 00:00:00 000 highPrice: null instrument: BTCBUSD liquidationsMultiplier: 43943.478668073214 longAccount: 0.5104 lowPrice: null multiplier: 43637.07588598645 openInterest: 1768.982 openPrice: null sellLiquidations: 0 sellLiquidationsPrice: 0 sellNumberOrders: null sellVolume: 2097.144 shortAccount: 0.4896 timestampBucket: 2023-12-08 00:00:00 000 totalVolume: 3861.0259999999994 type: swaps underlying: BTC - averagePrice: 44010.291134692125 btcPrice: 44249.35620413479 buyLiquidations: 0.31 buyLiquidationsPrice: 29386.666666666668 buyNumberOrders: null buyVolume: 674.5449999999997 closePrice: null exchange: binance expirationTimestamp: 1970-01-01 00:00:00 000 highPrice: null instrument: BTCBUSD liquidationsMultiplier: 43809.52380952381 longAccount: 0.4917 lowPrice: null multiplier: 44010.29183507128 openInterest: 1356.808 openPrice: null sellLiquidations: 0.005 sellLiquidationsPrice: 14611.766666666668 sellNumberOrders: null sellVolume: 730.645 shortAccount: 0.5083 timestampBucket: 2023-12-09 00:00:00 000 totalVolume: 1405.1899999999996 type: swaps underlying: BTC '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/futures-perpetuals/apr-basis/live-term-structures-decorated: get: summary: (new) Apr-Basis Live Term Structure Decorated description: >- This endpoint returns the current quoted futures prices along with the differential to spot and the annualized apr of the spot differential. The data also features dynamic granularity based on the selected date range. operationId: derivatives-futures-perpetuals-apr-basis-live parameters: - name: asset in: query description: >- **[Required]** The underlying currency for which there are futures contracts/instruments. **[Examples]** ` BTC | ETH ` required: true schema: type: string default: BTC - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string default: hr responses: '200': description: '200' content: application/json: schema: type: object properties: status: type: integer title: type: string description: type: string payload: type: object examples: Result: value: status: 200 title: OK description: Successful request payload: data: - apr: 0.02901788055896759 basisUsd: 43.989070892333984 exchange: deribit expirationTimestamp: 2025-04-25 08:00:00 000 instrument: BTC-25APR25 marginType: inverse openInterestUsd: 101781712 quoteAsset: USD symbol: deribit_2025-04-25-BTC-USD timestamp: 2025-04-18 18:59:00 000 volume24hUsd: 7180720 - apr: 0.044346269220113754 basisUsd: 67.22272491455078 exchange: okex expirationTimestamp: 2025-04-25 08:00:00 000 instrument: BTC-USD-250425 marginType: inverse openInterestUsd: 30002300 quoteAsset: USD symbol: okex_2025-04-25-BTC-USD timestamp: 2025-04-18 18:59:00 000 volume24hUsd: 1901600 '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/futures-perpetuals/apr-basis/constant-days-to-expiration: get: summary: Apr-Basis Constant Maturity Decorated description: >- This endpoint returns the quoted futures basis for various exchanges, interpolated to reflect a constant days to expiration (DTE). The data also features dynamic granularity based on the selected date range. operationId: derivatives-futures-perpetuals-apr-basis-constant-maturity-decorated parameters: - name: asset in: query description: >- **[Required]** The underlying currency for which there are futures contracts/instruments. **[Examples]** ` BTC | ETH ` required: true schema: type: string default: BTC - name: startDate in: query description: |- Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` required: false schema: type: string default: '2025-11-01' - name: endDate in: query description: |2- Payload only includes data before this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` required: false schema: type: string default: '2025-11-10' - name: interval in: query description: >- **[Required]** This interval parameter filters for the selected constant maturity DTE (Days To Expiration). **[Examples]** ` 7D | 30D | 90D |180D` required: true schema: type: string default: 30D - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string default: hr responses: '200': description: '200' content: application/json: schema: type: object properties: status: type: integer example: 200 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: apr: type: number example: 11.03 description: >- The annualized percentage rate of the spot differential basis: type: number example: 462.6 description: >- The absolute dollar value differential between the spot price and futures price daysToExpiration: type: number example: 30 description: The days to maturity value symbol: type: string example: bybit_BTC-USDT-linear description: >- The instrument name, including exchange and contract type timestamp: type: string example: '1704067200000' description: Timestamp for the basis and APR data point examples: Result: value: status: 200 title: OK description: Successful request payload: data: - apr: 5.140000000000001 basis: 462.6 daysToExpiration: 30 symbol: bybit_BTC-USDT-linear timestamp: 2025-11-01 00:00:00 000 '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/futures-perpetuals/apr-basis/floating: get: summary: (new) Apr-Basis Floating description: '' operationId: derivatives-futures-perpetuals-apr-basis-floating parameters: - name: asset in: query description: >- **[Required]** The underlying currency for which there are futures contracts/instruments. **[Examples]** ` BTC | ETH ` required: true schema: type: string default: BTC - name: expiration in: query description: >- **[Required]** The expiration date for which there are futures contract terminates trading. **[Examples]** ` 2025-06-27 ` required: true schema: type: string default: '2025-06-27' - name: startDate in: query description: >- **[Required]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` required: true schema: type: string default: '2025-03-01' - name: endDate in: query description: >- **[Required]** Payload only includes data before this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` required: true schema: type: string default: '2025-04-01' - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string default: hr responses: '200': description: '200' content: application/json: schema: type: object properties: status: type: integer title: type: string description: type: string payload: type: object examples: Result: value: status: 200 title: OK description: Successful request payload: data: - apr: 4.580758139491081 basisUSD: 904.2110595703125 symbol: binance_2025-06-27-BTC-USD timestamp: 2025-04-01 00:00:00 000 - apr: 4.034305363893509 basisUSD: 804.5679321289062 symbol: okex_2025-06-27-BTC-USDT timestamp: 2025-03-31 00:00:00 000 - apr: 4.055134952068329 basisUSD: 808.29296875 symbol: okex_2025-06-27-BTC-USD timestamp: 2025-03-31 00:00:00 000 '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/futures-perpetuals/apr-basis/constant-maturities: get: summary: Apr-Basis Constant Maturity description: >- This endpoint returns the quoted futures basis for various exchanges, interpolated to reflect a constant days to expiration (DTE). operationId: derivatives-futures-perpetuals-apr-basis-constant-maturities parameters: - name: asset in: query description: >- **[Required]** The underlying currency for which there are futures contracts/instruments. **[Examples]** ` BTC | ETH ` required: true schema: type: string default: BTC - name: interval in: query description: >- **[Required]** This interval parameter filters for the selected constant maturity DTE (Days To Expiration). **[Examples]** ` 7D | 30D | 90D |180D` required: true schema: type: string default: 30D - name: startDate in: query description: >- **[Required]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` required: true schema: type: string format: date-time default: '2024-05-21' - name: endDate in: query description: >- **[Required]** Payload only includes data before this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` required: true schema: type: string default: '2024-06-01' - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string responses: '200': description: '200' content: application/json: schema: type: object properties: status: type: integer example: 200 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: timestamp: type: string example: '1704067200000' description: Timestamp for the basis and APR data point symbol: type: string example: bybit_BTC-USDC description: The exchange and trading pair symbol basisUSD: type: number example: 293.8 description: The futures basis in USD terms apr: type: number example: 36.11 description: >- The annualized percentage rate (APR) for the basis examples: Result: value: status: 200 title: OK description: Successful request payload: data: - timestamp: '1704067200000' symbol: bybit_BTC-USDC basisUSD: 293.8 apr: 36.11 - timestamp: '1704067200000' symbol: deribit_BTC-USD basisUSD: 296 apr: 36.38 - timestamp: '1704067200000' symbol: huobi_BTC-USD basisUSD: 283.9 apr: 34.89 - timestamp: '1704067200000' symbol: okex_BTC-USD basisUSD: 297.3 apr: 36.54 - timestamp: '1704067200000' symbol: okex_BTC-USDC basisUSD: 287 apr: 35.28 - timestamp: '1704067200000' symbol: okex_BTC-USDT basisUSD: 290.3 apr: 35.68 - timestamp: '1704070800000' symbol: bybit_BTC-USDC basisUSD: 300.9 apr: 36.86 - timestamp: '1704070800000' symbol: deribit_BTC-USD basisUSD: 301.6 apr: 36.96 - timestamp: '1704070800000' symbol: huobi_BTC-USD basisUSD: 280.7 apr: 34.4 - timestamp: '1704070800000' symbol: okex_BTC-USD basisUSD: 302.9 apr: 37.12 - timestamp: '1704070800000' symbol: okex_BTC-USDC basisUSD: 292.8 apr: 35.88 - timestamp: '1704070800000' symbol: okex_BTC-USDT basisUSD: 298.3 apr: 36.55 - timestamp: '1704074400000' symbol: bybit_BTC-USDC basisUSD: 306.6 apr: 37.57 - timestamp: '1704074400000' symbol: deribit_BTC-USD basisUSD: 305.6 apr: 37.44 - timestamp: '1704074400000' symbol: huobi_BTC-USD basisUSD: 277.3 apr: 33.98 - timestamp: '1704074400000' symbol: okex_BTC-USD basisUSD: 311 apr: 38.1 - timestamp: '1704074400000' symbol: okex_BTC-USDC basisUSD: 301.3 apr: 36.92 - timestamp: '1704074400000' symbol: okex_BTC-USDT basisUSD: 298.3 apr: 36.55 '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/futures-perpetuals/apr-basis/live-term-structures: get: summary: Apr-Basis Live Term Structure description: >- This endpoint returns the current quoted futures prices along with the differential to spot and the annualized apr of the spot differential. operationId: derivatives-futures-perpetuals-apr-basis-live-term-structures parameters: - name: asset in: query description: >- **[Required]** The underlying currency for which there are futures contracts/instruments. **[Examples]** ` BTC | ETH ` required: true schema: type: string default: BTC - name: marginType in: query description: >- **[Required]** This is the type of margin for the perpetuals. Perpetuals are either settled in stable coins or underlying currency coins.. **[Examples]** ` coins | stables ` required: true schema: type: string default: coins - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string default: hr responses: '200': description: '200' content: application/json: schema: type: object properties: status: type: integer example: 200 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: exchange: type: string example: deribit description: >- The exchange where the futures contract is listed expirationTimestamp: type: string example: '1718928000000' description: The expiration timestamp of the futures contract marginType: type: string example: coins description: The type of margin used (coins or stables) price: type: number example: 65208 description: The current quoted futures price basis: type: number example: 47 description: >- The differential between futures price and spot price apr: type: number example: 11.03 description: >- The annualized percentage rate of the spot differential examples: Result: value: status: 200 title: OK description: Successful request payload: data: - exchange: deribit expirationTimestamp: '1718928000000' marginType: coins price: 65208 basis: 47 apr: 11.03 - exchange: huobi expirationTimestamp: '1718928000000' marginType: coins price: 65156 basis: -5 apr: -1.45 - exchange: okex expirationTimestamp: '1718928000000' marginType: coins price: 65192 basis: 31 apr: 7.26 - exchange: binance expirationTimestamp: '1719532800000' marginType: coins price: 65317 basis: 156 apr: 9.31 - exchange: bitmex expirationTimestamp: '1719532800000' marginType: coins price: 65215 basis: 53 apr: 3.14 - exchange: bybit expirationTimestamp: '1719532800000' marginType: coins price: 65290 basis: 128 apr: 7.66 - exchange: deribit expirationTimestamp: '1719532800000' marginType: coins price: 65364 basis: 203 apr: 12.11 - exchange: huobi expirationTimestamp: '1719532800000' marginType: coins price: 65299 basis: 138 apr: 8.54 - exchange: kraken expirationTimestamp: '1719532800000' marginType: coins price: 65250 basis: 89 apr: 5.15 - exchange: okex expirationTimestamp: '1719532800000' marginType: coins price: 65240 basis: 78 apr: 4.67 - exchange: bitmex expirationTimestamp: '1721952000000' marginType: coins price: 65704 basis: 542 apr: 8.09 - exchange: deribit expirationTimestamp: '1721952000000' marginType: coins price: 65859 basis: 697 apr: 10.45 - exchange: okex expirationTimestamp: '1721952000000' marginType: coins price: 65772 basis: 610 apr: 9.14 - exchange: okex expirationTimestamp: '1724976000000' marginType: coins price: 66361 basis: 1199 apr: 9.28 - exchange: binance expirationTimestamp: '1727395200000' marginType: coins price: 67189 basis: 2028 apr: 11.32 '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/futures-perpetuals/realized-funding-rates-cumulated: get: summary: Funding Realized/Accumulated description: >- This endpoint returns funding realized/accumulated data, which refers to the payments made between traders holding long and short positions in perpetual futures contracts. Accumulated funding is the total series of payments made between selected dates. operationId: derivatives-futures-perpetuals-funding-realized-accumulated parameters: - name: asset in: query description: >- **[Required]** The underlying currency for which there are futures contracts/instruments. **[Examples]** ` BTC | ETH ` required: true schema: type: string default: BTC - name: marginType in: query description: >- **[Required]** This is the type of margin for the perpetuals. Perpetuals are either settled in stable coins or underlying currency coins.. **[Examples]** ` coins | stables ` required: true schema: type: string default: coins - name: startDate in: query description: >- **[Required]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` required: true schema: type: string format: date-time default: '2024-05-21' - name: endDate in: query description: >- **[Required]** Payload only includes data before this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` required: true schema: type: string default: '2024-06-01' - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string responses: '200': description: '200' content: application/json: schema: type: object properties: status: type: integer example: 200 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: symbol: type: string example: binance BTCUSD_PERP description: The exchange and perpetual contract symbol timestamp: type: string example: 1704067200000 description: The timestamp for the funding data point realizedFunding: type: number example: 0.037711 description: The realized funding payment for the period accumulatedRealizedFunding: type: number example: 0.037711 description: >- The cumulative total of realized funding payments examples: Result: value: status: 200 title: OK description: Successful request payload: data: - symbol: binance BTCUSD_PERP timestamp: 1704067200000 realizedFunding: 0.037711 accumulatedRealizedFunding: 0.037711 - symbol: binance BTCUSD_PERP timestamp: 1704096000000 realizedFunding: 0.020162 accumulatedRealizedFunding: 0.057873 - symbol: binance BTCUSD_PERP timestamp: 1704124800000 realizedFunding: 0.028009999999999997 accumulatedRealizedFunding: 0.085883 - symbol: binance BTCUSD_PERP timestamp: 1704153600000 realizedFunding: 0.059009000000000006 accumulatedRealizedFunding: 0.14489200000000002 - symbol: binance BTCUSD_PERP timestamp: 1704182400000 realizedFunding: 0.036388000000000004 accumulatedRealizedFunding: 0.18128000000000002 - symbol: binance BTCUSD_PERP timestamp: 1704211200000 realizedFunding: 0.033397 accumulatedRealizedFunding: 0.21467700000000003 - symbol: binance BTCUSD_PERP timestamp: 1704240000000 realizedFunding: 0.01 accumulatedRealizedFunding: 0.22467700000000004 - symbol: binance BTCUSD_PERP timestamp: 1704268800000 realizedFunding: 0.013201000000000001 accumulatedRealizedFunding: 0.23787800000000003 - symbol: binance BTCUSD_PERP timestamp: 1704297600000 realizedFunding: 0.01 accumulatedRealizedFunding: 0.24787800000000004 - symbol: binance BTCUSD_PERP timestamp: 1704326400000 realizedFunding: 0.01 accumulatedRealizedFunding: 0.25787800000000005 - symbol: binance BTCUSD_PERP timestamp: 1704355200000 realizedFunding: 0.01 accumulatedRealizedFunding: 0.26787800000000006 - symbol: binance BTCUSD_PERP timestamp: 1704384000000 realizedFunding: 0.01 accumulatedRealizedFunding: 0.27787800000000007 - symbol: binance BTCUSD_PERP timestamp: 1704412800000 realizedFunding: -0.008453 accumulatedRealizedFunding: 0.2694250000000001 - symbol: binance BTCUSD_PERP timestamp: 1704441600000 realizedFunding: 0.01 accumulatedRealizedFunding: 0.2794250000000001 - symbol: binance BTCUSD_PERP timestamp: 1704470400000 realizedFunding: 0.01 accumulatedRealizedFunding: 0.2894250000000001 - symbol: binance BTCUSD_PERP timestamp: 1704499200000 realizedFunding: -0.009720000000000001 accumulatedRealizedFunding: 0.2797050000000001 - symbol: binance BTCUSD_PERP timestamp: 1704528000000 realizedFunding: 0.001185 accumulatedRealizedFunding: 0.2808900000000001 - symbol: binance BTCUSD_PERP timestamp: 1704556800000 realizedFunding: 0.0012850000000000001 accumulatedRealizedFunding: 0.28217500000000006 '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/futures-perpetuals/funding-rates: get: summary: Funding Rates description: >- This endpoint returns funding realized/accumulated data, which refers to the payments made between traders holding long and short positions in perpetual futures contracts. Accumulated funding is the total series of payments made between selected dates. operationId: derivatives-futures-perpetuals-funding-rates parameters: - name: underlying in: query description: >- **[Required]** The underlying currency for which there are futures contracts/instruments. **[Examples]** ` BTC | ETH ` required: true schema: type: string default: BTC - name: startDate in: query description: >- **[Required]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` required: true schema: type: string default: '2025-01-01' - name: endDate in: query description: >- **[Required]** Payload only includes data before this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` required: true schema: type: string default: '2025-02-01' - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string default: hr responses: '200': description: '200' content: application/json: schema: type: object properties: status: type: integer example: 200 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: exchange: type: string example: binance description: >- The exchange where the funding rate is calculated fundingRateIntervalHours: type: integer example: 8 description: The funding rate interval in hours fundingRateNormalized8h: type: number example: 0.00004817 description: The normalized funding rate for 8-hour intervals instrument: type: string example: BTCUSDC description: The perpetual contract instrument name marginType: type: string example: linear description: The type of margin used (linear or inverse) quoteAsset: type: string example: USDC description: The quote asset for the perpetual contract realizedFunding: type: number example: 0.00004817 description: The realized funding payment for the period realizedFundingCumulated: type: number example: 0.00004817 description: >- The cumulative total of realized funding payments symbol: type: string example: binance_BTCUSDC description: The exchange and instrument symbol timestamp: type: string example: 2024-02-01 00:00:00 000 description: The timestamp for the funding rate data underlying: type: string example: BTC description: The underlying asset for the perpetual contract examples: Result: value: status: 200 title: OK description: Successful request payload: data: - exchange: binance fundingRateIntervalHours: 8 fundingRateNormalized8h: 0.00004817 instrument: BTCUSDC marginType: linear quoteAsset: USDC realizedFunding: 0.00004817 realizedFundingCumulated: 0.00004817 symbol: binance_BTCUSDC timestamp: 2024-02-01 00:00:00 000 underlying: BTC - exchange: binance fundingRateIntervalHours: 8 fundingRateNormalized8h: 0.0001 instrument: BTCUSDT marginType: linear quoteAsset: USDT realizedFunding: 0.0001 realizedFundingCumulated: 0.0001 symbol: binance_BTCUSDT timestamp: 2024-02-01 00:00:00 000 underlying: BTC - exchange: binance fundingRateIntervalHours: 8 fundingRateNormalized8h: 0.0001 instrument: BTCUSD_PERP marginType: inverse quoteAsset: USD realizedFunding: 0.0001 realizedFundingCumulated: 0.0001 symbol: binance_BTCUSD_PERP timestamp: 2024-02-01 00:00:00 000 underlying: BTC - exchange: bybit fundingRateIntervalHours: 8 fundingRateNormalized8h: 0.0001 instrument: BTCPERP marginType: linear quoteAsset: USDC realizedFunding: 0.0001 realizedFundingCumulated: 0.0001 symbol: bybit_BTCPERP timestamp: 2024-02-01 00:00:00 000 underlying: BTC - exchange: bybit fundingRateIntervalHours: 8 fundingRateNormalized8h: 0.0001 instrument: BTCUSD marginType: inverse quoteAsset: USD realizedFunding: 0.0001 realizedFundingCumulated: 0.0001 symbol: bybit_BTCUSD timestamp: 2024-02-01 00:00:00 000 underlying: BTC '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/futures-perpetuals/liquidations-total: get: summary: Liquidations Aggregate (Futures and Perpetuals) description: >- This endpoint returns the total aggregated liquidations for both futures and perpetuals for a selected time interval and exchange venue. The liquidations are split into "Buy-To-Close" and "Sell-To-Close" buckets. The endpoint is dynamic in terms of granularity. 1-day of data returns 5-min, 7-days returns hourly, 30-days returns daily. operationId: derivatives-futures-perpetuals-liquidations-aggregates parameters: - name: asset in: query description: >- **[Required]** The underlying currency for which there are futures contracts/instruments. **[Examples]** ` BTC | ETH ` required: true schema: type: string default: btc - name: startDate in: query description: >- **[Required]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` required: true schema: type: string format: date-time default: '2024-11-01' - name: endDate in: query description: >- **[Required]** Payload only includes data before this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` required: true schema: type: string default: '2024-11-04' - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string responses: '200': description: '200' content: application/json: schema: type: object properties: status: type: integer example: 200 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: timestamp: type: string example: 2024-11-05 00:00:00 000 description: The timestamp for the liquidation data point exchange: type: string example: binance description: The exchange where the liquidations occurred buyLiquidationsUSD: type: number example: 407 description: The total USD value of buy-to-close liquidations sellLiquidationsUSD: type: number example: 0 description: >- The total USD value of sell-to-close liquidations averagePrice: type: number example: 67776.44798099755 description: The average price during the liquidation period examples: Result: value: status: 200 title: OK description: Successful request payload: data: - timestamp: 2024-11-05 00:00:00 000 exchange: binance buyLiquidationsUSD: 407 sellLiquidationsUSD: 0 averagePrice: 67776.44798099755 - timestamp: 2024-11-05 00:00:00 000 exchange: bitmex buyLiquidationsUSD: 0 sellLiquidationsUSD: 0 averagePrice: 67776.44798099755 - timestamp: 2024-11-05 00:00:00 000 exchange: bybit buyLiquidationsUSD: 407 sellLiquidationsUSD: 0 averagePrice: 67776.44798099755 - timestamp: 2024-11-05 00:00:00 000 exchange: deribit buyLiquidationsUSD: 0 sellLiquidationsUSD: 0 averagePrice: 67776.44798099755 - timestamp: 2024-11-05 00:00:00 000 exchange: huobi buyLiquidationsUSD: 0 sellLiquidationsUSD: 0 averagePrice: 67776.44798099755 - timestamp: 2024-11-05 00:00:00 000 exchange: okex buyLiquidationsUSD: 0 sellLiquidationsUSD: 0 averagePrice: 67776.44798099755 - timestamp: 2024-11-04 23:45:00 000 exchange: binance buyLiquidationsUSD: 0 sellLiquidationsUSD: 21654 averagePrice: 67618.94900542521 - timestamp: 2024-11-04 23:45:00 000 exchange: bitmex buyLiquidationsUSD: 0 sellLiquidationsUSD: 0 averagePrice: 67618.94900542521 - timestamp: 2024-11-04 23:45:00 000 exchange: bybit buyLiquidationsUSD: 0 sellLiquidationsUSD: 51032 averagePrice: 67618.94900542521 - timestamp: 2024-11-04 23:45:00 000 exchange: deribit buyLiquidationsUSD: 0 sellLiquidationsUSD: 0 averagePrice: 67618.94900542521 - timestamp: 2024-11-04 23:45:00 000 exchange: huobi buyLiquidationsUSD: 0 sellLiquidationsUSD: 271 averagePrice: 67618.94900542521 - timestamp: 2024-11-04 23:45:00 000 exchange: okex buyLiquidationsUSD: 0 sellLiquidationsUSD: 203 averagePrice: 67618.94900542521 - timestamp: 2024-11-04 23:30:00 000 exchange: binance buyLiquidationsUSD: 0 sellLiquidationsUSD: 0 averagePrice: 67779.18988764042 - timestamp: 2024-11-04 23:30:00 000 exchange: bitmex buyLiquidationsUSD: 0 sellLiquidationsUSD: 0 averagePrice: 67779.18988764042 - timestamp: 2024-11-04 23:30:00 000 exchange: bybit buyLiquidationsUSD: 0 sellLiquidationsUSD: 0 averagePrice: 67779.18988764042 - timestamp: 2024-11-04 23:30:00 000 exchange: deribit buyLiquidationsUSD: 0 sellLiquidationsUSD: 0 averagePrice: 67779.18988764042 - timestamp: 2024-11-04 23:30:00 000 exchange: huobi buyLiquidationsUSD: 1970 sellLiquidationsUSD: 0 averagePrice: 67779.18988764042 - timestamp: 2024-11-04 23:30:00 000 exchange: okex buyLiquidationsUSD: 0 sellLiquidationsUSD: 0 averagePrice: 67779.18988764042 - timestamp: 2024-11-04 23:15:00 000 exchange: binance buyLiquidationsUSD: 4954 sellLiquidationsUSD: 2642 averagePrice: 67691.32767402376 - timestamp: 2024-11-04 23:15:00 000 exchange: bitmex buyLiquidationsUSD: 0 sellLiquidationsUSD: 0 averagePrice: 67691.32767402376 - timestamp: 2024-11-04 23:15:00 000 exchange: bybit buyLiquidationsUSD: 0 sellLiquidationsUSD: 105157 averagePrice: 67691.32767402376 - timestamp: 2024-11-04 23:15:00 000 exchange: deribit buyLiquidationsUSD: 0 sellLiquidationsUSD: 0 averagePrice: 67691.32767402376 - timestamp: 2024-11-04 23:15:00 000 exchange: huobi buyLiquidationsUSD: 0 sellLiquidationsUSD: 7231 averagePrice: 67691.32767402376 - timestamp: 2024-11-04 23:15:00 000 exchange: okex buyLiquidationsUSD: 0 sellLiquidationsUSD: 4066 averagePrice: 67691.32767402376 - timestamp: 2024-11-04 23:00:00 000 exchange: binance buyLiquidationsUSD: 16892 sellLiquidationsUSD: 25162 averagePrice: 67779.24759519029 - timestamp: 2024-11-04 23:00:00 000 exchange: bitmex buyLiquidationsUSD: 0 sellLiquidationsUSD: 0 averagePrice: 67779.24759519029 - timestamp: 2024-11-04 23:00:00 000 exchange: bybit buyLiquidationsUSD: 0 sellLiquidationsUSD: 204 averagePrice: 67779.24759519029 - timestamp: 2024-11-04 23:00:00 000 exchange: deribit buyLiquidationsUSD: 0 sellLiquidationsUSD: 0 averagePrice: 67779.24759519029 - timestamp: 2024-11-04 23:00:00 000 exchange: huobi buyLiquidationsUSD: 0 sellLiquidationsUSD: 3326 averagePrice: 67779.24759519029 - timestamp: 2024-11-04 23:00:00 000 exchange: okex buyLiquidationsUSD: 0 sellLiquidationsUSD: 0 averagePrice: 67779.24759519029 - timestamp: 2024-11-04 22:45:00 000 exchange: binance buyLiquidationsUSD: 307664 sellLiquidationsUSD: 0 averagePrice: 67746.61886792466 - timestamp: 2024-11-04 22:45:00 000 exchange: bitmex buyLiquidationsUSD: 2021 sellLiquidationsUSD: 0 averagePrice: 67746.61886792466 - timestamp: 2024-11-04 22:45:00 000 exchange: bybit buyLiquidationsUSD: 94311 sellLiquidationsUSD: 0 averagePrice: 67746.61886792466 - timestamp: 2024-11-04 22:45:00 000 exchange: deribit buyLiquidationsUSD: 0 sellLiquidationsUSD: 0 averagePrice: 67746.61886792466 - timestamp: 2024-11-04 22:45:00 000 exchange: huobi buyLiquidationsUSD: 555200 sellLiquidationsUSD: 0 averagePrice: 67746.61886792466 - timestamp: 2024-11-04 22:45:00 000 exchange: okex buyLiquidationsUSD: 507007 sellLiquidationsUSD: 0 averagePrice: 67746.61886792466 '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/futures-perpetuals/open-interest-total: get: summary: Open Interest description: >- This endpoint returns the total asset open interest for both futures and perpetuals across the various exchanges. The open interest is returns in raw coin amounts and millions of dollars. operationId: derivatives-futures-perpetuals-open-interest-total parameters: - name: asset in: query description: >- **[Required]** The underlying currency for which there are futures contracts/instruments. **[Examples]** ` BTC | ETH ` required: true schema: type: string default: BTC - name: startDate in: query description: >- **[Required]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` required: true schema: type: string format: date-time default: '2024-05-21' - name: endDate in: query description: >- **[Required]** Payload only includes data before this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` required: true schema: type: string default: '2024-06-01' - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string responses: '200': description: '200' content: application/json: schema: type: object properties: status: type: integer example: 200 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: exchange: type: string example: huobi description: >- The exchange where the open interest data is from timestamp: type: string example: 1715385600000 description: The timestamp for the open interest data point coin: type: number example: 2422.5065079067244 description: The open interest amount in raw coin units usd: type: number example: 147.31088485102083 description: The open interest amount in millions of USD examples: Result: value: status: 200 title: OK description: Successful request payload: data: - exchange: huobi timestamp: 1715385600000 coin: 2422.5065079067244 usd: 147.31088485102083 - exchange: kraken timestamp: 1715385600000 coin: 3127.0053168195695 usd: 190.48881954960004 - exchange: bitmex timestamp: 1715385600000 coin: 6929.464631763672 usd: 372.08792198369997 - exchange: deribit timestamp: 1715385600000 coin: 25049.827686538036 usd: 1547.513314212 - exchange: okex timestamp: 1715385600000 coin: 43135.73797192597 usd: 2635.6437946363894 - exchange: bybit timestamp: 1715385600000 coin: 76781.5822092026 usd: 4669.033820516301 - exchange: binance timestamp: 1715385600000 coin: 111446.26808003098 usd: 6787.6393313128 - exchange: cme timestamp: 1715385600000 coin: 133229.59999999995 usd: 8186.2328186800005 - exchange: huobi timestamp: 1715299200000 coin: 2243.9724956417745 usd: 141.33601091870173 - exchange: kraken timestamp: 1715299200000 coin: 3210.220565067225 usd: 203.0752266112 - exchange: bitmex timestamp: 1715299200000 coin: 6749.902349060866 usd: 374.4837635761 '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/futures-perpetuals/volumes: get: summary: Volumes description: >- This endpoint returns the rolling 24h volume for both futures and perpetuals of the underlying asset. The endpoint returns the USD volume in millions of dollars and the volume in units of underlying coins. operationId: derivatives-futures-perpetuals-volumes parameters: - name: asset in: query description: >- **[Required]** The underlying currency for which there are futures contracts/instruments. **[Examples]** ` BTC | ETH ` required: true schema: type: string default: BTC - name: startDate in: query description: >- **[Required]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` required: true schema: type: string format: date-time default: '2024-05-21' - name: endDate in: query description: >- **[Required]** Payload only includes data before this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` required: true schema: type: string default: '2024-06-01' - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string responses: '200': description: '200' content: application/json: schema: type: object properties: status: type: integer example: 200 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: timestamp: type: string example: 1706659200000 description: The timestamp for the volume data point exchange: type: string example: binance description: The exchange where the volume data is from underlying: type: string example: BTC description: >- The underlying asset for the futures/perpetuals contracts totalDailyVolume: type: string example: '370916.7' description: The total daily volume in contract units totalDailyVolumeMilUSD: type: string example: '15800.9' description: The total daily volume in millions of USD totalDailyVolumeNative: type: string example: '370916.7' description: The total daily volume in native coin units examples: Result: value: status: 200 title: OK description: Successful request payload: data: - timestamp: 1706659200000 exchange: binance underlying: BTC totalDailyVolume: '370916.7' totalDailyVolumeMilUSD: '15800.9' totalDailyVolumeNative: '370916.7' - timestamp: 1706659200000 exchange: bitmex underlying: BTC totalDailyVolume: '1128347366.9' totalDailyVolumeMilUSD: '421.1' totalDailyVolumeNative: '9901.8' - timestamp: 1706659200000 exchange: bybit underlying: BTC totalDailyVolume: '168972.8' totalDailyVolumeMilUSD: '7196.2' totalDailyVolumeNative: '168972.8' - timestamp: 1706659200000 exchange: deribit underlying: BTC totalDailyVolume: '13917.3' totalDailyVolumeMilUSD: '593.7' totalDailyVolumeNative: '13917.3' - timestamp: 1706659200000 exchange: ftxus underlying: BTC totalDailyVolume: null totalDailyVolumeMilUSD: null totalDailyVolumeNative: null - timestamp: 1706659200000 exchange: huobi underlying: BTC totalDailyVolume: '15451.3' totalDailyVolumeMilUSD: '658.8' totalDailyVolumeNative: '15451.3' - timestamp: 1706659200000 exchange: kraken underlying: BTC totalDailyVolume: '3908651.8' totalDailyVolumeMilUSD: '174.9' totalDailyVolumeNative: '4107.2' - timestamp: 1706659200000 exchange: okex underlying: BTC totalDailyVolume: '40064594.0' totalDailyVolumeMilUSD: '6700.6' totalDailyVolumeNative: '157175.2' - timestamp: 1706572800000 exchange: binance underlying: BTC totalDailyVolume: '301377.0' totalDailyVolumeMilUSD: '12927.0' totalDailyVolumeNative: '301377.0' - timestamp: 1706572800000 exchange: bitmex underlying: BTC totalDailyVolume: '1052392849.8' totalDailyVolumeMilUSD: '400.2' totalDailyVolumeNative: '9332.4' - timestamp: 1706572800000 exchange: bybit underlying: BTC totalDailyVolume: '136513.9' totalDailyVolumeMilUSD: '5853.9' totalDailyVolumeNative: '136513.9' - timestamp: 1706572800000 exchange: deribit underlying: BTC totalDailyVolume: '12887.8' totalDailyVolumeMilUSD: '554.2' totalDailyVolumeNative: '12887.8' - timestamp: 1706572800000 exchange: ftxus underlying: BTC totalDailyVolume: null totalDailyVolumeMilUSD: null totalDailyVolumeNative: null - timestamp: 1706572800000 exchange: huobi underlying: BTC totalDailyVolume: '12169.3' totalDailyVolumeMilUSD: '522.3' totalDailyVolumeNative: '12169.3' - timestamp: 1706572800000 exchange: kraken underlying: BTC totalDailyVolume: '6986109.9' totalDailyVolumeMilUSD: '186.8' totalDailyVolumeNative: '4352.7' - timestamp: 1706572800000 exchange: okex underlying: BTC totalDailyVolume: '32367069.0' totalDailyVolumeMilUSD: '5660.8' totalDailyVolumeNative: '131876.6' - timestamp: 1706486400000 exchange: binance underlying: BTC totalDailyVolume: '290724.5' totalDailyVolumeMilUSD: '12567.6' totalDailyVolumeNative: '290724.5' - timestamp: 1706486400000 exchange: bitmex underlying: BTC totalDailyVolume: '854470564.6' totalDailyVolumeMilUSD: '262.2' totalDailyVolumeNative: '6127.6' '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/realized-volatility/cones/information: get: summary: Pairs Information description: >- This information endpoint returns the available spot data for realized volatility and price calculations provided for each specific exchange. (AVAILABLE EXCHANGE: binance, bithumb, bitstamp, gdax, gemini, kraken, okex, poloniex) operationId: derivatives-realized-volatility-pairs-information parameters: - name: exchange in: query description: >- **[Required]** The exchange for which to retrieve the volatility cone. **[Examples]** `binance | bithumb | bitstamp | gdax | gemini | kraken | okex | poloniex` required: true schema: type: string default: gdax - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string responses: '200': description: '200' content: application/json: schema: type: object properties: status: type: integer example: 200 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: exchange: type: string example: binance description: >- The exchange where the realized volatility data is available pair: type: string example: 1inch_btc description: >- The trading pair for which realized volatility data is available startTimestamp: type: integer example: 1712793600000 description: >- The start timestamp in milliseconds when data becomes available for this pair endTimestamp: type: integer example: 1717545600000 description: >- The end timestamp in milliseconds until which data is available for this pair examples: Result: value: status: 200 title: OK description: Successful request payload: data: - exchange: binance pair: 1inch_btc startTimestamp: 1712793600000 endTimestamp: 1717545600000 - exchange: binance pair: 1inch_usdt startTimestamp: 1712793600000 endTimestamp: 1717545600000 - exchange: binance pair: aave_bnb startTimestamp: 1712793600000 endTimestamp: 1715212800000 - exchange: binance pair: aave_btc startTimestamp: 1712793600000 endTimestamp: 1717545600000 - exchange: binance pair: aave_eth startTimestamp: 1712793600000 endTimestamp: 1717545600000 - exchange: binance pair: aave_usdt startTimestamp: 1712793600000 endTimestamp: 1717545600000 - exchange: binance pair: aca_btc startTimestamp: 1712793600000 endTimestamp: 1717545600000 - exchange: binance pair: aca_try startTimestamp: 1712793600000 endTimestamp: 1717545600000 - exchange: binance pair: aca_usdt startTimestamp: 1712793600000 endTimestamp: 1717545600000 - exchange: binance pair: ach_btc startTimestamp: 1712793600000 endTimestamp: 1717545600000 - exchange: binance pair: ach_try startTimestamp: 1712793600000 endTimestamp: 1717545600000 - exchange: binance pair: ach_usdt startTimestamp: 1712793600000 endTimestamp: 1717545600000 '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/realized-volatility/correlation-beta: get: summary: Correlation, Beta and Realized Volatility description: >- This endpoint returns the entire series of closing prices for two selected currency pairs from a given exchange. In addition to the series of closing prices the endpoint also returns the various realized volatility measures (using the high/low Parkinson method), rolling correlation calculation and beta. Beta is a measure of the second pair, in terms of the first pair. operationId: derivatives-realized-volatility-correlation-beta parameters: - name: exchange in: query description: >- **[Required]** The exchange for which to retrieve the volatility cone. **[Examples]** `gdax` required: true schema: type: string default: gdax - name: pair in: query description: >- **[Required]** The underlying pair for which to retrieve the volatility cone. **[Examples]** `btc_usd` required: true schema: type: string default: btc_usd - name: pair2 in: query description: >- **[Required]** The underlying pair for which to retrieve the volatility cone. **[Examples]** `btc_usd` required: true schema: type: string default: crv_usd - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string responses: '200': description: '200' content: application/json: schema: type: object properties: status: type: integer example: 200 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: timestamp: type: integer example: 1717891200000 description: >- The timestamp for the correlation and volatility data point in milliseconds pairOne: type: string example: btc_usd description: The first trading pair identifier closeOne: type: number example: 69637.87 description: The closing price for the first pair returnOne: type: number example: 0.004805182515383674 description: The return for the first pair realizedVolatility30One: type: number example: 42.0864678279902 description: >- 30-day realized volatility for the first pair using Parkinson method realizedVolatility90One: type: number example: 57.68190160816796 description: >- 90-day realized volatility for the first pair using Parkinson method realizedVolatility180One: type: number example: 57.19054161014279 description: >- 180-day realized volatility for the first pair using Parkinson method pairTwo: type: string example: bat_usd description: The second trading pair identifier closeTwo: type: number example: 0.21888 description: The closing price for the second pair returnTwo: type: number example: 0.028499878450170477 description: The return for the second pair realizedVolatility30Two: type: number example: 68.5370023337145 description: >- 30-day realized volatility for the second pair using Parkinson method realizedVolatility90Two: type: number example: 98.47758869601947 description: >- 90-day realized volatility for the second pair using Parkinson method realizedVolatility180Two: type: number example: 98.80410983128807 description: >- 180-day realized volatility for the second pair using Parkinson method correlation30: type: number example: 0.7552476390292794 description: 30-day rolling correlation between the two pairs correlation90: type: number example: 0.799399139913421 description: 90-day rolling correlation between the two pairs correlation180: type: number example: 0.7034835781804859 description: >- 180-day rolling correlation between the two pairs beta30: type: number example: 3.2189444686705147e-7 description: >- 30-day beta of the second pair relative to the first pair beta90: type: number example: 3.259995070131424e-7 description: >- 90-day beta of the second pair relative to the first pair beta180: type: number example: 2.587090631033647e-7 description: >- 180-day beta of the second pair relative to the first pair examples: Result: value: status: 200 title: OK description: Successful request payload: data: - timestamp: 1717891200000 pairOne: btc_usd closeOne: 69637.87 returnOne: 0.004805182515383674 realizedVolatility30One: 42.0864678279902 realizedVolatility90One: 57.68190160816796 realizedVolatility180One: 57.19054161014279 pairTwo: bat_usd closeTwo: 0.21888 returnTwo: 0.028499878450170477 realizedVolatility30Two: 68.5370023337145 realizedVolatility90Two: 98.47758869601947 realizedVolatility180Two: 98.80410983128807 correlation30: 0.7552476390292794 correlation90: 0.799399139913421 correlation180: 0.7034835781804859 beta30: 3.2189444686705147e-7 beta90: 3.259995070131424e-7 beta180: 2.587090631033647e-7 - timestamp: 1717804800000 pairOne: btc_usd closeOne: 69304.05 returnOne: -0.0002954657711849934 realizedVolatility30One: 43.510440478954465 realizedVolatility90One: 58.54203426168267 realizedVolatility180One: 57.26235339834626 pairTwo: bat_usd closeTwo: 0.21273 returnTwo: -0.07085578364699298 realizedVolatility30Two: 69.60916551937758 realizedVolatility90Two: 100.10234014263939 realizedVolatility180Two: 98.80989210134847 correlation30: 0.7809324038016613 correlation90: 0.8040191980294766 correlation180: 0.7039716058761781 beta30: 3.298003756654707e-7 beta90: 3.2338597625240846e-7 beta180: 2.580752678941824e-7 - timestamp: 1717718400000 pairOne: btc_usd closeOne: 69324.53 returnOne: -0.020687803170697266 realizedVolatility30One: 44.52510585826129 realizedVolatility90One: 58.620168182085145 realizedVolatility180One: 57.74446769789986 pairTwo: bat_usd closeTwo: 0.22835 returnTwo: -0.0702970349285314 realizedVolatility30Two: 67.59168422916571 realizedVolatility90Two: 99.79452179567559 realizedVolatility180Two: 99.14883650740931 correlation30: 0.8384256395875948 correlation90: 0.8123615147733092 correlation180: 0.7156438865064703 beta30: 3.213416176062202e-7 beta90: 3.222167701111019e-7 beta180: 2.6232794407298634e-7 - timestamp: 1717632000000 pairOne: btc_usd closeOne: 70773.64 returnOne: -0.004897583519386445 realizedVolatility30One: 43.7653513827422 realizedVolatility90One: 58.28780588209326 realizedVolatility180One: 57.57807390771005 pairTwo: bat_usd closeTwo: 0.24498 returnTwo: -0.01844264842333594 realizedVolatility30Two: 57.788771231287726 realizedVolatility90Two: 99.19624699849902 realizedVolatility180Two: 98.43878948353606 correlation30: 0.8347486153111778 correlation90: 0.8048882724001079 correlation180: 0.7150263754113316 beta30: 2.9859210171738087e-7 beta90: 3.2187101162116015e-7 beta180: 2.611012411634596e-7 - timestamp: 1717545600000 pairOne: btc_usd closeOne: 71121.11 returnOne: 0.008171385099943545 realizedVolatility30One: 44.10671312259362 realizedVolatility90One: 58.66730021945763 realizedVolatility180One: 57.56836799053604 pairTwo: bat_usd closeTwo: 0.24954 returnTwo: 0.024461213541681317 realizedVolatility30Two: 57.667903155340795 realizedVolatility90Two: 99.74604119536528 realizedVolatility180Two: 98.47441035636534 correlation30: 0.8340454699445516 correlation90: 0.7975124608841659 correlation180: 0.7145197980406409 beta30: 2.9348839866265736e-7 beta90: 3.158520069930095e-7 beta180: 2.6096796522584775e-7 - timestamp: 1717459200000 pairOne: btc_usd closeOne: 70542.32 returnOne: 0.025139890979064928 realizedVolatility30One: 44.85597488724197 realizedVolatility90One: 58.789640030384824 realizedVolatility180One: 57.63359881131043 pairTwo: bat_usd closeTwo: 0.24351 returnTwo: 0.0036203602303056456 realizedVolatility30Two: 58.17214054961427 realizedVolatility90Two: 100.52944674495889 realizedVolatility180Two: 98.53728013004222 correlation30: 0.8431772514802272 correlation90: 0.7915534454453563 correlation180: 0.7153903152429061 beta30: 2.893332386492286e-7 beta90: 3.1673458881810907e-7 beta180: 2.6138032641376585e-7 '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/realized-volatility/monthly-vs-daily-ratio: get: summary: Monthly versus Daily Volatility Ratio description: >- This endpoint returns the relationship/comparison of Parkinson realized volatility calculation using one monthly calculation versus 30 daily calculations. The reasons these calculations might differ is due to mean-reversion, intra-month volatility and trending markets. operationId: derivatives-realized-volatility-monthly-daily-ratio parameters: - name: exchange in: query description: >- **[Required]** The exchange for which to retrieve the volatility cone. **[Examples]** `gdax` required: true schema: type: string default: gdax - name: pair in: query description: >- **[Required]** The underlying pair for which to retrieve the volatility cone. **[Examples]** `btc_usd` required: true schema: type: string default: btc_usd - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string responses: '200': description: '200' content: application/json: schema: type: object properties: status: type: integer example: 200 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: timestamp: type: integer example: 1717113600000 description: >- The timestamp for the volatility ratio data point in milliseconds monthlyHigh: type: number example: 71980 description: The monthly high price for the trading pair monthlyLow: type: number example: 56500 description: The monthly low price for the trading pair dailyOpen: type: number example: 68338.58 description: The daily opening price for the trading pair dailyHigh: type: number example: 69024.71 description: The daily high price for the trading pair dailyLow: type: number example: 66584.47 description: The daily low price for the trading pair dailyClose: type: number example: 67472.41 description: The daily closing price for the trading pair monthlyHistoricalVolatility: type: number example: 50.3764986312911 description: >- The monthly historical volatility calculated using Parkinson method dailyHistoricalVolatility30Days: type: number example: 44.724266426706855 description: >- The 30-day historical volatility calculated using daily data and Parkinson method examples: Result: value: status: 200 title: OK description: Successful request payload: data: - timestamp: 1717113600000 monthlyHigh: 71980 monthlyLow: 56500 dailyOpen: 68338.58 dailyHigh: 69024.71 dailyLow: 66584.47 dailyClose: 67472.41 monthlyHistoricalVolatility: 50.3764986312911 dailyHistoricalVolatility30Days: 44.724266426706855 - timestamp: 1717027200000 monthlyHigh: 71980 monthlyLow: 56500 dailyOpen: 67569.44 dailyHigh: 69536.89 dailyLow: 67092.91 dailyClose: 68338.58 monthlyHistoricalVolatility: 50.3764986312911 dailyHistoricalVolatility30Days: 46.66868139849072 - timestamp: 1716940800000 monthlyHigh: 71980 monthlyLow: 56500 dailyOpen: 68321.99 dailyHigh: 68864.11 dailyLow: 67081.66 dailyClose: 67569.45 monthlyHistoricalVolatility: 50.3764986312911 dailyHistoricalVolatility30Days: 46.563226687535305 - timestamp: 1716854400000 monthlyHigh: 71980 monthlyLow: 56500 dailyOpen: 69366.31 dailyHigh: 69533.96 dailyLow: 67194.59 dailyClose: 68321.98 monthlyHistoricalVolatility: 50.3764986312911 dailyHistoricalVolatility30Days: 46.9562324420313 - timestamp: 1716768000000 monthlyHigh: 71980 monthlyLow: 56500 dailyOpen: 68470.8 dailyHigh: 70613.39 dailyLow: 68210.12 dailyClose: 69368.72 monthlyHistoricalVolatility: 50.3764986312911 dailyHistoricalVolatility30Days: 46.70074496173833 - timestamp: 1716681600000 monthlyHigh: 71980 monthlyLow: 56500 dailyOpen: 69289.69 dailyHigh: 69522 dailyLow: 68097.38 dailyClose: 68473.72 monthlyHistoricalVolatility: 50.3764986312911 dailyHistoricalVolatility30Days: 46.405537150028884 - timestamp: 1716595200000 monthlyHigh: 71980 monthlyLow: 56500 dailyOpen: 68545.52 dailyHigh: 69605.03 dailyLow: 68487.44 dailyClose: 69289.67 monthlyHistoricalVolatility: 50.3764986312911 dailyHistoricalVolatility30Days: 46.46990787338427 - timestamp: 1716508800000 monthlyHigh: 71980 monthlyLow: 56500 dailyOpen: 67932.79 dailyHigh: 69278.75 dailyLow: 66587.91 dailyClose: 68547.8 monthlyHistoricalVolatility: 50.3764986312911 dailyHistoricalVolatility30Days: 47.08589841634579 - timestamp: 1716422400000 monthlyHigh: 71980 monthlyLow: 56500 dailyOpen: 69109.93 dailyHigh: 70066.95 dailyLow: 66259 dailyClose: 67940.45 monthlyHistoricalVolatility: 50.3764986312911 dailyHistoricalVolatility30Days: 46.45863315887012 - timestamp: 1716336000000 monthlyHigh: 71980 monthlyLow: 56500 dailyOpen: 70142.88 dailyHigh: 70659.99 dailyLow: 68887.52 dailyClose: 69109.93 monthlyHistoricalVolatility: 50.3764986312911 dailyHistoricalVolatility30Days: 45.06156764942955 - timestamp: 1716249600000 monthlyHigh: 71980 monthlyLow: 56500 dailyOpen: 71432.16 dailyHigh: 71980 dailyLow: 69146.01 dailyClose: 70142.84 monthlyHistoricalVolatility: 50.3764986312911 dailyHistoricalVolatility30Days: 45.59409947695456 '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/realized-volatility/seasonality/day-of-week: get: summary: 'Seasonality: Volatility Day of Week' description: >- This endpoint returns the average realized volatility, for a select date range, grouped by the day-of-the-week. Users can view how weekend volatility compares to say, Wednesday realized volatility, etc. operationId: derivatives-realized-volatility-seasonality-day-of-the-week parameters: - name: exchange in: query description: >- **[Required]** The exchange for which to retrieve the volatility cone. **[Examples]** `gdax` required: true schema: type: string default: gdax - name: pair in: query description: >- **[Required]** The underlying pair for which to retrieve the volatility cone. **[Examples]** `btc_usd` required: true schema: type: string default: btc_usd - name: startDate in: query description: >- **[Optional]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string format: date-time default: '2020-01-01' - name: endDate in: query description: >- **[Optional]** Payload only includes data before this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string format: date-time default: '2024-06-01' - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string responses: '200': description: '200' content: application/json: schema: type: object properties: status: type: integer example: 200 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: weekday: type: string example: MON description: >- The day of the week abbreviation (MON, TUES, WED, THURS, FRI, SAT, SUN) historicalVolatility1day: type: number example: 47.63749442254257 description: >- The average historical volatility for this day of the week over the specified date range examples: Result: value: status: 200 title: OK description: Successful request payload: data: - weekday: MON historicalVolatility1day: 47.63749442254257 - weekday: TUES historicalVolatility1day: 66.74062109842409 - weekday: WED historicalVolatility1day: 58.81535538177604 - weekday: THURS historicalVolatility1day: 65.65627018256752 - weekday: FRI historicalVolatility1day: 64.22261054527364 - weekday: SAT historicalVolatility1day: 61.98930042059116 - weekday: SUN historicalVolatility1day: 40.94387769358899 '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/realized-volatility/seasonality/month-of-year: get: summary: 'Seasonality: Volatility Month of the Year' description: >- This endpoint returns the average realized volatility, for a select date range, grouped by the month-of-the-year. Users can view how Q4 volatility compares to say, Q1 volatility, etc. operationId: derivatives-realized-volatility-seasonality-month-of-the-year parameters: - name: exchange in: query description: >- **[Required]** The exchange for which to retrieve the volatility cone. **[Examples]** `gdax` required: true schema: type: string default: gdax - name: pair in: query description: >- **[Required]** The underlying pair for which to retrieve the volatility cone. **[Examples]** `btc_usd` required: true schema: type: string default: btc_usd - name: startDate in: query description: >- **[Optional]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string format: date-time default: '2020-01-01' - name: endDate in: query description: >- **[Optional]** Payload only includes data before this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string format: date-time default: '2024-06-01' - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string responses: '200': description: '200' content: application/json: examples: Result: value: status: 200 title: OK description: Successful request payload: data: - month: JAN historicalVolatility1day: 65.77079688679153 - month: FEB historicalVolatility1day: 59.7447949807975 - month: MARCH historicalVolatility1day: 76.73331120590984 - month: APR historicalVolatility1day: 54.358370710033334 - month: MAY historicalVolatility1day: 67.70822896571099 - month: JUNE historicalVolatility1day: 64.21472571465304 - month: JULY historicalVolatility1day: 46.20634917679558 - month: AUG historicalVolatility1day: 45.904014842623525 - month: SEP historicalVolatility1day: 48.981292813814726 - month: OCT historicalVolatility1day: 43.324680324903184 - month: NOV historicalVolatility1day: 54.04051311136871 - month: DEC historicalVolatility1day: 49.554863548275776 metadata: api-version: '2023-09-30' schema: type: object properties: status: type: integer example: 200 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: month: type: string example: JAN description: >- The month abbreviation (JAN, FEB, MARCH, APR, MAY, JUNE, JULY, AUG, SEP, OCT, NOV, DEC) historicalVolatility1day: type: number example: 65.77079688679153 description: >- The average historical volatility for this month over the specified date range metadata: type: object properties: api-version: type: string example: '2023-09-30' description: The API version used for this response '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/realized-volatility/cones: get: summary: Volatility Cones description: >- The endpoint returns the percentile distribution of realized volatility for a specific spot trading pair. We can see the RV distribution for multiple measurement windows compared to the end date. operationId: derivatives-realized-volatility-cones parameters: - name: exchange in: query description: >- **[Required]** The exchange for which to retrieve the volatility cone. **[Examples]** `gdax` required: true schema: type: string default: gdax - name: pair in: query description: >- **[Required]** The underlying pair for which to retrieve the volatility cone. **[Examples]** `btc_usd` required: true schema: type: string default: btc_usd - name: startDate in: query description: >- **[Optional]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string format: date-time default: '2020-01-01' - name: endDate in: query description: >- **[Optional]** Payload only includes data before this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string format: date-time default: '2024-01-01' - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string responses: '200': description: '200' content: application/json: examples: Result: value: status: 200 title: OK description: Successful request payload: data: - exchange: gdax pair: btc_usd current_180days: 57.8576871987908 min_180days: 39.11684280082735 max_180days: 112.16458840572531 p75_180days: 84.21832787116985 p50_180days: 69.90313327986112 p25_180days: 54.88690147506426 current_90days: 65.38033717750392 min_90days: 34.29029015131686 max_90days: 124.89522804294555 p75_90days: 81.16783917660511 p50_90days: 66.31691486150768 p25_90days: 52.334979706515774 current_30days: 45.06156764942955 min_30days: 24.07333390860325 max_30days: 189.48310101421418 p75_30days: 75.90531543097599 p50_30days: 63.18354743795466 p25_30days: 49.081271883281325 current_14days: 50.63271655398003 min_14days: 15.905336435198922 max_14days: 261.45308678136536 p75_14days: 77.15011657183202 p50_14days: 59.65214502613274 p25_14days: 45.349055100239696 current_7days: 47.446161931957064 min_7days: 15.772143462558525 max_7days: 331.20928400816234 p75_7days: 74.68689529993709 p50_7days: 56.631315187516996 p25_7days: 42.829248159278094 current_1day: 29.148342222179462 min_1day: 0.47061174456210236 max_1day: 619.625334604921 p75_1day: 69.98263387792929 p50_1day: 46.804756220012045 p25_day1: 30.227524387511373 schema: type: object properties: status: type: integer example: 200 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: exchange: type: string example: gdax description: The exchange on which the subject pair is found pair: type: string example: btc_usd description: The subject pair used for the calculation current_180days: type: number example: 57.8576871987908 description: >- The current realized volatility for 180 days rolling window min_180days: type: number example: 39.11684280082735 description: >- The minimum realized volatility observation for 180 days rolling window max_180days: type: number example: 112.16458840572531 description: >- The maximum realized volatility observation for 180 days rolling window p75_180days: type: number example: 84.21832787116985 description: The 75th percentile for 180 days rolling window p50_180days: type: number example: 69.90313327986112 description: >- The 50th percentile (median) for 180 days rolling window p25_180days: type: number example: 54.88690147506426 description: The 25th percentile for 180 days rolling window current_90days: type: number example: 65.38033717750392 description: >- The current realized volatility for 90 days rolling window min_90days: type: number example: 34.29029015131686 description: >- The minimum realized volatility observation for 90 days rolling window max_90days: type: number example: 124.89522804294555 description: >- The maximum realized volatility observation for 90 days rolling window p75_90days: type: number example: 81.16783917660511 description: The 75th percentile for 90 days rolling window p50_90days: type: number example: 66.31691486150768 description: >- The 50th percentile (median) for 90 days rolling window p25_90days: type: number example: 52.334979706515774 description: The 25th percentile for 90 days rolling window current_30days: type: number example: 45.06156764942955 description: >- The current realized volatility for 30 days rolling window min_30days: type: number example: 24.07333390860325 description: >- The minimum realized volatility observation for 30 days rolling window max_30days: type: number example: 189.48310101421418 description: >- The maximum realized volatility observation for 30 days rolling window p75_30days: type: number example: 75.90531543097599 description: The 75th percentile for 30 days rolling window p50_30days: type: number example: 63.18354743795466 description: >- The 50th percentile (median) for 30 days rolling window p25_30days: type: number example: 49.081271883281325 description: The 25th percentile for 30 days rolling window current_14days: type: number example: 50.63271655398003 description: >- The current realized volatility for 14 days rolling window min_14days: type: number example: 15.905336435198922 description: >- The minimum realized volatility observation for 14 days rolling window max_14days: type: number example: 261.45308678136536 description: >- The maximum realized volatility observation for 14 days rolling window p75_14days: type: number example: 77.15011657183202 description: The 75th percentile for 14 days rolling window p50_14days: type: number example: 59.65214502613274 description: >- The 50th percentile (median) for 14 days rolling window p25_14days: type: number example: 45.349055100239696 description: The 25th percentile for 14 days rolling window current_7days: type: number example: 47.446161931957064 description: >- The current realized volatility for 7 days rolling window min_7days: type: number example: 15.772143462558525 description: >- The minimum realized volatility observation for 7 days rolling window max_7days: type: number example: 331.20928400816234 description: >- The maximum realized volatility observation for 7 days rolling window p75_7days: type: number example: 74.68689529993709 description: The 75th percentile for 7 days rolling window p50_7days: type: number example: 56.631315187516996 description: >- The 50th percentile (median) for 7 days rolling window p25_7days: type: number example: 42.829248159278094 description: The 25th percentile for 7 days rolling window current_1day: type: number example: 29.148342222179462 description: >- The current realized volatility for 1 day rolling window min_1day: type: number example: 0.47061174456210236 description: >- The minimum realized volatility observation for 1 day rolling window max_1day: type: number example: 619.625334604921 description: >- The maximum realized volatility observation for 1 day rolling window p75_1day: type: number example: 69.98263387792929 description: The 75th percentile for 1 day rolling window p50_1day: type: number example: 46.804756220012045 description: >- The 50th percentile (median) for 1 day rolling window p25_day1: type: number example: 30.227524387511373 description: | The 25th percentile for 1 day rolling window (note: field name uses 'day1' instead of '1day') required: [] required: [] required: [] required: [] '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/volatility/level-1-quotes: get: summary: Level 1 Quotes description: >- This endpoint returns the Level 1 option chain with associated volatilities, greeks and underlying prices. This is the core underlying options data for many analytics. Although this data streams to Amberdata every 100ms this endpoint returns the first observation for each instrument in 1-minute, 1-hour or 1-day intervals. Note: Due to the density of data historical date ranges are limited to 60x 1-minute or 24x 1 hour intervals, per call. If no date range is passed, the most recent option chain will be returned. operationId: derivatives-volatility-level-1-quotes parameters: - name: exchange in: query description: >- **[Required]** The exchange for which to retrieve the listed option level 1 quotes. **[Examples]** ` deribit | okex | bybit` required: true schema: type: string default: deribit - name: currency in: query description: >- **[Required]** The underlying currency for which there are listed option instruments. **[Examples]** ` BTC | SOL_USDC ` Note: inverse options have underlying currencies formatted as (BTC, ETH) while linear option currency formats include the stable coin in the same (SOL_USDC) required: true schema: type: string default: BTC - name: instrument in: query description: >- **[Optional]** Users can pass a single instrument in order to retrieve a time series of data for it. **[Examples]** ` BTC-26APR24-100000-C` schema: type: string - name: isAtm in: query description: >- **[Optional]** Users can pass an isAtm flag in order to return only ATM (at-the-money) options **[Examples]** `TRUE | FALSE` schema: type: boolean - name: putCall in: query description: |- **[Optional]** The option type **[Examples]** ` C | P ` schema: type: string - name: startDate in: query description: >- **[Optional]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string format: date-time - name: endDate in: query description: >- **[Optional]** Payload only includes data before this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string format: date-time - name: strike in: query description: >- **[Optional]** The option instrument subset with a given strike price. **[Examples]** ` 100000 | 3500 ` schema: type: integer format: int32 - name: timeInterval in: query description: >- **[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. schema: type: string - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string responses: '200': description: '200' content: application/json: schema: type: object properties: status: type: integer example: 200 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: ask: type: number example: 0.0001 description: The ask price for the option contract askIv: type: number example: 231.64 description: The implied volatility for the ask price askVolume: type: number example: 15 description: The volume available at the ask price bid: type: number example: 0 description: The bid price for the option contract bidIv: type: number example: 0 description: The implied volatility for the bid price bidVolume: type: number example: 0 description: The volume available at the bid price currency: type: string example: BTC description: The underlying currency for the option contract delta: type: number example: 0 description: The delta Greek of the option contract exchange: type: string example: deribit description: The exchange where the option is listed exchangeTimestamp: type: string example: '2025-02-05T22:40:01.428Z' description: >- The timestamp when the data was received from the exchange expirationTimestamp: type: string example: '2025-02-06T08:00:00.000Z' description: >- The expiration date and time of the option contract gamma: type: number example: 0 description: The gamma Greek of the option contract indexPrice: type: number example: 96505.71 description: The index price of the underlying asset instrument: type: string example: BTC-6FEB25-118000-C description: >- The full instrument identifier as used by the exchange instrumentNormalized: type: string example: DERIBIT-BTC-06FEB25-118000.0-C description: The normalized instrument identifier isAtm: type: boolean example: false description: Whether the option is at-the-money (ATM) isCarryForward: type: boolean example: false description: >- Whether this data point is carried forward from a previous timestamp isExchangeProvidedGreeks: type: boolean example: true description: >- Whether the Greeks were provided by the exchange or calculated markIv: type: number example: 81.86 description: The mark implied volatility of the option markPrice: type: number example: 0 description: The mark price of the option contract multiplier: type: integer example: 1 description: The contract multiplier for the option openInterest: type: number example: 2.1 description: The open interest in the option contract openInterestUSD: type: number example: 202661.991 description: The open interest in USD terms putCall: type: string example: C description: The option type - C for Call, P for Put rho: type: number example: 0 description: The rho Greek of the option contract strike: type: integer example: 118000 description: The strike price of the option contract theta: type: number example: 0 description: The theta Greek of the option contract timestamp: type: string example: '2025-02-05T22:40:00.000Z' description: The timestamp for the data point underlyingPrice: type: number example: 96481.4645 description: The current price of the underlying asset vega: type: number example: 0 description: The vega Greek of the option contract volume: type: number example: 50 description: The trading volume for the option contract volumeUSD: type: number example: 4825285.5 description: The trading volume in USD terms examples: Result: value: status: 200 title: OK description: Successful request payload: data: - ask: 0.0001 askIv: 231.64 askVolume: 15 bid: 0 bidIv: 0 bidVolume: 0 currency: BTC delta: 0 exchange: deribit exchangeTimestamp: '2025-02-05T22:40:01.428Z' expirationTimestamp: '2025-02-06T08:00:00.000Z' gamma: 0 indexPrice: 96505.71 instrument: BTC-6FEB25-118000-C instrumentNormalized: DERIBIT-BTC-06FEB25-118000.0-C isAtm: false isCarryForward: false isExchangeProvidedGreeks: true markIv: 81.86 markPrice: 0 multiplier: 1 openInterest: 2.1 openInterestUSD: 202661.991 putCall: C rho: 0 strike: 118000 theta: 0 timestamp: '2025-02-05T22:40:00.000Z' underlyingPrice: 96481.4645 vega: 0 volume: 50 volumeUSD: 4825285.5 - ask: 0.0001 askIv: 214.14 askVolume: 7.8 bid: 0 bidIv: 0 bidVolume: 0 currency: BTC delta: 0 exchange: deribit exchangeTimestamp: '2025-02-05T22:40:01.428Z' expirationTimestamp: '2025-02-06T08:00:00.000Z' gamma: 0 indexPrice: 96505.71 instrument: BTC-6FEB25-116000-C instrumentNormalized: DERIBIT-BTC-06FEB25-116000.0-C isAtm: false isCarryForward: false isExchangeProvidedGreeks: true markIv: 81.86 markPrice: 0 multiplier: 1 openInterest: 11.6 openInterestUSD: 1119466.236 putCall: C rho: 0 strike: 116000 theta: 0 timestamp: '2025-02-05T22:40:00.000Z' underlyingPrice: 96481.4645 vega: 0 volume: 0 volumeUSD: 0 - ask: 0.0001 askIv: 196.17 askVolume: 2.6 bid: 0 bidIv: 0 bidVolume: 0 currency: BTC delta: 0 exchange: deribit exchangeTimestamp: '2025-02-05T22:40:01.428Z' expirationTimestamp: '2025-02-06T08:00:00.000Z' gamma: 0 indexPrice: 96505.71 instrument: BTC-6FEB25-114000-C instrumentNormalized: DERIBIT-BTC-06FEB25-114000.0-C isAtm: false isCarryForward: false isExchangeProvidedGreeks: true markIv: 81.86 markPrice: 0 multiplier: 1 openInterest: 5.6 openInterestUSD: 540431.976 putCall: C rho: 0 strike: 114000 theta: 0 timestamp: '2025-02-05T22:40:00.000Z' underlyingPrice: 96481.4645 vega: 0 volume: 0 volumeUSD: 0 - ask: 0.0001 askIv: 177.67 askVolume: 3.9 bid: 0 bidIv: 0 bidVolume: 0 currency: BTC delta: 0 exchange: deribit exchangeTimestamp: '2025-02-05T22:40:01.428Z' expirationTimestamp: '2025-02-06T08:00:00.000Z' gamma: 0 indexPrice: 96505.71 instrument: BTC-6FEB25-112000-C instrumentNormalized: DERIBIT-BTC-06FEB25-112000.0-C isAtm: false isCarryForward: false isExchangeProvidedGreeks: true markIv: 81.77 markPrice: 0 multiplier: 1 openInterest: 29.6 openInterestUSD: 2856569.0160000003 putCall: C rho: 0 strike: 112000 theta: -0.00001 timestamp: '2025-02-05T22:40:00.000Z' underlyingPrice: 96481.4645 vega: 0 volume: 1.3 volumeUSD: 125457.42300000001 - ask: 0.0001 askIv: 158.61 askVolume: 4.8 bid: 0 bidIv: 0 bidVolume: 0 currency: BTC delta: 0 exchange: deribit exchangeTimestamp: '2025-02-05T22:40:01.428Z' expirationTimestamp: '2025-02-06T08:00:00.000Z' gamma: 0 indexPrice: 96505.71 instrument: BTC-6FEB25-110000-C instrumentNormalized: DERIBIT-BTC-06FEB25-110000.0-C isAtm: false isCarryForward: false isExchangeProvidedGreeks: true markIv: 81.31 markPrice: 0 multiplier: 1 openInterest: 30.4 openInterestUSD: 2933773.5840000003 putCall: C rho: 0 strike: 110000 theta: -0.00021 timestamp: '2025-02-05T22:40:00.000Z' underlyingPrice: 96481.4645 vega: 0.00007 volume: 1.4 volumeUSD: 135107.994 - ask: 0.0001 askIv: 138.92 askVolume: 1 bid: 0 bidIv: 0 bidVolume: 0 currency: BTC delta: 0 exchange: deribit exchangeTimestamp: '2025-02-05T22:40:01.428Z' expirationTimestamp: '2025-02-06T08:00:00.000Z' gamma: 0 indexPrice: 96505.71 instrument: BTC-6FEB25-108000-C instrumentNormalized: DERIBIT-BTC-06FEB25-108000.0-C isAtm: false isCarryForward: false isExchangeProvidedGreeks: true markIv: 77.87 markPrice: 0 multiplier: 1 openInterest: 38.6 openInterestUSD: 3725120.4060000004 putCall: C rho: 0 strike: 108000 theta: -0.00251 timestamp: '2025-02-05T22:40:00.000Z' underlyingPrice: 96481.4645 vega: 0.00071 volume: 23.3 volumeUSD: 2248583.043 - ask: 0.0001 askIv: 128.82 askVolume: 3 bid: 0 bidIv: 0 bidVolume: 0 currency: BTC delta: 0.00002 exchange: deribit exchangeTimestamp: '2025-02-05T22:40:01.428Z' expirationTimestamp: '2025-02-06T08:00:00.000Z' gamma: 0 indexPrice: 96505.71 instrument: BTC-6FEB25-107000-C instrumentNormalized: DERIBIT-BTC-06FEB25-107000.0-C isAtm: false isCarryForward: false isExchangeProvidedGreeks: true markIv: 77.56 markPrice: 0 multiplier: 1 openInterest: 11.2 openInterestUSD: 1080863.952 putCall: C rho: 0.00002 strike: 107000 theta: -0.01273 timestamp: '2025-02-05T22:40:00.000Z' underlyingPrice: 96480.2093 vega: 0.00311 volume: 12 volumeUSD: 1158068.52 - ask: 0.0001 askIv: 118.51 askVolume: 1.7 bid: 0 bidIv: 0 bidVolume: 0 currency: BTC delta: 0.00011 exchange: deribit exchangeTimestamp: '2025-02-05T22:40:01.428Z' expirationTimestamp: '2025-02-06T08:00:00.000Z' gamma: 0 indexPrice: 96505.71 instrument: BTC-6FEB25-106000-C instrumentNormalized: DERIBIT-BTC-06FEB25-106000.0-C isAtm: false isCarryForward: false isExchangeProvidedGreeks: true markIv: 77.51 markPrice: 0 multiplier: 1 openInterest: 63.6 openInterestUSD: 6137763.156 putCall: C rho: 0.00011 strike: 106000 theta: -0.06261 timestamp: '2025-02-05T22:40:00.000Z' underlyingPrice: 96481.4645 vega: 0.01307 volume: 42.4 volumeUSD: 4091842.1040000003 - ask: 0.0001 askIv: 108.01 askVolume: 3 bid: 0 bidIv: 0 bidVolume: 0 currency: BTC delta: 0.00043 exchange: deribit exchangeTimestamp: '2025-02-05T22:40:01.428Z' expirationTimestamp: '2025-02-06T08:00:00.000Z' gamma: 0 indexPrice: 96505.71 instrument: BTC-6FEB25-105000-C instrumentNormalized: DERIBIT-BTC-06FEB25-105000.0-C isAtm: false isCarryForward: false isExchangeProvidedGreeks: true markIv: 77.51 markPrice: 0 multiplier: 1 openInterest: 80.6 openInterestUSD: 7778360.226 putCall: C rho: 0.00044 strike: 105000 theta: -0.27894 timestamp: '2025-02-05T22:40:00.000Z' underlyingPrice: 96480.2093 vega: 0.04876 volume: 61.9 volumeUSD: 5973703.449 - ask: 0.0002 askIv: 106.63 askVolume: 2.9 bid: 0 bidIv: 0 bidVolume: 0 currency: BTC delta: 0.0015 exchange: deribit exchangeTimestamp: '2025-02-05T22:40:01.428Z' expirationTimestamp: '2025-02-06T08:00:00.000Z' gamma: 0 indexPrice: 96505.71 instrument: BTC-6FEB25-104000-C instrumentNormalized: DERIBIT-BTC-06FEB25-104000.0-C isAtm: false isCarryForward: false isExchangeProvidedGreeks: true markIv: 77.15 markPrice: 0 multiplier: 1 openInterest: 39.7 openInterestUSD: 3831276.6870000004 putCall: C rho: 0.00153 strike: 104000 theta: -1.05337 timestamp: '2025-02-05T22:40:00.000Z' underlyingPrice: 96481.4645 vega: 0.15389 volume: 66.3 volumeUSD: 6398328.573 - ask: 0.0003 askIv: 100.86 askVolume: 15.6 bid: 0 bidIv: 0 bidVolume: 0 currency: BTC delta: 0.0048 exchange: deribit exchangeTimestamp: '2025-02-05T22:40:01.428Z' expirationTimestamp: '2025-02-06T08:00:00.000Z' gamma: 0.00001 indexPrice: 96505.71 instrument: BTC-6FEB25-103000-C instrumentNormalized: DERIBIT-BTC-06FEB25-103000.0-C isAtm: false isCarryForward: false isExchangeProvidedGreeks: true markIv: 76.96 markPrice: 0 multiplier: 1 openInterest: 53.8 openInterestUSD: 5192007.198 putCall: C rho: 0.00489 strike: 103000 theta: -3.69384 timestamp: '2025-02-05T22:40:00.000Z' underlyingPrice: 96481.4645 vega: 0.43891 volume: 53.4 volumeUSD: 5153404.914 '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/volatility/delta-surfaces/constant: get: summary: Delta Surfaces Constant description: This endpoint returns the option delta surface with constant maturities. operationId: derivatives-volatility-delta-surfaces-constant parameters: - name: exchange in: query description: >- **[Required]** The exchange for which to retrieve the listed option level 1 quotes. **[Examples]** ` deribit | okex | bybit` required: true schema: type: string default: deribit - name: currency in: query description: >- **[Required]** The underlying currency for which there are listed option instruments. **[Examples]** ` BTC | SOL_USDC ` Note: inverse options have underlying currencies formatted as (BTC, ETH) while linear option currency formats include the stable coin in the same (SOL_USDC) required: true schema: type: string default: BTC - name: startDate in: query description: >- **[Optional]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2024-04-03T08:00:00` schema: type: string format: date-time - name: endDate in: query description: >- **[Optional]** Payload only includes data before this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2024-04-12T08:00:00` schema: type: string format: date-time - name: daysToExpirationStart in: query description: >- **[Optional]** Users can pass a days to expiration filter lower bound, to return only a subset of the delta surface. **[Examples]** ` 0 | 7 | 60 ` schema: type: integer format: int32 - name: daysToExpirationEnd in: query description: >- **[Optional]** Users can pass a days to expiration filter upper bound, to return only a subset of the delta surface. **[Examples]** ` 1 | 30 | 180 ` schema: type: integer format: int32 - name: timeInterval in: query description: >- **[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. schema: type: string - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string responses: '200': description: '200' content: application/json: examples: Result: value: status: 200 title: OK description: Successful request payload: data: - timestamp: '2024-05-23T22:22:00.000Z' exchange: deribit currency: BTC daysToExpiration: 1 multiplier: 1 openInterest: 250762.9 indexPrice: 67652.42976744186 underlyingPrice: 67705.12295613403 deltaPut05: 61.74642086443924 deltaPut10: 55.53818485393243 deltaPut15: 52.658918369077824 deltaPut20: 51.710053821137 deltaPut25: 51.0380556951279 deltaPut30: 50.343172767239125 deltaPut35: 49.61699968797451 deltaPut40: 49.058866036362566 deltaPut45: 48.60635133118344 delta50: 48.342558408575705 atm: 48.35922628296513 deltaCall45: 48.08209589684314 deltaCall40: 48.03526955978175 deltaCall35: 48.3442493117703 deltaCall30: 48.86930818165259 deltaCall25: 49.39921297121263 deltaCall20: 50.1364167981334 deltaCall15: 51.14337792820058 deltaCall10: 53.188909174136136 deltaCall05: 57.66628850371039 - timestamp: '2024-05-23T22:22:00.000Z' exchange: deribit currency: BTC daysToExpiration: 2 multiplier: 1 openInterest: 250762.9 indexPrice: 67652.42976744186 underlyingPrice: 67727.11351980423 deltaPut05: 58.961839624949704 deltaPut10: 52.44451988176003 deltaPut15: 49.4895895570423 deltaPut20: 48.127596313460025 deltaPut25: 47.328067553736716 deltaPut30: 46.47081871271931 deltaPut35: 45.978664407563826 deltaPut40: 45.68802246780816 deltaPut45: 45.479888054970765 delta50: 45.43496181164131 atm: 45.43736221438332 deltaCall45: 45.41211031085229 deltaCall40: 45.58769400889823 deltaCall35: 45.83625455581447 deltaCall30: 46.2438019682736 deltaCall25: 46.85398099240384 deltaCall20: 47.34019073927016 deltaCall15: 48.168867447524235 deltaCall10: 49.70758450929698 deltaCall05: 52.99358426388931 - timestamp: '2024-05-23T22:22:00.000Z' exchange: deribit currency: BTC daysToExpiration: 3 multiplier: 1 openInterest: 250762.9 indexPrice: 67652.42976744186 underlyingPrice: 67749.02000650148 deltaPut05: 56.8641803574031 deltaPut10: 50.25773141134093 deltaPut15: 47.71634460882091 deltaPut20: 46.18326176886874 deltaPut25: 45.35320856835502 deltaPut30: 44.42110531951976 deltaPut35: 44.04086841586389 deltaPut40: 43.795300252560494 deltaPut45: 43.66658308317408 delta50: 43.692057253849065 atm: 43.68325184564065 deltaCall45: 43.74426772405469 deltaCall40: 43.874735837862914 deltaCall35: 44.11561890437794 deltaCall30: 44.50291548371649 deltaCall25: 45.2181886747531 deltaCall20: 45.74026781149586 deltaCall15: 46.64322378197519 deltaCall10: 48.19809419618311 deltaCall05: 51.52251296160547 - timestamp: '2024-05-23T22:22:00.000Z' exchange: deribit currency: BTC daysToExpiration: 7 multiplier: 1 openInterest: 250762.9 indexPrice: 67652.42976744186 underlyingPrice: 67835.8989801005 deltaPut05: 58.316048895409274 deltaPut10: 51.62133999594994 deltaPut15: 49.38159604382885 deltaPut20: 47.82162589057787 deltaPut25: 47.060630358458845 deltaPut30: 46.573396091878095 deltaPut35: 46.254078210273946 deltaPut40: 46.077011518751995 deltaPut45: 46.10065961084652 delta50: 46.19512187301013 atm: 46.16990851827613 deltaCall45: 46.27320290673427 deltaCall40: 46.40470153665462 deltaCall35: 46.68816002907565 deltaCall30: 47.241625860643026 deltaCall25: 48.01663083414735 deltaCall20: 49.00834933841106 deltaCall15: 50.603805705927876 deltaCall10: 52.753765927883535 deltaCall05: 57.361762331077486 - timestamp: '2024-05-23T22:22:00.000Z' exchange: deribit currency: BTC daysToExpiration: 14 multiplier: 1 openInterest: 250762.9 indexPrice: 67652.42976744186 underlyingPrice: 68022.06667420718 deltaPut05: 57.17034310897929 deltaPut10: 52.44074165152702 deltaPut15: 50.51261916512439 deltaPut20: 49.341450525674084 deltaPut25: 48.78021327466204 deltaPut30: 48.45717644332596 deltaPut35: 48.24638043693386 deltaPut40: 48.17321840379543 deltaPut45: 48.28134442565964 delta50: 48.59723925852845 atm: 48.41110278679033 deltaCall45: 49.03188444623182 deltaCall40: 49.32769043763367 deltaCall35: 49.70226637595223 deltaCall30: 50.243864656865256 deltaCall25: 50.941695401793346 deltaCall20: 51.93645876088151 deltaCall15: 53.399139115897015 deltaCall10: 55.3880568904 deltaCall05: 59.16013634828723 - timestamp: '2024-05-23T22:22:00.000Z' exchange: deribit currency: BTC daysToExpiration: 21 multiplier: 1 openInterest: 250762.9 indexPrice: 67652.42976744186 underlyingPrice: 68209.62306964032 deltaPut05: 57.38655322278549 deltaPut10: 53.13963656777522 deltaPut15: 51.73128540127313 deltaPut20: 50.86596095231635 deltaPut25: 50.429739574770025 deltaPut30: 50.16911048051458 deltaPut35: 50.045669126963276 deltaPut40: 50.05634227243185 deltaPut45: 50.29967264302409 delta50: 50.69897753444406 atm: 50.49107793015334 deltaCall45: 51.05651296847828 deltaCall40: 51.403463113864355 deltaCall35: 51.828944790954665 deltaCall30: 52.34377200543621 deltaCall25: 53.00698862569303 deltaCall20: 53.8581687569997 deltaCall15: 54.96880547307005 deltaCall10: 57.07898417193944 deltaCall05: 60.695817454020364 - timestamp: '2024-05-23T22:22:00.000Z' exchange: deribit currency: BTC daysToExpiration: 30 multiplier: 1 openInterest: 250762.9 indexPrice: 67652.42976744186 underlyingPrice: 68451.34739488705 deltaPut05: 58.94647361804241 deltaPut10: 54.710974176042505 deltaPut15: 53.20690235128806 deltaPut20: 52.50070358281232 deltaPut25: 52.179367555607705 deltaPut30: 52.04893626331783 deltaPut35: 51.98967825829559 deltaPut40: 52.12449823337431 deltaPut45: 52.39762729919654 delta50: 52.83284405783581 atm: 52.56344667911033 deltaCall45: 53.23611955003374 deltaCall40: 53.666254921883436 deltaCall35: 54.18915880129046 deltaCall30: 54.793850139946656 deltaCall25: 55.49278857870381 deltaCall20: 56.48853038089359 deltaCall15: 57.66369255011505 deltaCall10: 59.73917243437933 deltaCall05: 63.836240932602436 - timestamp: '2024-05-23T22:22:00.000Z' exchange: deribit currency: BTC daysToExpiration: 60 multiplier: 1 openInterest: 250762.9 indexPrice: 67652.42976744186 underlyingPrice: 69227.95475865874 deltaPut05: 61.86527108037012 deltaPut10: 58.523835420274985 deltaPut15: 57.467959635540986 deltaPut20: 56.96950924954715 deltaPut25: 56.86129641067658 deltaPut30: 56.85505924725425 deltaPut35: 56.82929354990495 deltaPut40: 57.320358142979245 deltaPut45: 57.69312377563915 delta50: 58.271090511081724 atm: 57.73201821661908 deltaCall45: 58.74102070717085 deltaCall40: 59.256924071093295 deltaCall35: 59.803367883500016 deltaCall30: 60.43768568879352 deltaCall25: 61.11788339589829 deltaCall20: 62.00963564949883 deltaCall15: 63.16077261311354 deltaCall10: 64.92499074740407 deltaCall05: 68.39541165559056 - timestamp: '2024-05-23T22:22:00.000Z' exchange: deribit currency: BTC daysToExpiration: 90 multiplier: 1 openInterest: 250762.9 indexPrice: 67652.42976744186 underlyingPrice: 70002.942485424 deltaPut05: 63.74614658550014 deltaPut10: 60.900488205457826 deltaPut15: 59.96212755511173 deltaPut20: 59.55560414913142 deltaPut25: 59.49899356019332 deltaPut30: 59.51551569673639 deltaPut35: 59.61224953267975 deltaPut40: 60.0696012850056 deltaPut45: 60.457655249654216 delta50: 60.989457044700714 atm: 60.38590165981284 deltaCall45: 61.5071671389626 deltaCall40: 62.06099573457383 deltaCall35: 62.661280601882176 deltaCall30: 63.34602361797058 deltaCall25: 64.07500467188977 deltaCall20: 64.98219755732717 deltaCall15: 66.17229269755295 deltaCall10: 67.98173523199821 deltaCall05: 71.28870095753608 - timestamp: '2024-05-23T22:22:00.000Z' exchange: deribit currency: BTC daysToExpiration: 180 multiplier: 1 openInterest: 250762.9 indexPrice: 67652.42976744186 underlyingPrice: 72259.35684619063 deltaPut05: 67.77456107077467 deltaPut10: 65.52266619753787 deltaPut15: 64.88362380987313 deltaPut20: 64.76043743173972 deltaPut25: 64.75422582388954 deltaPut30: 64.76666687326741 deltaPut35: 65.02821138344797 deltaPut40: 65.44216659926938 deltaPut45: 65.90934004221623 delta50: 66.49546677169431 atm: 65.50760799181039 deltaCall45: 67.15773024733275 deltaCall40: 67.80641306938185 deltaCall35: 68.5216339864837 deltaCall30: 69.3161044286848 deltaCall25: 70.20101568369962 deltaCall20: 71.20626066962981 deltaCall15: 72.5444417841464 deltaCall10: 74.5903649882513 deltaCall05: 77.73691379435117 metadata: api-version: '2023-09-30' schema: type: object properties: status: type: integer example: 200 default: 0 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: timestamp: type: string example: '2024-05-23T22:22:00.000Z' exchange: type: string example: deribit currency: type: string example: BTC daysToExpiration: type: integer example: 1 default: 0 multiplier: type: integer example: 1 default: 0 openInterest: type: number example: 250762.9 default: 0 indexPrice: type: number example: 67652.42976744186 default: 0 underlyingPrice: type: number example: 67705.12295613403 default: 0 deltaPut05: type: number example: 61.74642086443924 default: 0 deltaPut10: type: number example: 55.53818485393243 default: 0 deltaPut15: type: number example: 52.658918369077824 default: 0 deltaPut20: type: number example: 51.710053821137 default: 0 deltaPut25: type: number example: 51.0380556951279 default: 0 deltaPut30: type: number example: 50.343172767239125 default: 0 deltaPut35: type: number example: 49.61699968797451 default: 0 deltaPut40: type: number example: 49.058866036362566 default: 0 deltaPut45: type: number example: 48.60635133118344 default: 0 delta50: type: number example: 48.342558408575705 default: 0 atm: type: number example: 48.35922628296513 default: 0 deltaCall45: type: number example: 48.08209589684314 default: 0 deltaCall40: type: number example: 48.03526955978175 default: 0 deltaCall35: type: number example: 48.3442493117703 default: 0 deltaCall30: type: number example: 48.86930818165259 default: 0 deltaCall25: type: number example: 49.39921297121263 default: 0 deltaCall20: type: number example: 50.1364167981334 default: 0 deltaCall15: type: number example: 51.14337792820058 default: 0 deltaCall10: type: number example: 53.188909174136136 default: 0 deltaCall05: type: number example: 57.66628850371039 default: 0 metadata: type: object properties: api-version: type: string example: '2023-09-30' '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/volatility/delta-surfaces/floating: get: summary: Delta Surfaces Floating description: >- This endpoint returns the option delta surface with floating maturities (exchange listed expirations). operationId: derivatives-volatility-delta-surfaces-floating parameters: - name: exchange in: query description: >- **[Required]** The exchange for which to retrieve the listed option level 1 quotes. **[Examples]** ` deribit | okex | bybit` required: true schema: type: string default: deribit - name: currency in: query description: >- **[Required]** The underlying currency for which there are listed option instruments. **[Examples]** ` BTC | SOL_USDC ` Note: inverse options have underlying currencies formatted as (BTC, ETH) while linear option currency formats include the stable coin in the same (SOL_USDC) required: true schema: type: string default: BTC - name: startDate in: query description: >- **[Optional]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string format: date-time - name: endDate in: query description: >- **[Optional]** Payload only includes data before this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string format: date-time - name: daysToExpirationStart in: query description: >- **[Optional]** Users can pass a days to expiration filter lower bound, to return only a subset of the delta surface. **[Examples]** ` 0 | 7 | 60 ` schema: type: integer format: int32 - name: daysToExpirationEnd in: query description: >- **[Optional]** Users can pass a days to expiration filter upper bound, to return only a subset of the delta surface. **[Examples]** ` 1 | 30 | 180 ` schema: type: integer format: int32 - name: timeInterval in: query description: >- **[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. schema: type: string - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string responses: '200': description: '200' content: application/json: examples: Result: value: status: 200 title: OK description: Successful request payload: data: - timestamp: '2024-05-23T22:05:00.000Z' exchange: deribit currency: BTC expirationTimestamp: '2024-05-24T08:00:00.000Z' multiplier: 1 daysToExpiration: 0.4131944444444444 openInterest: 21055.7 indexPrice: 67734.43058139535 underlyingPrice: 67780.36081395349 deltaPut05: 61.39959340175343 deltaPut10: 56.30781817193095 deltaPut15: 53.45849723437246 deltaPut20: 52.64463892260238 deltaPut25: 51.817999652871165 deltaPut30: 50.90319062453815 deltaPut35: 49.97089861191663 deltaPut40: 49.0486465238566 deltaPut45: 48.7695487792514 delta50: 48.489762188644164 atm: 48.50340115084713 deltaCall45: 48.20925633355101 deltaCall40: 48.15101985000829 deltaCall35: 48.34329237079542 deltaCall30: 48.53480320244968 deltaCall25: 48.88254512454673 deltaCall20: 49.72037140473578 deltaCall15: 50.544311721462655 deltaCall10: 52.98379448135382 deltaCall05: 57.36799141448832 - timestamp: '2024-05-23T22:05:00.000Z' exchange: deribit currency: BTC expirationTimestamp: '2024-05-25T08:00:00.000Z' multiplier: 1 daysToExpiration: 1.4131944444444444 openInterest: 1526.8 indexPrice: 67733.94921875 underlyingPrice: 67802.7644 deltaPut05: 63.390286432227846 deltaPut10: 56.29576903590768 deltaPut15: 53.12575046209823 deltaPut20: 51.76409142123977 deltaPut25: 50.95481184971337 deltaPut30: 50.20073750093303 deltaPut35: 49.50489681900088 deltaPut40: 49.164774493035885 deltaPut45: 48.90232500465648 delta50: 48.84064013733462 atm: 48.84811081344292 deltaCall45: 48.86443026839201 deltaCall40: 49.05388549155084 deltaCall35: 49.312312228721424 deltaCall30: 49.641112437027815 deltaCall25: 50.16111968727644 deltaCall20: 50.803694637826325 deltaCall15: 51.7108666373141 deltaCall10: 53.363801221905696 deltaCall05: 56.801089848001965 - timestamp: '2024-05-23T22:05:00.000Z' exchange: deribit currency: BTC expirationTimestamp: '2024-05-26T08:00:00.000Z' multiplier: 1 daysToExpiration: 2.4131944444444446 openInterest: 489.9 indexPrice: 67734.27045454546 underlyingPrice: 67825.26847272727 deltaPut05: 56.834686003746654 deltaPut10: 50.458872111470036 deltaPut15: 47.90347000654219 deltaPut20: 46.332153433028374 deltaPut25: 45.32876203006834 deltaPut30: 44.570007231379364 deltaPut35: 44.21165847490096 deltaPut40: 43.955458578677685 deltaPut45: 43.79311939412817 delta50: 43.90965985740304 atm: 43.892509878057325 deltaCall45: 44.0159523047188 deltaCall40: 44.1148439437125 deltaCall35: 44.365315702444676 deltaCall30: 44.67138352269049 deltaCall25: 45.067756186253064 deltaCall20: 45.67118454013513 deltaCall15: 46.50494284917901 deltaCall10: 47.91715309039977 deltaCall05: 51.26054763042049 - timestamp: '2024-05-23T22:05:00.000Z' exchange: deribit currency: BTC expirationTimestamp: '2024-05-31T08:00:00.000Z' multiplier: 1 daysToExpiration: 7.413194444444445 openInterest: 63324.6 indexPrice: 67734.5231147541 underlyingPrice: 67937.22098360656 deltaPut05: 58.870260411990785 deltaPut10: 51.89529805471867 deltaPut15: 49.36838569476291 deltaPut20: 47.87177421601838 deltaPut25: 46.89660451381713 deltaPut30: 46.47065517195636 deltaPut35: 46.18467519143885 deltaPut40: 45.983509563138966 deltaPut45: 45.97522950570481 delta50: 46.0020569057243 atm: 45.97936811437821 deltaCall45: 46.150288747173164 deltaCall40: 46.36401223277932 deltaCall35: 46.677760977005086 deltaCall30: 47.28091268547077 deltaCall25: 48.10220819244883 deltaCall20: 49.19593328603236 deltaCall15: 50.76142192431082 deltaCall10: 53.04164395284462 deltaCall05: 57.425294198113576 - timestamp: '2024-05-23T22:05:00.000Z' exchange: deribit currency: BTC expirationTimestamp: '2024-06-07T08:00:00.000Z' multiplier: 1 daysToExpiration: 14.413194444444445 openInterest: 5793.400000000001 indexPrice: 67734.14734375001 underlyingPrice: 68123.285078125 deltaPut05: 57.946895451040284 deltaPut10: 53.22380925973947 deltaPut15: 51.078146968534774 deltaPut20: 49.85689931234503 deltaPut25: 49.26852977791655 deltaPut30: 48.86000752140726 deltaPut35: 48.646002521442725 deltaPut40: 48.57508398511976 deltaPut45: 48.744264959555686 delta50: 49.01281105019236 atm: 48.90128361066813 deltaCall45: 49.3032545384544 deltaCall40: 49.61493645317241 deltaCall35: 49.99714222534878 deltaCall30: 50.469457314881744 deltaCall25: 51.184314481130116 deltaCall20: 52.065291669408985 deltaCall15: 53.46452773188444 deltaCall10: 55.32589917576804 deltaCall05: 59.009439372527616 - timestamp: '2024-05-23T22:05:00.000Z' exchange: deribit currency: BTC expirationTimestamp: '2024-06-14T08:00:00.000Z' multiplier: 1 daysToExpiration: 21.413194444444443 openInterest: 804.3 indexPrice: 67734.14816666667 underlyingPrice: 68309.622 deltaPut05: 57.988951915761334 deltaPut10: 53.85848101245794 deltaPut15: 52.26707528214889 deltaPut20: 51.31990485356478 deltaPut25: 50.873925208414846 deltaPut30: 50.55217499455882 deltaPut35: 50.381288241246416 deltaPut40: 50.33551701156658 deltaPut45: 50.52328807319628 delta50: 50.90492345042453 atm: 50.70067599867382 deltaCall45: 51.19964426025021 deltaCall40: 51.53990194030642 deltaCall35: 51.974274922475715 deltaCall30: 52.482180671061315 deltaCall25: 53.11941641373152 deltaCall20: 54.003508590604234 deltaCall15: 55.152023741858464 deltaCall10: 56.840199939452745 deltaCall05: 60.66555834944259 - timestamp: '2024-05-23T22:05:00.000Z' exchange: deribit currency: BTC expirationTimestamp: '2024-06-28T08:00:00.000Z' multiplier: 1 daysToExpiration: 35.41319444444444 openInterest: 82850.1 indexPrice: 67734.26689393939 underlyingPrice: 68682.01492424242 deltaPut05: 60.83338293627758 deltaPut10: 56.71902132512233 deltaPut15: 55.078805592296206 deltaPut20: 54.22881298826245 deltaPut25: 53.82812056450078 deltaPut30: 53.73283794528371 deltaPut35: 53.69674317999913 deltaPut40: 53.884997776551224 deltaPut45: 54.13818974327869 delta50: 54.47684105021505 atm: 54.246842265186274 deltaCall45: 54.854839873036696 deltaCall40: 55.289431483118136 deltaCall35: 55.81711331114293 deltaCall30: 56.46947524305163 deltaCall25: 57.17311457554652 deltaCall20: 58.161152879228226 deltaCall15: 59.32216305272164 deltaCall10: 61.278386093889814 deltaCall05: 65.46918482518328 - timestamp: '2024-05-23T22:05:00.000Z' exchange: deribit currency: BTC expirationTimestamp: '2024-07-26T08:00:00.000Z' multiplier: 1 daysToExpiration: 63.41319444444444 openInterest: 14335.3 indexPrice: 67734.2233 underlyingPrice: 69392.957934 deltaPut05: 62.39535434585565 deltaPut10: 59.31305811315393 deltaPut15: 58.2480045647517 deltaPut20: 57.75106550419852 deltaPut25: 57.612651719309845 deltaPut30: 57.61 deltaPut35: 57.596686573860445 deltaPut40: 58.06031931489327 deltaPut45: 58.398635212827536 delta50: 58.959363766503074 atm: 58.421980135314826 deltaCall45: 59.39494965712675 deltaCall40: 59.88876080494404 deltaCall35: 60.41450456881263 deltaCall30: 61.001211851887376 deltaCall25: 61.679934480035584 deltaCall20: 62.494894499492304 deltaCall15: 63.57717053178149 deltaCall10: 65.42048873550664 deltaCall05: 68.60663609272727 - timestamp: '2024-05-23T22:05:00.000Z' exchange: deribit currency: BTC expirationTimestamp: '2024-09-27T08:00:00.000Z' multiplier: 1 daysToExpiration: 126.41319444444444 openInterest: 30580.6 indexPrice: 67734.2246923077 underlyingPrice: 70993.09199999999 deltaPut05: 66.11561872609893 deltaPut10: 63.66174873385 deltaPut15: 62.77264733882836 deltaPut20: 62.51535273969918 deltaPut25: 62.51 deltaPut30: 62.51837728340839 deltaPut35: 62.64531599459715 deltaPut40: 62.98239169107485 deltaPut45: 63.36936789951827 delta50: 63.83971061342066 atm: 63.17562454216025 deltaCall45: 64.45202920906671 deltaCall40: 65.01324611908518 deltaCall35: 65.68999225658902 deltaCall30: 66.42869451713725 deltaCall25: 67.24646311569613 deltaCall20: 68.22605145582811 deltaCall15: 69.45763029923503 deltaCall10: 71.40596243758807 deltaCall05: 74.81186013167752 - timestamp: '2024-05-23T22:05:00.000Z' exchange: deribit currency: BTC expirationTimestamp: '2024-12-27T08:00:00.000Z' multiplier: 1 daysToExpiration: 217.41319444444446 openInterest: 25794.7 indexPrice: 67734.08548387098 underlyingPrice: 73253.06016129033 deltaPut05: 69.04092265018153 deltaPut10: 66.89520001724371 deltaPut15: 66.42 deltaPut20: 66.42 deltaPut25: 66.42 deltaPut30: 66.42 deltaPut35: 66.68637600781888 deltaPut40: 67.08314821014369 deltaPut45: 67.55861812913355 delta50: 68.29477142583502 atm: 67.06352914543045 deltaCall45: 68.988382386502 deltaCall40: 69.7038170595409 deltaCall35: 70.39314289700721 deltaCall30: 71.26767392128686 deltaCall25: 72.16689958159897 deltaCall20: 73.16537527990698 deltaCall15: 74.51441726660481 deltaCall10: 76.641946096485 deltaCall05: 79.82239696284384 - timestamp: '2024-05-23T22:05:00.000Z' exchange: deribit currency: BTC expirationTimestamp: '2025-03-28T08:00:00.000Z' multiplier: 1 daysToExpiration: 308.41319444444446 openInterest: 4102.5 indexPrice: 67734.21333333333 underlyingPrice: 75226.43604166668 deltaPut05: 68.95889224078658 deltaPut10: 68.29 deltaPut15: 68.29 deltaPut20: 68.29 deltaPut25: 68.29 deltaPut30: 68.30842826432509 deltaPut35: 68.48906874243397 deltaPut40: 68.87961751988607 deltaPut45: 69.42077201210684 delta50: 70.13429629107888 atm: 68.65634990131066 deltaCall45: 70.8560111618152 deltaCall40: 71.56438174477809 deltaCall35: 72.28794537900006 deltaCall30: 73.04883904881113 deltaCall25: 73.74150915866461 deltaCall20: 74.63982505162018 deltaCall15: 75.77043953594907 deltaCall10: 77.52207506300807 deltaCall05: null metadata: api-version: '2023-09-30' schema: type: object properties: status: type: integer example: 200 default: 0 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: timestamp: type: string example: '2024-05-23T22:05:00.000Z' exchange: type: string example: deribit currency: type: string example: BTC expirationTimestamp: type: string example: '2024-05-24T08:00:00.000Z' multiplier: type: integer example: 1 default: 0 daysToExpiration: type: number example: 0.4131944444444444 default: 0 openInterest: type: number example: 21055.7 default: 0 indexPrice: type: number example: 67734.43058139535 default: 0 underlyingPrice: type: number example: 67780.36081395349 default: 0 deltaPut05: type: number example: 61.39959340175343 default: 0 deltaPut10: type: number example: 56.30781817193095 default: 0 deltaPut15: type: number example: 53.45849723437246 default: 0 deltaPut20: type: number example: 52.64463892260238 default: 0 deltaPut25: type: number example: 51.817999652871165 default: 0 deltaPut30: type: number example: 50.90319062453815 default: 0 deltaPut35: type: number example: 49.97089861191663 default: 0 deltaPut40: type: number example: 49.0486465238566 default: 0 deltaPut45: type: number example: 48.7695487792514 default: 0 delta50: type: number example: 48.489762188644164 default: 0 atm: type: number example: 48.50340115084713 default: 0 deltaCall45: type: number example: 48.20925633355101 default: 0 deltaCall40: type: number example: 48.15101985000829 default: 0 deltaCall35: type: number example: 48.34329237079542 default: 0 deltaCall30: type: number example: 48.53480320244968 default: 0 deltaCall25: type: number example: 48.88254512454673 default: 0 deltaCall20: type: number example: 49.72037140473578 default: 0 deltaCall15: type: number example: 50.544311721462655 default: 0 deltaCall10: type: number example: 52.98379448135382 default: 0 deltaCall05: type: number example: 57.36799141448832 default: 0 metadata: type: object properties: api-version: type: string example: '2023-09-30' '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/volatility/moneyness-surfaces/floating: get: summary: Moneyness Surfaces Floating description: >- This endpoint returns the option implied volatility surface in the form of moneyness from the "underlying" future's price for listed expirations. This surface is calibrated using SVI and is therefor available in hourly format (historical), real-time (on-going) for BTC and ETH on Deribit only. operationId: derivatives-volatility-moneyness-surfaces-floating parameters: - name: currency in: query description: >- **[Required]** The underlying currency for which there are listed option instruments. **[Examples]** ` BTC | ETH ` required: true schema: type: string default: BTC - name: startDate in: query description: >- **[Optional]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string format: date-time - name: endDate in: query description: >- **[Optional]** Payload only includes data before this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string format: date-time - name: daysToExpirationStart in: query description: >- **[Optional]** Users can pass a days to expiration filter lower bound, to return only a subset of the delta surface. **[Examples]** ` 1 | 7 | 60 ` schema: type: integer format: int32 - name: daysToExpirationEnd in: query description: >- **[Optional]** Users can pass a days to expiration filter upper bound, to return only a subset of the delta surface. **[Examples]** ` 1 | 30 | 180 ` schema: type: integer format: int32 - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string default: hr responses: '200': description: '200' content: application/json: schema: type: object properties: status: type: integer example: 200 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: atm: type: number example: 59.35 description: At The Money volatility call10PercentOutOfMoneyVolatility: type: number example: 61.03 description: Volatility for call options 10% out of the money call20PercentOutOfMoneyVolatility: type: number example: 64.05 description: Volatility for call options 20% out of the money call30PercentOutOfMoneyVolatility: type: number example: 67.42 description: Volatility for call options 30% out of the money call40PercentOutOfMoneyVolatility: type: number example: 70.72 description: Volatility for call options 40% out of the money currency: type: string example: BTC description: The underlying currency daysToExpiration: type: integer example: 180 description: >- The number of days remaining until the option's expiration exchange: type: string example: deribit description: The exchange where the option is traded indexPrice: type: number example: 103240.09 description: The index price of the underlying asset put10PercentOutOfMoneyVolatility: type: number example: 60.59 description: Volatility for put options 10% out of the money put20PercentOutOfMoneyVolatility: type: number example: 65.37 description: Volatility for put options 20% out of the money put30PercentOutOfMoneyVolatility: type: number example: 72.77 description: Volatility for put options 30% out of the money put40PercentOutOfMoneyVolatility: type: number example: 81.97 description: Volatility for put options 40% out of the money timestamp: type: string example: '2025-01-23T00:25:00.000Z' description: The timestamp of the data underlyingPrice: type: number example: 109432.44 description: The price of the underlying asset examples: Result: value: status: 200 title: OK description: Successful request payload: data: - atm: 59.35 call10PercentOutOfMoneyVolatility: 61.03 call20PercentOutOfMoneyVolatility: 64.05 call30PercentOutOfMoneyVolatility: 67.42 call40PercentOutOfMoneyVolatility: 70.72 currency: BTC daysToExpiration: 180 exchange: deribit indexPrice: 103240.09 put10PercentOutOfMoneyVolatility: 60.59 put20PercentOutOfMoneyVolatility: 65.37 put30PercentOutOfMoneyVolatility: 72.77 put40PercentOutOfMoneyVolatility: 81.97 timestamp: '2025-01-23T00:25:00.000Z' underlyingPrice: 109432.44 - atm: 57.87 call10PercentOutOfMoneyVolatility: 60.18 call20PercentOutOfMoneyVolatility: 63.83 call30PercentOutOfMoneyVolatility: 67.9 call40PercentOutOfMoneyVolatility: 72 currency: BTC daysToExpiration: 30 exchange: deribit indexPrice: 103240.09 put10PercentOutOfMoneyVolatility: 58.58 put20PercentOutOfMoneyVolatility: 64.47 put30PercentOutOfMoneyVolatility: 76.7 put40PercentOutOfMoneyVolatility: 94.31 timestamp: '2025-01-23T00:25:00.000Z' underlyingPrice: 104203.24 - atm: 58.2 call10PercentOutOfMoneyVolatility: 59.59 call20PercentOutOfMoneyVolatility: 62.1 call30PercentOutOfMoneyVolatility: 65.1 call40PercentOutOfMoneyVolatility: 68.26 currency: BTC daysToExpiration: 60 exchange: deribit indexPrice: 103240.09 put10PercentOutOfMoneyVolatility: 58.9 put20PercentOutOfMoneyVolatility: 62.49 put30PercentOutOfMoneyVolatility: 69.29 put40PercentOutOfMoneyVolatility: 79.36 timestamp: '2025-01-23T00:25:00.000Z' underlyingPrice: 105332.44 - atm: 56.75 call10PercentOutOfMoneyVolatility: 63.1 call20PercentOutOfMoneyVolatility: 74.14 call30PercentOutOfMoneyVolatility: 85.49 call40PercentOutOfMoneyVolatility: 96.02 currency: BTC daysToExpiration: 7 exchange: deribit indexPrice: 103240.09 put10PercentOutOfMoneyVolatility: 64.49 put20PercentOutOfMoneyVolatility: 85.77 put30PercentOutOfMoneyVolatility: 113.03 put40PercentOutOfMoneyVolatility: 142.61 timestamp: '2025-01-23T00:25:00.000Z' underlyingPrice: 103491.37 '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/volatility/moneyness-surfaces/constant: get: summary: Moneyness Surfaces Constant description: >- This endpoint returns the option implied volatility surface in the form of moneyness from the "underlying" future's price for constant expirations. This surface is calibrated using SVI and is therefor available in hourly format (historical), real-time (on-going) for BTC and ETH on Deribit only. operationId: derivatives-volatility-moneyness-surfaces-constant parameters: - name: currency in: query description: >- **[Required]** The underlying currency for which there are listed option instruments. **[Examples]** ` BTC | ETH ` required: true schema: type: string default: BTC - name: startDate in: query description: >- **[Optional]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string format: date-time - name: endDate in: query description: >- **[Optional]** Payload only includes data before this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string format: date-time - name: daysToExpirationStart in: query description: >- **[Optional]** Users can pass a days to expiration filter lower bound, to return only a subset of the delta surface. **[Examples]** ` 1 | 7 | 60 ` schema: type: integer format: int32 - name: daysToExpirationEnd in: query description: >- **[Optional]** Users can pass a days to expiration filter upper bound, to return only a subset of the delta surface. **[Examples]** ` 1 | 30 | 180 ` schema: type: integer format: int32 - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string default: hr responses: '200': description: '200' content: application/json: schema: type: object properties: status: type: integer example: 200 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: atm: type: number example: 59.35 description: At The Money volatility call10PercentOutOfMoneyVolatility: type: number example: 61.03 description: Volatility for call options 10% out of the money call20PercentOutOfMoneyVolatility: type: number example: 64.05 description: Volatility for call options 20% out of the money call30PercentOutOfMoneyVolatility: type: number example: 67.42 description: Volatility for call options 30% out of the money call40PercentOutOfMoneyVolatility: type: number example: 70.72 description: Volatility for call options 40% out of the money currency: type: string example: BTC description: The underlying currency daysToExpiration: type: integer example: 180 description: >- The number of days remaining until the option's expiration exchange: type: string example: deribit description: The exchange where the option is traded indexPrice: type: number example: 103240.09 description: The index price of the underlying asset put10PercentOutOfMoneyVolatility: type: number example: 60.59 description: Volatility for put options 10% out of the money put20PercentOutOfMoneyVolatility: type: number example: 65.37 description: Volatility for put options 20% out of the money put30PercentOutOfMoneyVolatility: type: number example: 72.77 description: Volatility for put options 30% out of the money put40PercentOutOfMoneyVolatility: type: number example: 81.97 description: Volatility for put options 40% out of the money timestamp: type: string example: '2025-01-23T00:25:00.000Z' description: The timestamp of the data underlyingPrice: type: number example: 109432.44 description: The price of the underlying asset examples: Result: value: status: 200 title: OK description: Successful request payload: data: - atm: 59.35 call10PercentOutOfMoneyVolatility: 61.03 call20PercentOutOfMoneyVolatility: 64.05 call30PercentOutOfMoneyVolatility: 67.42 call40PercentOutOfMoneyVolatility: 70.72 currency: BTC daysToExpiration: 180 exchange: deribit indexPrice: 103240.09 put10PercentOutOfMoneyVolatility: 60.59 put20PercentOutOfMoneyVolatility: 65.37 put30PercentOutOfMoneyVolatility: 72.77 put40PercentOutOfMoneyVolatility: 81.97 timestamp: '2025-01-23T00:25:00.000Z' underlyingPrice: 109432.44 - atm: 57.87 call10PercentOutOfMoneyVolatility: 60.18 call20PercentOutOfMoneyVolatility: 63.83 call30PercentOutOfMoneyVolatility: 67.9 call40PercentOutOfMoneyVolatility: 72 currency: BTC daysToExpiration: 30 exchange: deribit indexPrice: 103240.09 put10PercentOutOfMoneyVolatility: 58.58 put20PercentOutOfMoneyVolatility: 64.47 put30PercentOutOfMoneyVolatility: 76.7 put40PercentOutOfMoneyVolatility: 94.31 timestamp: '2025-01-23T00:25:00.000Z' underlyingPrice: 104203.24 - atm: 58.2 call10PercentOutOfMoneyVolatility: 59.59 call20PercentOutOfMoneyVolatility: 62.1 call30PercentOutOfMoneyVolatility: 65.1 call40PercentOutOfMoneyVolatility: 68.26 currency: BTC daysToExpiration: 60 exchange: deribit indexPrice: 103240.09 put10PercentOutOfMoneyVolatility: 58.9 put20PercentOutOfMoneyVolatility: 62.49 put30PercentOutOfMoneyVolatility: 69.29 put40PercentOutOfMoneyVolatility: 79.36 timestamp: '2025-01-23T00:25:00.000Z' underlyingPrice: 105332.44 - atm: 56.75 call10PercentOutOfMoneyVolatility: 63.1 call20PercentOutOfMoneyVolatility: 74.14 call30PercentOutOfMoneyVolatility: 85.49 call40PercentOutOfMoneyVolatility: 96.02 currency: BTC daysToExpiration: 7 exchange: deribit indexPrice: 103240.09 put10PercentOutOfMoneyVolatility: 64.49 put20PercentOutOfMoneyVolatility: 85.77 put30PercentOutOfMoneyVolatility: 113.03 put40PercentOutOfMoneyVolatility: 142.61 timestamp: '2025-01-23T00:25:00.000Z' underlyingPrice: 103491.37 '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/realized-volatility/implied-vs-realized: get: summary: Implied (vs) Realized description: >- This endpoint returns the close-to-close hourly realized volatility for 7-days and 30-days. Using the daysToExpiration parameter, users can choose which "at-the-money" implied volatility to compare. operationId: derivatives-volatility-implied-vs-realized parameters: - name: exchange in: query description: >- **[Required]** The exchange for which to retrieve the listed option level 1 quotes. **[Examples]** ` deribit | okex | bybit` required: true schema: type: string default: deribit - name: currency in: query description: >- **[Required]** The underlying currency for which there are listed option instruments. **[Examples]** ` BTC | SOL_USDC ` Note: inverse options have underlying currencies formatted as (BTC, ETH) while linear option currency formats include the stable coin in the same (SOL_USDC) required: true schema: type: string default: BTC - name: startDate in: query description: >- **[Required]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` required: true schema: type: string format: date-time default: '2024-05-01' - name: endDate in: query description: >- **[Required]** Payload only includes data before this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` required: true schema: type: string default: '2024-06-01' - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string responses: '200': description: '200' content: application/json: examples: Result: value: status: 200 title: OK description: Successful request payload: data: - timestamp: 1717196400000 exchange: deribit currency: BTC atm: 42.07136952487065 indexPrice: 67467.2625862069 realizedVolatility7: 34.3703605121272 realizedVolatility30: 43.18781667949284 - timestamp: 1717192800000 exchange: deribit currency: BTC atm: 42.342093330604044 indexPrice: 67497.18362068966 realizedVolatility7: 34.64484778160513 realizedVolatility30: 43.18780597002004 - timestamp: 1717189200000 exchange: deribit currency: BTC atm: 42.26759282303395 indexPrice: 67630.19172413793 realizedVolatility7: 34.74106116948189 realizedVolatility30: 43.29780207914846 - timestamp: 1717185600000 exchange: deribit currency: BTC atm: 42.752479678719894 indexPrice: 67577.36913793103 realizedVolatility7: 34.810606097346145 realizedVolatility30: 43.365305949478305 - timestamp: 1717182000000 exchange: deribit currency: BTC atm: 42.54544438742615 indexPrice: 67338.2125862069 realizedVolatility7: 34.77334686626163 realizedVolatility30: 45.01111142559468 - timestamp: 1717178400000 exchange: deribit currency: BTC atm: 43.58550179028271 indexPrice: 67278.44379310345 realizedVolatility7: 34.77483463827298 realizedVolatility30: 45.88253030236198 - timestamp: 1717174800000 exchange: deribit currency: BTC atm: 42.65212320443574 indexPrice: 67135.22103448276 realizedVolatility7: 34.81151928224687 realizedVolatility30: 45.94101096369127 - timestamp: 1717171200000 exchange: deribit currency: BTC atm: 41.05292487776283 indexPrice: 67150.05120689655 realizedVolatility7: 35.16901173446312 realizedVolatility30: 45.95035609919127 - timestamp: 1717167600000 exchange: deribit currency: BTC atm: 41.62193308928349 indexPrice: 67420.9175862069 realizedVolatility7: 35.101964176000635 realizedVolatility30: 46.09187643963553 - timestamp: 1717164000000 exchange: deribit currency: BTC atm: 40.85719429064001 indexPrice: 68045.02189655173 realizedVolatility7: 32.83801992230775 realizedVolatility30: 45.985923248467046 - timestamp: 1717160400000 exchange: deribit currency: BTC atm: 41.0914175946095 indexPrice: 68602.44586206897 realizedVolatility7: 30.969377533815834 realizedVolatility30: 46.08475823154777 - timestamp: 1717156800000 exchange: deribit currency: BTC atm: 40.393181822080805 indexPrice: 68316.85275862069 realizedVolatility7: 30.86787037320451 realizedVolatility30: 46.06726412669179 - timestamp: 1717153200000 exchange: deribit currency: BTC atm: 40.24332779352483 indexPrice: 68276.985 realizedVolatility7: 30.897628942222365 realizedVolatility30: 46.07116421016948 - timestamp: 1717149600000 exchange: deribit currency: BTC atm: 41.24436534443753 indexPrice: 67913.43862068966 realizedVolatility7: 30.079126376041657 realizedVolatility30: 46.2023392513109 - timestamp: 1717146000000 exchange: deribit currency: BTC atm: 40.79376804695732 indexPrice: 68125.70551724138 realizedVolatility7: 29.830102310200598 realizedVolatility30: 46.187515019914514 - timestamp: 1717142400000 exchange: deribit currency: BTC atm: 41.677109682894276 indexPrice: 68158.96206896551 realizedVolatility7: 31.804216592926508 realizedVolatility30: 46.24757357019454 - timestamp: 1717138800000 exchange: deribit currency: BTC atm: 41.61505707430359 indexPrice: 68254.57507462687 realizedVolatility7: 31.789265050895736 realizedVolatility30: 47.836871006227724 - timestamp: 1717135200000 exchange: deribit currency: BTC atm: 41.56870674044439 indexPrice: 68420.31686567163 realizedVolatility7: 31.936468023680746 realizedVolatility30: 47.91940178993071 - timestamp: 1717131600000 exchange: deribit currency: BTC atm: 42.092361109357356 indexPrice: 68494.27873134328 realizedVolatility7: 31.911794908220145 realizedVolatility30: 47.93992301936472 - timestamp: 1717128000000 exchange: deribit currency: BTC atm: 42.41582040999914 indexPrice: 68526.27335820896 realizedVolatility7: 32.013047017286496 realizedVolatility30: 47.93953461667026 - timestamp: 1717124400000 exchange: deribit currency: BTC atm: 42.5444366337161 indexPrice: 68515.56253731344 realizedVolatility7: 32.08749894871356 realizedVolatility30: 47.972061490871624 - timestamp: 1717120800000 exchange: deribit currency: BTC atm: 42.608036734124184 indexPrice: 68424.391119403 realizedVolatility7: 32.07903446336882 realizedVolatility30: 47.987255244078945 - timestamp: 1717117200000 exchange: deribit currency: BTC atm: 42.935524727386145 indexPrice: 68443.67858208955 realizedVolatility7: 32.128317584223424 realizedVolatility30: 47.99252257051946 - timestamp: 1717113600000 exchange: deribit currency: BTC atm: 43.765025163964545 indexPrice: 68343.93768656715 realizedVolatility7: 32.34504133182403 realizedVolatility30: 48.05918073485389 metadata: api-version: '2023-09-30' schema: type: object properties: status: type: integer example: 200 default: 0 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: timestamp: type: integer example: 1717196400000 default: 0 exchange: type: string example: deribit currency: type: string example: BTC atm: type: number example: 42.07136952487065 default: 0 indexPrice: type: number example: 67467.2625862069 default: 0 realizedVolatility7: type: number example: 34.3703605121272 default: 0 realizedVolatility30: type: number example: 43.18781667949284 default: 0 metadata: type: object properties: api-version: type: string example: '2023-09-30' '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/volatility/term-structures/forward-volatility/constant: get: summary: Term Structures Constant description: >- This endpoint returns the term structure (for exchange listed expirations) with forward volatility calculations, for constant "daysToExpiration" maturities. operationId: derivatives-volatility-term-structures-constant parameters: - name: exchange in: query description: >- **[Required]** The exchange for which to retrieve the listed option level 1 quotes. **[Examples]** ` deribit | okex | bybit` required: true schema: type: string default: deribit - name: currency in: query description: >- **[Required]** The underlying currency for which there are listed option instruments. **[Examples]** ` BTC | SOL_USDC ` Note: inverse options have underlying currencies formatted as (BTC, ETH) while linear option currency formats include the stable coin in the same (SOL_USDC) required: true schema: type: string default: BTC - name: timestamp in: query description: |- **[Required]** Payload only includes data for this timestamp. **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2024-04-03T08:00:00` schema: type: string format: date-time default: '2024-04-12T00:00:00' - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string responses: '200': description: '200' content: application/json: examples: Result: value: status: 200 title: OK description: Successful request payload: data: - timestamp: '2024-05-23T22:22:00.000Z' exchange: deribit currency: BTC daysToExpiration: 1 atm: 48.35922628296513 fwdAtm: null - timestamp: '2024-05-23T22:22:00.000Z' exchange: deribit currency: BTC daysToExpiration: 2 atm: 45.43736221438332 fwdAtm: 42.3142175080092 - timestamp: '2024-05-23T22:22:00.000Z' exchange: deribit currency: BTC daysToExpiration: 3 atm: 43.68325184564065 fwdAtm: 39.944607964365645 - timestamp: '2024-05-23T22:22:00.000Z' exchange: deribit currency: BTC daysToExpiration: 7 atm: 46.16990851827613 fwdAtm: 47.95034851977852 - timestamp: '2024-05-23T22:22:00.000Z' exchange: deribit currency: BTC daysToExpiration: 14 atm: 48.41110278679033 fwdAtm: 50.553034463624144 - timestamp: '2024-05-23T22:22:00.000Z' exchange: deribit currency: BTC daysToExpiration: 21 atm: 50.49107793015334 fwdAtm: 54.41302330858023 - timestamp: '2024-05-23T22:22:00.000Z' exchange: deribit currency: BTC daysToExpiration: 30 atm: 52.56344667911033 fwdAtm: 57.107257606586295 - timestamp: '2024-05-23T22:22:00.000Z' exchange: deribit currency: BTC daysToExpiration: 60 atm: 57.73201821661908 fwdAtm: 62.47444219791323 - timestamp: '2024-05-23T22:22:00.000Z' exchange: deribit currency: BTC daysToExpiration: 90 atm: 60.38590165981284 fwdAtm: 65.37124370147538 - timestamp: '2024-05-23T22:22:00.000Z' exchange: deribit currency: BTC daysToExpiration: 180 atm: 65.50760799181039 fwdAtm: 70.25693055029386 metadata: api-version: '2023-09-30' schema: type: object properties: status: type: integer example: 200 default: 0 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: timestamp: type: string example: '2024-05-23T22:22:00.000Z' exchange: type: string example: deribit currency: type: string example: BTC daysToExpiration: type: integer example: 1 default: 0 atm: type: number example: 48.35922628296513 default: 0 fwdAtm: type: number nullable: true example: null description: >- Forward At The Money volatility (can be null for short-term expirations) metadata: type: object properties: api-version: type: string example: '2023-09-30' '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/volatility/term-structures/forward-volatility/floating: get: summary: Term Structures Floating description: >- This endpoint returns the term structure (for exchange listed expirations) with forward volatility calculations, for active exchange listed maturities. operationId: derivatives-volatility-term-structures-floating parameters: - name: exchange in: query description: >- **[Required]** The exchange for which to retrieve the listed option level 1 quotes. **[Examples]** ` deribit | okex | bybit` required: true schema: type: string default: deribit - name: currency in: query description: >- **[Required]** The underlying currency for which there are listed option instruments. **[Examples]** ` BTC | SOL_USDC ` Note: inverse options have underlying currencies formatted as (BTC, ETH) while linear option currency formats include the stable coin in the same (SOL_USDC) required: true schema: type: string default: BTC - name: timestamp in: query description: |- **[Required]** Payload only includes data for this timestamp. **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2024-04-03T08:00:00` schema: type: string format: date-time default: '2024-04-12T00:00:00' - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string responses: '200': description: '200' content: application/json: examples: Result: value: status: 200 title: OK description: Successful request payload: data: - timestamp: '2024-05-23T22:23:00.000Z' exchange: deribit currency: BTC expirationTimestamp: '2024-05-24T08:00:00.000Z' daysToExpiration: 0.40069444444444446 atm: 48.18119212406436 fwdAtm: null - timestamp: '2024-05-23T22:23:00.000Z' exchange: deribit currency: BTC expirationTimestamp: '2024-05-25T08:00:00.000Z' daysToExpiration: 1.4006944444444445 atm: 48.46480114364702 fwdAtm: 48.577977052867816 - timestamp: '2024-05-23T22:23:00.000Z' exchange: deribit currency: BTC expirationTimestamp: '2024-05-26T08:00:00.000Z' daysToExpiration: 2.4006944444444445 atm: 43.28339639988641 fwdAtm: 34.75030807598399 - timestamp: '2024-05-23T22:23:00.000Z' exchange: deribit currency: BTC expirationTimestamp: '2024-05-31T08:00:00.000Z' daysToExpiration: 7.4006944444444445 atm: 46.450304912583725 fwdAtm: 47.8965128013226 - timestamp: '2024-05-23T22:23:00.000Z' exchange: deribit currency: BTC expirationTimestamp: '2024-06-07T08:00:00.000Z' daysToExpiration: 14.400694444444444 atm: 48.519944804403636 fwdAtm: 50.61610840594084 - timestamp: '2024-05-23T22:23:00.000Z' exchange: deribit currency: BTC expirationTimestamp: '2024-06-14T08:00:00.000Z' daysToExpiration: 21.400694444444444 atm: 50.60106649680914 fwdAtm: 54.63370536858937 - timestamp: '2024-05-23T22:23:00.000Z' exchange: deribit currency: BTC expirationTimestamp: '2024-06-28T08:00:00.000Z' daysToExpiration: 35.40069444444445 atm: 53.76060540395727 fwdAtm: 58.26012518602842 - timestamp: '2024-05-23T22:23:00.000Z' exchange: deribit currency: BTC expirationTimestamp: '2024-07-26T08:00:00.000Z' daysToExpiration: 63.40069444444445 atm: 58.247165892832165 fwdAtm: 63.46720290344688 - timestamp: '2024-05-23T22:23:00.000Z' exchange: deribit currency: BTC expirationTimestamp: '2024-09-27T08:00:00.000Z' daysToExpiration: 126.40069444444444 atm: 63.17620639474564 fwdAtm: 67.77566212230421 - timestamp: '2024-05-23T22:23:00.000Z' exchange: deribit currency: BTC expirationTimestamp: '2024-12-27T08:00:00.000Z' daysToExpiration: 217.40069444444444 atm: 67.07817801426035 fwdAtm: 72.148798792591 - timestamp: '2024-05-23T22:23:00.000Z' exchange: deribit currency: BTC expirationTimestamp: '2025-03-28T08:00:00.000Z' daysToExpiration: 308.40069444444447 atm: 68.63902950783613 fwdAtm: 72.23152159742965 metadata: api-version: '2023-09-30' schema: type: object properties: status: type: integer example: 200 default: 0 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: timestamp: type: string example: '2024-05-23T22:23:00.000Z' exchange: type: string example: deribit currency: type: string example: BTC expirationTimestamp: type: string example: '2024-05-24T08:00:00.000Z' daysToExpiration: type: number example: 0.40069444444444446 default: 0 atm: type: number example: 48.18119212406436 default: 0 fwdAtm: type: number nullable: true example: null description: >- Forward At The Money volatility (can be null for short-term expirations) metadata: type: object properties: api-version: type: string example: '2023-09-30' '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/volatility/term-structures/richness: get: summary: Term Structures Richness description: >- 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. operationId: derivatives-volatility-term-structures-richness parameters: - name: exchange in: query description: >- **[Required]** The exchange for which to retrieve the listed option level 1 quotes. **[Examples]** ` deribit | okex | bybit` required: true schema: type: string default: deribit - name: currency in: query description: >- **[Required]** The underlying currency for which there are listed option instruments. **[Examples]** ` BTC | SOL_USDC ` Note: inverse options have underlying currencies formatted as (BTC, ETH) while linear option currency formats include the stable coin in the same (SOL_USDC) required: true schema: type: string default: BTC - name: startDate in: query description: >- **[Optional]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string format: date-time default: '2024-01-01' - name: endDate in: query description: >- **[Optional]** Payload only includes data before this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string default: '2024-06-01' - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string - name: timeInterval in: query description: > **[Optional]** Time interval of data frequency for the selected date range. **[Examples]** `hour | day` schema: type: string format: date-time responses: '200': description: '200' content: application/json: schema: type: object properties: status: type: integer example: 200 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: timestamp: type: string example: '2019-05-22T00:00:00.000Z' description: The timestamp of the data exchange: type: string example: deribit description: The exchange where the data is from currency: type: string example: BTC description: The underlying currency atm7days: type: number example: 91.25547790527344 description: At The Money volatility for 7-day options atm30days: type: number example: 92.43169403076172 description: At The Money volatility for 7-day options atm60days: type: number example: 91.62701416015625 description: At The Money volatility for 60-day options atm90days: type: number example: 89.92632293701172 description: At The Money volatility for 90-day options atm180days: type: number example: 85.50126647949219 description: At The Money volatility for 180-day options ratio: type: number example: 10.325310347771273 description: The ratio used in the richness calculation counter: type: integer example: 10 description: >- The counter value used in the richness calculation richness: type: number example: 1.0325310347771273 description: >- The term structure richness value (1.00 = flat, <1 = contango, >1 = backwardation) examples: Result: value: status: 200 title: OK description: Successful request payload: data: - timestamp: '2019-05-22T00:00:00.000Z' exchange: deribit currency: BTC atm7days: 91.25547790527344 atm30days: 92.43169403076172 atm60days: 91.62701416015625 atm90days: 89.92632293701172 atm180days: 85.50126647949219 ratio: 10.325310347771273 counter: 10 richness: 1.0325310347771273 metadata: api-version: '2023-09-30' '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/volatility/index: get: summary: Volatility Index description: >- This endpoint returns the value of the BTC (or other altcoin) VIX. The methodology of this index is similar to the VIX but for the underlying crypto. Deribit developed their Bitcoin VIX called the DVOL index. operationId: derivatives-volatility-index parameters: - name: exchange in: query description: >- **[Required]** The exchange for which to retrieve the volatility index. **[Examples]** `deribit` required: true schema: type: string default: deribit - name: currency in: query description: >- **[Required]** The underlying currency for which to retrieve the volatility index. **[Examples]** `BTC | SOL_USDC` Note: inverse options have underlying currencies formatted as (BTC, ETH) while linear option currency formats include the stable coin in the same (SOL_USDC) required: true schema: type: string default: BTC - name: startDate in: query description: >- **[Optional]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string format: date-time - name: endDate in: query description: >- **[Optional]** Payload only includes data before this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string format: date-time - name: timeInterval in: query description: >- **[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. schema: type: string - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string responses: '200': description: '200' content: application/json: schema: type: object properties: status: type: integer example: 200 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: exchangeTimestamp: type: string example: '2024-05-01T00:00:00.000Z' description: >- The timestamp when the data was received from the exchange exchange: type: string example: deribit description: >- The exchange where the volatility index is calculated instrument: type: string example: DERIBIT_BTC_DVOL_INDEX description: >- The instrument identifier for the volatility index currency: type: string example: BTC description: The underlying currency for the volatility index open: type: number example: 59.81 description: The opening value of the volatility index high: type: number example: 59.81 description: >- The highest value of the volatility index during the period low: type: number example: 59.81 description: >- The lowest value of the volatility index during the period close: type: number example: 59.81 description: The closing value of the volatility index examples: Result: value: status: 200 title: OK description: Successful request payload: data: - exchangeTimestamp: '2024-05-01T00:00:00.000Z' exchange: deribit instrument: DERIBIT_BTC_DVOL_INDEX currency: BTC open: 59.81 high: 59.81 low: 59.81 close: 59.81 '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/volatility/index-decorated: get: summary: Volatility Index Decorated description: >- This endpoint returns the value of the BTC (or other altcoin) VIX. Along with the volatility index we are also returned underlying volatility surface datapoints (such as skew) and underlying spot prices. operationId: derivatives-volatility-index-decorated parameters: - name: currency in: query description: >- **[Optional]** The underlying currency for which to retrieve the volatility index. **[Examples]** `BTC | SOL_USDC` Note: inverse options have underlying currencies formatted as (BTC, ETH) while linear option currency formats include the stable coin in the same (SOL_USDC) required: true schema: type: string default: BTC - name: exchange in: query description: >- **[Optional]** The exchange for which to retrieve the volatility index. **[Examples]** `deribit` schema: type: string default: deribit - name: startDate in: query description: >- **[Optional]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string format: date-time default: '2024-01-01' - name: endDate in: query description: >- **[Optional]** Payload only includes data before this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string format: date-time default: '2024-06-01' - name: timeInterval in: query description: >- **[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. schema: type: string default: day - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string responses: '200': description: '200' content: application/json: schema: type: object properties: status: type: integer example: 200 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: exchangeTimestamp: type: string example: '2024-06-06 19:00:00.0' description: >- The timestamp when the data was received from the exchange exchange: type: string example: deribit description: >- The exchange where the volatility index is calculated instrument: type: string example: DERIBIT_BTC_DVOL_INDEX description: >- The instrument identifier for the volatility index currency: type: string example: BTC description: The underlying currency for the volatility index indexPrice: type: number example: 71043.50828947368 description: The index price of the underlying asset underlyingPrice: type: number example: 71970.97051523329 description: The current price of the underlying asset close: type: number example: 52.83 description: The closing value of the volatility index atm: type: number example: 51.51823745869919 description: At The Money volatility delta50: type: number example: 51.69346060959675 description: 50% delta volatility deltaCall25: type: number example: 53.87852293010057 description: 25% delta call volatility deltaPut25: type: number example: 50.85645481877562 description: 25% delta put volatility delta25RrSkew: type: number example: 3.0220681113249555 description: 25% delta risk reversal skew (call25 - put25) daysAgo: type: integer example: 0 description: Number of days ago from the current date examples: Result: value: status: 200 title: OK description: Successful request payload: data: - exchangeTimestamp: '2024-06-06 19:00:00.0' exchange: deribit instrument: DERIBIT_BTC_DVOL_INDEX currency: BTC indexPrice: 71043.50828947368 underlyingPrice: 71970.97051523329 close: 52.83 atm: 51.51823745869919 delta50: 51.69346060959675 deltaCall25: 53.87852293010057 deltaPut25: 50.85645481877562 delta25RrSkew: 3.0220681113249555 daysAgo: 0 - exchangeTimestamp: '2024-06-06 18:00:00.0' exchange: deribit instrument: DERIBIT_BTC_DVOL_INDEX currency: BTC indexPrice: 71082.68947368421 underlyingPrice: 71991.85266862402 close: 53.41 atm: 51.84655133119005 delta50: 52.08967881730025 deltaCall25: 54.6118859256467 deltaPut25: 50.99467108317352 delta25RrSkew: 3.6172148424731816 daysAgo: 0 - exchangeTimestamp: '2024-06-06 17:00:00.0' exchange: deribit instrument: DERIBIT_BTC_DVOL_INDEX currency: BTC indexPrice: 70942.9730263158 underlyingPrice: 71829.62975556214 close: 53.98 atm: 52.295710475490786 delta50: 52.519859459978484 deltaCall25: 54.97627457056669 deltaPut25: 51.735387054397926 delta25RrSkew: 3.240887516168762 daysAgo: 0 - exchangeTimestamp: '2024-06-06 16:00:00.0' exchange: deribit instrument: DERIBIT_BTC_DVOL_INDEX currency: BTC indexPrice: 71286.85078947368 underlyingPrice: 72181.80892269053 close: 53.77 atm: 52.407733011148984 delta50: 52.68940994786385 deltaCall25: 55.142702045236575 deltaPut25: 51.76170758437015 delta25RrSkew: 3.3809944608664253 daysAgo: 0 - exchangeTimestamp: '2024-06-06 15:00:00.0' exchange: deribit instrument: DERIBIT_BTC_DVOL_INDEX currency: BTC indexPrice: 71447.76342105263 underlyingPrice: 72352.4542939263 close: 53.85 atm: 52.55276118850411 delta50: 52.797910334780966 deltaCall25: 55.07595206633709 deltaPut25: 51.84902165650667 delta25RrSkew: 3.226930409830416 daysAgo: 0 - exchangeTimestamp: '2024-06-06 14:00:00.0' exchange: deribit instrument: DERIBIT_BTC_DVOL_INDEX currency: BTC indexPrice: 71099.5719736842 underlyingPrice: 72001.66591824421 close: 54.23 atm: 52.804515216361246 delta50: 53.046452812096526 deltaCall25: 55.20535397298803 deltaPut25: 52.139981889507794 delta25RrSkew: 3.0653720834802343 daysAgo: 0 - exchangeTimestamp: '2024-06-06 13:00:00.0' exchange: deribit instrument: DERIBIT_BTC_DVOL_INDEX currency: BTC indexPrice: 71164.67631578947 underlyingPrice: 72070.29267796311 close: 54.37 atm: 52.93513315093241 delta50: 53.172765140955036 deltaCall25: 55.23797706426304 deltaPut25: 52.258711235453426 delta25RrSkew: 2.9792658288096163 daysAgo: 0 - exchangeTimestamp: '2024-06-06 12:00:00.0' exchange: deribit instrument: DERIBIT_BTC_DVOL_INDEX currency: BTC indexPrice: 71158.46513157895 underlyingPrice: 72066.77844289514 close: 54.26 atm: 52.73245258295585 delta50: 52.91153814509892 deltaCall25: 54.437753047972116 deltaPut25: 52.31423199021567 delta25RrSkew: 2.1235210577564487 daysAgo: 0 - exchangeTimestamp: '2024-06-06 11:00:00.0' exchange: deribit instrument: DERIBIT_BTC_DVOL_INDEX currency: BTC indexPrice: 70995.26078947369 underlyingPrice: 71886.0726613873 close: 54.22 atm: 52.72682495035447 delta50: 52.843333071667374 deltaCall25: 54.51598575412658 deltaPut25: 52.429702737993075 delta25RrSkew: 2.086283016133507 daysAgo: 0 - exchangeTimestamp: '2024-06-06 10:00:00.0' exchange: deribit instrument: DERIBIT_BTC_DVOL_INDEX currency: BTC indexPrice: 70984.3569736842 underlyingPrice: 71858.46639831913 close: 54.42 atm: 52.8322947967893 delta50: 52.93831172675815 deltaCall25: 54.960893111757116 deltaPut25: 52.53978823598809 delta25RrSkew: 2.421104875769025 daysAgo: 0 - exchangeTimestamp: '2024-06-06 09:00:00.0' exchange: deribit instrument: DERIBIT_BTC_DVOL_INDEX currency: BTC indexPrice: 70924.06368421053 underlyingPrice: 71767.35366706343 close: 54.5 atm: 53.001041966737795 delta50: 53.12697739069145 deltaCall25: 55.14923407325927 deltaPut25: 52.70246052706958 delta25RrSkew: 2.4467735461896893 daysAgo: 0 - exchangeTimestamp: '2024-06-06 08:00:00.0' exchange: deribit instrument: DERIBIT_BTC_DVOL_INDEX currency: BTC indexPrice: 71026.84 underlyingPrice: 71906.49270059494 close: 54.49 atm: 52.9329612640609 delta50: 53.12541169275627 deltaCall25: 55.29681698268398 deltaPut25: 52.413425375306225 delta25RrSkew: 2.883391607377753 daysAgo: 0 - exchangeTimestamp: '2024-06-06 07:00:00.0' exchange: deribit instrument: DERIBIT_BTC_DVOL_INDEX currency: BTC indexPrice: 70902.30483333333 underlyingPrice: 71752.4955656904 close: 54.67 atm: 53.08188974686868 delta50: 53.25575324970096 deltaCall25: 55.217421072111975 deltaPut25: 52.722240860339376 delta25RrSkew: 2.495180211772599 daysAgo: 0 - exchangeTimestamp: '2024-06-06 06:00:00.0' exchange: deribit instrument: DERIBIT_BTC_DVOL_INDEX currency: BTC indexPrice: 70898.44 underlyingPrice: 71757.93781441746 close: 55.04 atm: 53.598200059652605 delta50: 53.7886762535623 deltaCall25: 55.70634252840137 deltaPut25: 53.25274655714243 delta25RrSkew: 2.4535959712589417 daysAgo: 0 - exchangeTimestamp: '2024-06-06 05:00:00.0' exchange: deribit instrument: DERIBIT_BTC_DVOL_INDEX currency: BTC indexPrice: 71066.32733333333 underlyingPrice: 71918.14497953827 close: 55.03 atm: 53.63457068741584 delta50: 53.83309517086581 deltaCall25: 55.627672947055224 deltaPut25: 53.257404554650144 delta25RrSkew: 2.3702683924050802 daysAgo: 0 - exchangeTimestamp: '2024-06-06 04:00:00.0' exchange: deribit instrument: DERIBIT_BTC_DVOL_INDEX currency: BTC indexPrice: 71068.16166666667 underlyingPrice: 71894.56757070626 close: 55.09 atm: 53.72015029950521 delta50: 53.90733383778383 deltaCall25: 55.99887272025997 deltaPut25: 53.1503270208576 delta25RrSkew: 2.848545699402365 daysAgo: 0 - exchangeTimestamp: '2024-06-06 03:00:00.0' exchange: deribit instrument: DERIBIT_BTC_DVOL_INDEX currency: BTC indexPrice: 71173.38233333334 underlyingPrice: 72029.09966284121 close: 55.3 atm: 53.967537997391844 delta50: 54.174395573944956 deltaCall25: 56.1118163353827 deltaPut25: 53.47254569798131 delta25RrSkew: 2.6392706374013883 daysAgo: 0 - exchangeTimestamp: '2024-06-06 02:00:00.0' exchange: deribit instrument: DERIBIT_BTC_DVOL_INDEX currency: BTC indexPrice: 71140.54816666667 underlyingPrice: 71992.71789138885 close: 55.36 atm: 53.85043370431609 delta50: 54.07247739905966 deltaCall25: 56.138735532553135 deltaPut25: 53.50301771649843 delta25RrSkew: 2.635717816054708 daysAgo: 0 - exchangeTimestamp: '2024-06-06 01:00:00.0' exchange: deribit instrument: DERIBIT_BTC_DVOL_INDEX currency: BTC indexPrice: 71026.21283333334 underlyingPrice: 71876.60197693041 close: 55.52 atm: 54.12098422741766 delta50: 54.368863372268386 deltaCall25: 56.526187794547276 deltaPut25: 53.522339075354196 delta25RrSkew: 3.00384871919308 daysAgo: 0 - exchangeTimestamp: '2024-06-06 00:00:00.0' exchange: deribit instrument: DERIBIT_BTC_DVOL_INDEX currency: BTC indexPrice: 71118.75666666667 underlyingPrice: 71975.70021577465 close: 55.64 atm: 54.07249057342441 delta50: 54.30455606587215 deltaCall25: 56.31610733763884 deltaPut25: 53.7084854358118 delta25RrSkew: 2.607621901827038 daysAgo: 0 - exchangeTimestamp: '2024-06-05 23:00:00.0' exchange: deribit instrument: DERIBIT_BTC_DVOL_INDEX currency: BTC indexPrice: 71154.62633333333 underlyingPrice: 72048.304821437 close: 55.82 atm: 54.29419242827043 delta50: 54.45745198936885 deltaCall25: 56.27758307903957 deltaPut25: 54.108429777844606 delta25RrSkew: 2.1691533011949673 daysAgo: 0 - exchangeTimestamp: '2024-06-05 22:00:00.0' exchange: deribit instrument: DERIBIT_BTC_DVOL_INDEX currency: BTC indexPrice: 71156.08216666666 underlyingPrice: 72045.374582141 close: 56.16 atm: 54.81246301578333 delta50: 54.97828170974095 deltaCall25: 56.79550490379206 deltaPut25: 54.44413386048209 delta25RrSkew: 2.3513710433099675 daysAgo: 0 - exchangeTimestamp: '2024-06-05 21:00:00.0' exchange: deribit instrument: DERIBIT_BTC_DVOL_INDEX currency: BTC indexPrice: 71212.97399999999 underlyingPrice: 72097.39678039736 close: 56.28 atm: 54.94573075050074 delta50: 55.18486513504689 deltaCall25: 57.35117215968467 deltaPut25: 54.36256606116892 delta25RrSkew: 2.9886060985157528 daysAgo: 0 - exchangeTimestamp: '2024-06-05 20:00:00.0' exchange: deribit instrument: DERIBIT_BTC_DVOL_INDEX currency: BTC indexPrice: 71309.9465 underlyingPrice: 72156.7070441139 close: 56.39 atm: 54.970876704619776 delta50: 55.2046408641653 deltaCall25: 57.20324761796363 deltaPut25: 54.74140363215486 delta25RrSkew: 2.461843985808777 daysAgo: 0 - exchangeTimestamp: '2024-06-05 19:00:00.0' exchange: deribit instrument: DERIBIT_BTC_DVOL_INDEX currency: BTC indexPrice: 71093.25466666667 underlyingPrice: 72002.53197370801 close: 56.26 atm: 55.08335782618 delta50: 55.330956178534784 deltaCall25: 57.55316565374264 deltaPut25: 54.350317611601 delta25RrSkew: 3.202848042141639 daysAgo: 1 - exchangeTimestamp: '2024-06-05 18:00:00.0' exchange: deribit instrument: DERIBIT_BTC_DVOL_INDEX currency: BTC indexPrice: 71642.4225 underlyingPrice: 72572.31286339424 close: 56.63 atm: 55.585083251379366 delta50: 55.83004823344287 deltaCall25: 57.80566120086786 deltaPut25: 54.80447103901212 delta25RrSkew: 3.001190161855739 daysAgo: 1 - exchangeTimestamp: '2024-06-05 17:00:00.0' exchange: deribit instrument: DERIBIT_BTC_DVOL_INDEX currency: BTC indexPrice: 71319.163 underlyingPrice: 72228.35193022514 close: 56.67 atm: 55.768841718112256 delta50: 56.05536656377461 deltaCall25: 58.02236449856287 deltaPut25: 54.92292351116763 delta25RrSkew: 3.0994409873952407 daysAgo: 1 - exchangeTimestamp: '2024-06-05 16:00:00.0' exchange: deribit instrument: DERIBIT_BTC_DVOL_INDEX currency: BTC indexPrice: 71605.79666666666 underlyingPrice: 72512.96521099427 close: 56.21 atm: 54.97759744236457 delta50: 55.23094249751539 deltaCall25: 57.26013726268294 deltaPut25: 54.380090746095405 delta25RrSkew: 2.8800465165875337 daysAgo: 1 - exchangeTimestamp: '2024-06-05 15:00:00.0' exchange: deribit instrument: DERIBIT_BTC_DVOL_INDEX currency: BTC indexPrice: 70882.53566666666 underlyingPrice: 71763.95365937233 close: 55.95 atm: 54.652055102615996 delta50: 54.86757901941423 deltaCall25: 57.002092499551104 deltaPut25: 54.04584155141366 delta25RrSkew: 2.956250948137445 daysAgo: 1 - exchangeTimestamp: '2024-06-05 14:00:00.0' exchange: deribit instrument: DERIBIT_BTC_DVOL_INDEX currency: BTC indexPrice: 70733.97516666666 underlyingPrice: 71584.58825913753 close: 55.74 atm: 54.48226136759716 delta50: 54.74012873530287 deltaCall25: 57.25799202519757 deltaPut25: 53.7777208838321 delta25RrSkew: 3.4802711413654634 daysAgo: 1 '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/volatility/index-delivery-price: get: summary: Index Delivery Price description: >- Returns the delivery price for futures and options instruments at expiration, providing the settlement price used to calculate profit and loss at contract expiry. operationId: derivatives-volatility-index-delivery-price parameters: - name: exchange in: query description: >- **[Required]** The exchange for which to retrieve the index delivery price. **[Examples]** `deribit` required: true schema: type: string default: deribit - name: instrument in: query description: >- **[Optional]** The instrument for which to retrieve the index delivery price. **[Examples]** `btc_usdc` required: false schema: type: string - name: currency in: query description: >- **[Optional]** The underlying currency for which to retrieve the index delivery price. **[Examples]** `BTC | ETH` required: false schema: type: string - name: startDate in: query description: >- **[Optional]** Payload only includes data after this date (inclusive). **[Formats]** `date` **[Examples]** `2026-04-30` schema: type: string format: date - name: endDate in: query description: >- **[Optional]** Payload only includes data before this date (exclusive). **[Formats]** `date` **[Examples]** `2026-04-30` schema: type: string format: date responses: '200': description: '200' content: application/json: schema: type: object properties: status: type: integer example: 200 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: deliveryDate: type: string example: '2026-04-30' description: >- The date on which the contract was delivered/settled exchange: type: string example: deribit description: The exchange where the delivery took place instrument: type: string example: btc_usdc description: >- The instrument identifier for the delivered contract currency: type: string example: BTC description: >- The underlying currency of the delivered contract deliveryPrice: type: number example: 76024.17 description: >- The settlement price used to calculate profit and loss at contract expiry examples: Result: value: status: 200 title: OK description: Successful request payload: data: - deliveryDate: '2026-04-30' exchange: deribit instrument: BTC-28MAR25 currency: BTC deliveryPrice: 76024.17 '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/volatility/variance-premium: get: summary: Volatility Index VRP (variance risk premium) description: >- This endpoint returns the Deribit "DVol" index, shifted to align with historical realized volatility. Since option implied volatility is pricing future realized volatility, this endpoint helps users measure the accuracy of such expectation. When the VRP (variance risk premium) is positive, implied volatility was higher than future realized volatility, meaning options were over priced. Vice versa when VRP was negative. The Deribit DVol index has 30-days to maturity and the measured realized volatility uses a 30-day calculation window. Realized volatility is measured using the high/low "Parkinson" volatility method. operationId: derivatives-volatility-index-variance-risk-premium parameters: - name: currency in: query description: >- **[Optional]** The underlying currency for which to retrieve the volatility index. **[Examples]** `BTC | SOL_USDC` Note: inverse options have underlying currencies formatted as (BTC, ETH) while linear option currency formats include the stable coin in the same (SOL_USDC) required: true schema: type: string default: BTC - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string responses: '200': description: '200' content: application/json: schema: type: object properties: status: type: integer example: 200 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: timestamp: type: integer example: 1656806400000 description: The timestamp of the data in milliseconds exchange: type: string example: deribit description: >- The exchange where the volatility index is calculated instrument: type: string example: btc description: >- The instrument identifier for the volatility index closeDvol: type: number example: 73.4 description: The closing value of the Deribit DVol index historicalVolatility30days: type: number example: 95.5 description: >- The 30-day historical realized volatility using Parkinson method vrp30: type: number example: -22 description: >- The 30-day variance risk premium (DVol - Historical Volatility) examples: Result: value: status: 200 title: OK description: Successful request payload: data: - timestamp: 1656806400000 exchange: deribit instrument: btc closeDvol: 73.4 historicalVolatility30days: 95.5 vrp30: -22 - timestamp: 1656892800000 exchange: deribit instrument: btc closeDvol: 71.4 historicalVolatility30days: 96.5 vrp30: -25 - timestamp: 1656979200000 exchange: deribit instrument: btc closeDvol: 71 historicalVolatility30days: 97.5 vrp30: -27 - timestamp: 1657065600000 exchange: deribit instrument: btc closeDvol: 72 historicalVolatility30days: 97.2 vrp30: -25 - timestamp: 1657152000000 exchange: deribit instrument: btc closeDvol: 68.5 historicalVolatility30days: 97.2 vrp30: -29 - timestamp: 1657238400000 exchange: deribit instrument: btc closeDvol: 71.5 historicalVolatility30days: 97.5 vrp30: -26 - timestamp: 1657324800000 exchange: deribit instrument: btc closeDvol: 71.7 historicalVolatility30days: 97.5 vrp30: -26 - timestamp: 1657411200000 exchange: deribit instrument: btc closeDvol: 72.6 historicalVolatility30days: 97.4 vrp30: -25 - timestamp: 1657497600000 exchange: deribit instrument: btc closeDvol: 72.6 historicalVolatility30days: 97.5 vrp30: -25 - timestamp: 1657584000000 exchange: deribit instrument: btc closeDvol: 75 historicalVolatility30days: 96.7 vrp30: -22 - timestamp: 1657670400000 exchange: deribit instrument: btc closeDvol: 94.3 historicalVolatility30days: 88.1 vrp30: 6 - timestamp: 1657756800000 exchange: deribit instrument: btc closeDvol: 106 historicalVolatility30days: 85.9 vrp30: 20 - timestamp: 1657843200000 exchange: deribit instrument: btc closeDvol: 103.1 historicalVolatility30days: 82.2 vrp30: 21 - timestamp: 1657929600000 exchange: deribit instrument: btc closeDvol: 89.2 historicalVolatility30days: 78.4 vrp30: 11 - timestamp: 1658016000000 exchange: deribit instrument: btc closeDvol: 119.7 historicalVolatility30days: 78.1 vrp30: 42 - timestamp: 1658102400000 exchange: deribit instrument: btc closeDvol: 108.7 historicalVolatility30days: 72.5 vrp30: 36 - timestamp: 1658275200000 exchange: deribit instrument: btc closeDvol: 110 historicalVolatility30days: 68.2 vrp30: 42 - timestamp: 1658188800000 exchange: deribit instrument: btc closeDvol: 115 historicalVolatility30days: 68.7 vrp30: 46 - timestamp: 1658361600000 exchange: deribit instrument: btc closeDvol: 99.3 historicalVolatility30days: 67.6 vrp30: 32 - timestamp: 1658448000000 exchange: deribit instrument: btc closeDvol: 98 historicalVolatility30days: 67.5 vrp30: 30 - timestamp: 1658534400000 exchange: deribit instrument: btc closeDvol: 99.8 historicalVolatility30days: 66.9 vrp30: 33 - timestamp: 1658620800000 exchange: deribit instrument: btc closeDvol: 91.5 historicalVolatility30days: 66.8 vrp30: 25 - timestamp: 1658707200000 exchange: deribit instrument: btc closeDvol: 90.7 historicalVolatility30days: 67.8 vrp30: 23 - timestamp: 1658793600000 exchange: deribit instrument: btc closeDvol: 86.7 historicalVolatility30days: 67.4 vrp30: 19 - timestamp: 1658966400000 exchange: deribit instrument: btc closeDvol: 89.1 historicalVolatility30days: 70.2 vrp30: 19 - timestamp: 1658880000000 exchange: deribit instrument: btc closeDvol: 90.3 historicalVolatility30days: 69.5 vrp30: 21 - timestamp: 1659052800000 exchange: deribit instrument: btc closeDvol: 87.5 historicalVolatility30days: 70.5 vrp30: 17 - timestamp: 1659225600000 exchange: deribit instrument: btc closeDvol: 94.1 historicalVolatility30days: 66.7 vrp30: 27 - timestamp: 1659139200000 exchange: deribit instrument: btc closeDvol: 91.4 historicalVolatility30days: 69.3 vrp30: 22 - timestamp: 1659312000000 exchange: deribit instrument: btc closeDvol: 93 historicalVolatility30days: 66.8 vrp30: 26 - timestamp: 1659398400000 exchange: deribit instrument: btc closeDvol: 92.2 historicalVolatility30days: 66.5 vrp30: 26 - timestamp: 1659484800000 exchange: deribit instrument: btc closeDvol: 92 historicalVolatility30days: 65.6 vrp30: 26 - timestamp: 1659571200000 exchange: deribit instrument: btc closeDvol: 87 historicalVolatility30days: 64.3 vrp30: 23 - timestamp: 1659657600000 exchange: deribit instrument: btc closeDvol: 86.1 historicalVolatility30days: 64.1 vrp30: 22 - timestamp: 1659744000000 exchange: deribit instrument: btc closeDvol: 82.3 historicalVolatility30days: 62.1 vrp30: 20 - timestamp: 1659830400000 exchange: deribit instrument: btc closeDvol: 81.4 historicalVolatility30days: 61 vrp30: 20 - timestamp: 1659916800000 exchange: deribit instrument: btc closeDvol: 78.4 historicalVolatility30days: 61.5 vrp30: 17 - timestamp: 1660003200000 exchange: deribit instrument: btc closeDvol: 73.6 historicalVolatility30days: 61.5 vrp30: 12 - timestamp: 1660089600000 exchange: deribit instrument: btc closeDvol: 75.9 historicalVolatility30days: 62.2 vrp30: 14 - timestamp: 1660176000000 exchange: deribit instrument: btc closeDvol: 80.5 historicalVolatility30days: 62.3 vrp30: 18 - timestamp: 1660262400000 exchange: deribit instrument: btc closeDvol: 85.8 historicalVolatility30days: 60.8 vrp30: 25 - timestamp: 1660348800000 exchange: deribit instrument: btc closeDvol: 80.9 historicalVolatility30days: 59.6 vrp30: 21 - timestamp: 1660521600000 exchange: deribit instrument: btc closeDvol: 78.7 historicalVolatility30days: 59.7 vrp30: 19 - timestamp: 1660435200000 exchange: deribit instrument: btc closeDvol: 81.3 historicalVolatility30days: 59.5 vrp30: 22 - timestamp: 1660608000000 exchange: deribit instrument: btc closeDvol: 82 historicalVolatility30days: 59.2 vrp30: 23 - timestamp: 1660694400000 exchange: deribit instrument: btc closeDvol: 81.3 historicalVolatility30days: 57.1 vrp30: 24 '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/volatility/volatility-of-volatility: get: summary: Volatility of Volatility (DVol Index) description: >- This endpoint returns the Deribit "DVol" index and the associated 30-day rolling volatility of that index. This is a good measure of the volatility of volatility. The volatility of volatility method is calculated using the close-to-close volatility. operationId: derivatives-volatility-index-volatility-of-volatility parameters: - name: currency in: query description: >- **[Optional]** The underlying currency for which to retrieve the volatility index. **[Examples]** `BTC | SOL_USDC` Note: inverse options have underlying currencies formatted as (BTC, ETH) while linear option currency formats include the stable coin in the same (SOL_USDC) required: true schema: type: string default: BTC - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string responses: '200': description: '200' content: application/json: schema: type: object properties: status: type: integer example: 200 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: timestamp: type: integer example: 1723507200000 description: The timestamp of the data in milliseconds closeDvol: type: number example: 57.47 description: The closing value of the Deribit DVol index volVol30: type: number example: 92.4 description: >- The 30-day rolling volatility of the DVol index (volatility of volatility) examples: Result: value: status: 200 title: OK description: Successful request payload: data: - timestamp: 1723507200000 closeDvol: 57.47 volVol30: 92.4 - timestamp: 1723420800000 closeDvol: 57.13 volVol30: 94.5 - timestamp: 1723334400000 closeDvol: 56.29 volVol30: 96.3 - timestamp: 1723248000000 closeDvol: 55.02 volVol30: 96.1 - timestamp: 1723161600000 closeDvol: 56.79 volVol30: 95.9 - timestamp: 1723075200000 closeDvol: 60.87 volVol30: 92.6 - timestamp: 1722988800000 closeDvol: 61.53 volVol30: 92.4 - timestamp: 1722902400000 closeDvol: 63.09 volVol30: 93.3 - timestamp: 1722816000000 closeDvol: 56.11 volVol30: 85.1 - timestamp: 1722729600000 closeDvol: 51.46 volVol30: 80.4 - timestamp: 1722643200000 closeDvol: 51.39 volVol30: 81.9 - timestamp: 1722556800000 closeDvol: 49.8 volVol30: 84.5 - timestamp: 1722470400000 closeDvol: 48.73 volVol30: 86.8 - timestamp: 1722384000000 closeDvol: 50.61 volVol30: 85.8 - timestamp: 1722297600000 closeDvol: 51.73 volVol30: 86.4 - timestamp: 1722211200000 closeDvol: 52.66 volVol30: 87.7 - timestamp: 1722124800000 closeDvol: 55.05 volVol30: 88.5 - timestamp: 1722038400000 closeDvol: 60.1 volVol30: 82.1 - timestamp: 1721952000000 closeDvol: 61.82 volVol30: 81.8 - timestamp: 1721865600000 closeDvol: 61.38 volVol30: 84.9 - timestamp: 1721779200000 closeDvol: 63.91 volVol30: 84.9 - timestamp: 1721692800000 closeDvol: 67.62 volVol30: 82 '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/volatility/metrics: get: summary: Volatility Metrics (24 hr) description: >- 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 days ago metrics) operationId: derivatives-volatility-metrics parameters: - name: exchange in: query description: >- **[Required]** The exchange for which to retrieve the listed option level 1 quotes. **[Examples]** ` deribit | okex | bybit` required: true schema: type: string default: deribit - name: currency in: query description: >- **[Required]** The underlying currency for which there are listed option instruments. **[Examples]** ` BTC | SOL_USDC ` Note: inverse options have underlying currencies formatted as (BTC, ETH) while linear option currency formats include the stable coin in the same (SOL_USDC) required: true schema: type: string default: BTC - name: daysBack in: query description: >- **[Options]** This parameter sets the comparison date for the volatility metrics. No input will default the comparison between now and the past 24hrs. Users can input days back beyond 24hrs, such as 7-days back, etc. schema: type: string format: date-time default: '3' - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string responses: '200': description: '200' content: application/json: schema: type: object properties: status: type: integer example: 200 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: exchange: type: string example: deribit description: The exchange where the options are traded currency: type: string example: BTC description: The underlying currency for the options expirationTimestamp: type: string example: '2024-06-07 08:00:00.0' description: >- The expiration date and time of the option contract daysToExpiration: type: number example: 1.4097222222222223 description: >- The number of days remaining until expiration (fractional) underlyingPrice: type: number example: 71283.96315789474 description: The current price of the underlying asset underlyingPriceChange: type: number example: 3376.3573766447516 description: >- The change in underlying price compared to the reference period riskReversal25: type: number example: -0.246372750488554 description: The 25% delta risk reversal (call25 - put25) riskReversal25Change: type: number example: 0.3563815067575433 description: >- The change in 25% delta risk reversal compared to the reference period riskReversal15: type: number example: -0.09598447215172001 description: The 15% delta risk reversal (call15 - put15) riskReversal15Change: type: number example: -0.22404059382481023 description: >- The change in 15% delta risk reversal compared to the reference period butterfly25: type: number example: 3.7045205302079864 description: >- The 25% delta butterfly spread (call25 + put25 - 2*atm) butterfly25Change: type: number example: 1.7633060997255683 description: >- The change in 25% delta butterfly spread compared to the reference period butterfly15: type: number example: 7.202441581399597 description: >- The 15% delta butterfly spread (call15 + put15 - 2*atm) butterfly15Change: type: number example: 3.1331810644171725 description: >- The change in 15% delta butterfly spread compared to the reference period examples: Result: value: status: 200 title: OK description: Successful request payload: data: - exchange: deribit currency: BTC expirationTimestamp: '2024-06-07 08:00:00.0' daysToExpiration: 1.4097222222222223 underlyingPrice: 71283.96315789474 underlyingPriceChange: 3376.3573766447516 riskReversal25: -0.246372750488554 riskReversal25Change: 0.3563815067575433 riskReversal15: -0.09598447215172001 riskReversal15Change: -0.22404059382481023 butterfly25: 3.7045205302079864 butterfly25Change: 1.7633060997255683 butterfly15: 7.202441581399597 butterfly15Change: 3.1331810644171725 - exchange: deribit currency: BTC expirationTimestamp: '2024-06-14 08:00:00.0' daysToExpiration: 8.409722222222221 underlyingPrice: 71516.3505 underlyingPriceChange: 3444.524499999985 riskReversal25: 3.4668567489501925 riskReversal25Change: 3.029039000257633 riskReversal15: 3.823499615920383 riskReversal15Change: 3.0471954083866066 butterfly25: 2.23726080626966 butterfly25Change: 0.8192011887496022 butterfly15: 5.317778394307069 butterfly15Change: 2.071371867277122 - exchange: deribit currency: BTC expirationTimestamp: '2024-06-21 08:00:00.0' daysToExpiration: 15.409722222222221 underlyingPrice: 71698.82983333334 underlyingPriceChange: 3451.890436781614 riskReversal25: 3.8164230259498026 riskReversal25Change: 2.809519245777416 riskReversal15: 4.329762306904499 riskReversal15Change: 3.676330815026162 butterfly25: 2.179458069472915 butterfly25Change: 1.2656943030230963 butterfly15: 4.935692663928833 butterfly15Change: 1.6721211780501193 - exchange: deribit currency: BTC expirationTimestamp: '2024-06-28 08:00:00.0' daysToExpiration: 22.40972222222222 underlyingPrice: 71880.89174242425 underlyingPriceChange: 3458.849318181834 riskReversal25: 2.293285136629599 riskReversal25Change: 1.5457039114865196 riskReversal15: 2.323263219887778 riskReversal15Change: 1.203763305298878 butterfly25: 1.530854187500168 butterfly25Change: 0.36627169362751033 butterfly15: 4.206666110954188 butterfly15Change: 0.8767361931781608 - exchange: deribit currency: BTC expirationTimestamp: '2024-07-26 08:00:00.0' daysToExpiration: 50.40972222222222 underlyingPrice: 72774.1196 underlyingPriceChange: 3600.3815999999933 riskReversal25: 2.7264614604212767 riskReversal25Change: 2.1184134905138734 riskReversal15: 3.470479839287229 riskReversal15Change: 2.745097994476197 butterfly25: 1.9759487165728444 butterfly25Change: 0.4140560058995675 butterfly15: 4.316004054252389 butterfly15Change: 0.1993619517501486 - exchange: deribit currency: BTC expirationTimestamp: '2024-08-30 08:00:00.0' daysToExpiration: 85.40972222222223 underlyingPrice: 73741.28076744187 underlyingPriceChange: 3640.760814941881 riskReversal25: 3.687587623549554 riskReversal25Change: 1.9713060246611889 riskReversal15: 4.615453190330008 riskReversal15Change: 1.6428355435221036 butterfly25: 2.3516729325571646 butterfly25Change: 0.7113833835658454 butterfly15: 4.554978727735147 butterfly15Change: 0.8522484347898569 - exchange: deribit currency: BTC expirationTimestamp: '2024-09-27 08:00:00.0' daysToExpiration: 113.40972222222223 underlyingPrice: 74515.15023076924 underlyingPriceChange: 3673.2935384615557 riskReversal25: 3.814727808259711 riskReversal25Change: 0.6517386126757003 riskReversal15: 5.249319212055909 riskReversal15Change: 0.010988698837756772 butterfly25: 2.525330801619475 butterfly25Change: 0.01820259915967881 butterfly15: 4.90785474112387 butterfly15Change: -0.4573204044563539 - exchange: deribit currency: BTC expirationTimestamp: '2024-12-27 08:00:00.0' daysToExpiration: 204.40972222222223 underlyingPrice: 77016.50951612902 underlyingPriceChange: 3857.385645161281 riskReversal25: 5.221996717156948 riskReversal25Change: 1.601301599291041 riskReversal15: 7.465910822909912 riskReversal15Change: 2.0293546484934453 butterfly25: 3.3519181615132823 butterfly25Change: -0.6112320518508909 butterfly15: 5.602146120905417 butterfly15Change: -0.5768651490093077 - exchange: deribit currency: BTC expirationTimestamp: '2025-03-28 08:00:00.0' daysToExpiration: 295.40972222222223 underlyingPrice: 79327.298125 underlyingPriceChange: 4074.202291666661 riskReversal25: 5.460199250748275 riskReversal25Change: 1.2529280066827084 riskReversal15: 7.697929291244478 riskReversal15Change: 1.688653918489564 butterfly25: 3.7752032129429267 butterfly25Change: 0.36651114091668546 butterfly15: 6.012933253439144 butterfly15Change: 0.3426408855064551 '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/volatility/svi-hourly: get: summary: SVI - Historical description: > This endpoint provides calibrated SVI (Stochastic Volatility Inspired) parameters for BTC and ETH options traded on Deribit, with hourly granularity. The data covers each hour from April 1, 2019, to the present, offering a historical view of volatility surface calibrations for these assets. Download the SVI White Paper here: https://go.amberdata.io/hubfs/SVITrueLineWhitepaper.pdf operationId: derivatives-svi-historical parameters: - name: exchange in: query description: | **[Required]** The exchange for which SVI calibration occurs. **[Examples]** ` deribit ` required: true schema: type: string default: deribit - name: currency in: query description: > **[Required]** The underlying currency for which there are listed option instruments. **[Examples]** ` BTC | ETH ` required: true schema: type: string default: BTC - name: startDate in: query description: >- **[Options]** This parameter sets the starting date of historical data to be pulled. schema: type: string format: date-time default: '2024-10-03T00:00:00.000Z' - name: endDate in: query description: >- **[Options]** This parameter sets the ending date of historical data to be pulled. schema: type: string format: date-time default: '2024-10-04T00:00:00.000Z' - name: timeInterval in: query description: > **[Optional]** Time interval of data frequency for the selected date range. **[Examples]** hour | day` schema: type: string default: hour - name: sviFormat in: query description: >- **[Optional]** This parameter can be either blank (default) or "TAU" which returns the SVI parameters and days to expiration as a decimal to years. schema: type: string - name: timeFormat in: query description: > **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string default: hr responses: '200': description: '200' content: application/json: examples: Result: value: status: 200 title: OK description: Successful request payload: data: - currency: BTC daysToExpiration: 0.981726 expirationTimestamp: '2024-10-04' forwardDifference: 23.761719 indexPrice: 60633.29 sviA: -0.0036135927428977404 sviB: 0.03935472975957192 sviM: 0.049948912 sviRho: 0.28880113 sviSigma: 0.11719716 timestamp: 2024-10-03 00:00:00 000 - currency: BTC daysToExpiration: 7.981726 expirationTimestamp: '2024-11-08' forwardDifference: 443.0625 indexPrice: 60633.29 sviA: -0.04308736417038395 sviB: 0.1421164341760755 sviM: -0.14133328 sviRho: -0.28546438 sviSigma: 0.5484994 timestamp: 2024-10-03 00:00:00 000 - currency: BTC daysToExpiration: 48.981726 expirationTimestamp: '2024-11-29' forwardDifference: 715.03125 indexPrice: 60633.29 sviA: -0.012232022257476834 sviB: 0.15892159610618226 sviM: -0.27807012 sviRho: -0.488882 sviSigma: 0.44427034 timestamp: 2024-10-03 00:00:00 000 - currency: BTC daysToExpiration: 87.981726 expirationTimestamp: '2024-12-27' forwardDifference: 1088.4492 indexPrice: 60633.29 sviA: -0.4301923736169705 sviB: 0.363443476918354 sviM: -0.52641076 sviRho: -0.3564624 sviSigma: 1.4864652 timestamp: 2024-10-03 00:00:00 000 - currency: BTC daysToExpiration: 197.981726 expirationTimestamp: '2025-03-28' forwardDifference: 2243.4102 indexPrice: 60633.29 sviA: -2.6838196813543718 sviB: 1.43548647335823 sviM: -2.571555 sviRho: -0.6810587 sviSigma: 2.7066078 timestamp: 2024-10-03 00:00:00 000 - currency: BTC daysToExpiration: 267.981726 expirationTimestamp: '2025-06-27' forwardDifference: 3603.3594 indexPrice: 60633.29 sviA: -0.5035042204544481 sviB: 0.39831238488045967 sviM: -0.19830601 sviRho: -0.07523702 sviSigma: 1.9166467 timestamp: 2024-10-03 00:00:00 000 - currency: BTC daysToExpiration: 357.981726 expirationTimestamp: '2025-09-26' forwardDifference: 5230.3594 indexPrice: 60633.29 sviA: 0.16905168861103947 sviB: 0.2443234348610282 sviM: -0.6533904 sviRho: -0.4180356 sviSigma: 0.82554317 timestamp: 2024-10-03 00:00:00 000 metadata: api-version: '2023-09-30' schema: type: object properties: status: type: integer example: 200 default: 0 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: currency: type: string example: BTC daysToExpiration: type: number example: 0.0036438357 default: 0 expirationTimestamp: type: string example: '2024-10-04' forwardDifference: type: number example: 23.761719 default: 0 indexPrice: type: number example: 60633.29 default: 0 sviA: type: number example: -0.0036135927428977404 default: 0 sviB: type: number example: 0.03935472975957192 default: 0 sviM: type: number example: 0.049948912 default: 0 sviRho: type: number example: 0.28880113 default: 0 sviSigma: type: number example: 0.11719716 default: 0 timestamp: type: string example: 2024-10-03 00:00:00 000 metadata: type: object properties: api-version: type: string example: '2023-09-30' '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/volatility/svi-minutely: get: summary: SVI - Minutely description: > This endpoint provides calibrated SVI (Stochastic Volatility Inspired) parameters for BTC and ETH options traded on Deribit, with 5-minute granularity. Offering a timely calibration view of the volatility surface. Download the SVI White Paper here: https://go.amberdata.io/hubfs/SVITrueLineWhitepaper.pdf operationId: derivatives-svi-minutely parameters: - name: currency in: query description: > **[Required]** The underlying currency for which there are listed option instruments. **[Examples]** ` BTC | ETH ` required: true schema: type: string default: BTC - name: signature in: query description: >- **[Optional]** This parameter allows for users to get a verifiable signature using the ECDSA format. schema: type: string - name: timeFormat in: query description: > **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string default: hr - name: sviFormat in: query description: >- **[Optional]** This parameter can be either blank (default) or "TAU" which returns the SVI parameters and days to expiration as a decimal to years. schema: type: string - name: startDate in: query description: > **[Optional]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string - name: endDate in: query description: > **[Optional]** Payload only includes data before this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string responses: '200': description: '200' content: application/json: examples: Result: value: status: 200 title: OK description: Successful request payload: data: - currency: BTC expirationTimestamp: '2024-11-24' forwardDifference: 65.421875 indexPrice: 98756.9609375 sviA: -5.639107704162598 sviB: 39.75821304321289 sviM: -0.20742395520210266 sviRho: -0.6995736956596375 sviSigma: 0.20480555295944214 timestamp: 1732316400000 - currency: BTC expirationTimestamp: '2024-11-25' forwardDifference: 109.2265625 indexPrice: 98756.9609375 sviA: -0.4821126163005829 sviB: 7.483584880828857 sviM: -0.062279004603624344 sviRho: -0.4358375370502472 sviSigma: 0.10142073780298233 timestamp: 1732316400000 - currency: BTC expirationTimestamp: '2024-11-29' forwardDifference: 316.265625 indexPrice: 98756.9609375 sviA: -1.972853422164917 sviB: 6.577316761016846 sviM: -0.05279833450913429 sviRho: -0.13853329420089722 sviSigma: 0.3499053418636322 timestamp: 1732316400000 - currency: BTC expirationTimestamp: '2024-12-06' forwardDifference: 587.265625 indexPrice: 98756.9609375 sviA: -0.7132072448730469 sviB: 3.2979183197021484 sviM: -0.14550690352916718 sviRho: -0.33262351155281067 sviSigma: 0.334104061126709 timestamp: 1732316400000 - currency: BTC expirationTimestamp: '2024-12-13' forwardDifference: 849.109375 indexPrice: 98756.9609375 sviA: -0.1729683130979538 sviB: 1.868891954421997 sviM: -0.12346512824296951 sviRho: -0.2985169291496277 sviSigma: 0.2825409173965454 timestamp: 1732316400000 - currency: BTC expirationTimestamp: '2024-12-27' forwardDifference: 1407.21875 indexPrice: 98756.9609375 sviA: -0.30817434191703796 sviB: 1.7326325178146362 sviM: -0.16202467679977417 sviRho: -0.30857881903648376 sviSigma: 0.38235053420066833 timestamp: 1732316400000 - currency: BTC expirationTimestamp: '2025-01-31' forwardDifference: 2644.7265625 indexPrice: 98756.9609375 sviA: -0.23033219575881958 sviB: 1.160969614982605 sviM: -0.31949517130851746 sviRho: -0.41125980019569397 sviSigma: 0.5577496886253357 timestamp: 1732316400000 - currency: BTC expirationTimestamp: '2025-03-28' forwardDifference: 4616.6015625 indexPrice: 98756.9609375 sviA: -0.1914905309677124 sviB: 0.7794833779335022 sviM: -0.32258641719818115 sviRho: -0.2921357750892639 sviSigma: 0.739845871925354 timestamp: 1732316400000 - currency: BTC expirationTimestamp: '2025-06-27' forwardDifference: 7726.859375 indexPrice: 98756.9609375 sviA: -0.14289656281471252 sviB: 0.5620532631874084 sviM: -0.4507488012313843 sviRho: -0.3076874911785126 sviSigma: 0.9575263261795044 timestamp: 1732316400000 - currency: BTC expirationTimestamp: '2025-09-26' forwardDifference: 10416.2421875 indexPrice: 98756.9609375 sviA: 0.09907551109790802 sviB: 0.35495826601982117 sviM: -0.4934375286102295 sviRho: -0.33383607864379883 sviSigma: 0.7994546294212341 timestamp: 1732316400000 metadata: api-version: '2023-09-30' schema: type: object properties: status: type: integer example: 200 default: 0 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: currency: type: string example: BTC expirationTimestamp: type: string example: '2024-11-24' forwardDifference: type: number example: 65.421875 default: 0 indexPrice: type: number example: 98756.9609375 default: 0 sviA: type: number example: -5.639107704162598 default: 0 sviB: type: number example: 39.75821304321289 default: 0 sviM: type: number example: -0.20742395520210266 default: 0 sviRho: type: number example: -0.6995736956596375 default: 0 sviSigma: type: number example: 0.20480555295944214 default: 0 timestamp: type: integer example: 1732316400000 default: 0 metadata: type: object properties: api-version: type: string example: '2023-09-30' '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/trades-flow/block-volumes: get: summary: Block Volumes description: > This endpoint returns the total block traded options volume for a selected exchange and a selected underlying currency. The volume is broken out by instruments for 3rd party "blockTrades" (venues such as Paradigm, GreeksLive, etc). operationId: derivatives-trades-flow-block-volumes parameters: - name: exchange in: query description: > **[Required]** The exchange for which to retrieve the listed option level 1 quotes. **[Examples]** `deribit | okex | bybit` required: true schema: type: string default: deribit - name: currency in: query description: > **[Required]** The underlying currency for which there are listed option instruments. **[Examples]** `BTC | SOL_USDC` Note: inverse options have underlying currencies formatted as (BTC, ETH) while linear option currency formats include the stable coin in the same (SOL_USDC) required: true schema: type: string default: BTC - name: startDate in: query description: > **[Required]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` required: true schema: type: string format: date-time default: '2024-05-21' - name: endDate in: query description: > **[Required]** Payload only includes data before this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` required: true schema: type: string default: '2024-06-01' - name: timeFormat in: query description: > **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string responses: '200': description: Successful request content: application/json: schema: type: object properties: status: type: integer example: 200 default: 0 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: exchange: type: string example: deribit currency: type: string example: BTC expirationTimestamp: type: integer example: 1717142400000 default: 0 strike: type: integer example: 63000 default: 0 putCall: type: string example: C contractVolume: type: number example: 19.7 default: 0 premiumVolume: type: number example: 107198.425665 default: 0 metadata: type: object properties: api-version: type: string example: '2023-09-30' examples: success_response: summary: Successful block volumes response value: status: 200 title: OK description: Successful request payload: data: - exchange: deribit currency: BTC expirationTimestamp: 1717142400000 strike: 63000 putCall: C contractVolume: 19.7 premiumVolume: 107198.425665 - exchange: deribit currency: BTC expirationTimestamp: 1717142400000 strike: 70500 putCall: P contractVolume: 12.5 premiumVolume: 28250.494175 - exchange: deribit currency: BTC expirationTimestamp: 1717315200000 strike: 66500 putCall: C contractVolume: 12.6 premiumVolume: 17001.496270647003 metadata: api-version: '2023-09-30' '400': description: Bad request content: application/json: schema: type: object properties: {} examples: error_response: summary: Bad request example value: {} deprecated: false security: - ApiKeyAuth: [] /analytics/trades-flow/decorated-trades: get: summary: Decorated Trades description: > This endpoint returns option "times and sales" data that's decorated with pre-trade level-1 orderbook data and post-trade level-1 data. This is the core dataset of the Amberdata direction and GEX "Gamma Exposure" analysis. We use this orderbook impact to analyze the true aggressor of every trade, while assuming that market-makers (aka "dealers") are typically the passive trade participants. Some exchanges, such as "okex" and "bybit" will have volatility values in decimal format (ex: 97% iv will be noted as 0.97) operationId: derivatives-trades-flow-decorated-trades parameters: - name: exchange in: query description: > **[Required]** The exchange for which to retrieve the listed option level 1 quotes. **[Examples]** `deribit | okex | bybit` required: true schema: type: string default: deribit - name: currency in: query description: > **[Required]** The underlying currency for which there are listed option instruments. **[Examples]** `BTC | SOL_USDC` Note: inverse options have underlying currencies formatted as (BTC, ETH) while linear option currency formats include the stable coin in the same (SOL_USDC) required: true schema: type: string default: BTC - name: expiration in: query description: > **[Optional]** Filter records based on the specified expiration date. **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string format: date-time - name: instrument in: query description: > **[Optional]** Users can pass a single instrument in order to retrieve trade data for only the specified instrument. **[Examples]** `BTC-26APR24-100000-C` schema: type: string - name: putCall in: query description: | **[Optional]** The option type **[Examples]** `C | P` schema: type: string - name: startDate in: query description: > **[Optional]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string format: date-time default: '2024-05-01T00:00:00' - name: endDate in: query description: > **[Optional]** Payload only includes data before this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string format: date-time default: '2024-05-01T01:00:00' - name: strike in: query description: > **[Optional]** The option instrument subset with a given strike price. **[Examples]** `100000 | 3500` schema: type: integer format: int32 - name: timeFormat in: query description: > **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string - name: blockTradeId in: query description: > **[Optional]** This flag enables users to filter for only blockTrade or non-blockTrades. If the user wants everything returned they can choose to leave the parameter blank. schema: type: boolean - name: Accept-Encoding in: header schema: type: string default: gzip responses: '200': description: Successful request content: application/json: schema: type: object properties: status: type: integer example: 200 default: 0 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: exchange: type: string example: deribit preTradeOrderbookTimestamp: type: integer example: 1716161307196 exchangeTimestamp: type: integer example: 1716161308175 postTradeOrderbookTimestamp: type: integer example: 1716161308179 tradeId: type: string example: '302085048' instrument: type: string example: BTC-24MAY24-68000-C instrumentNormalized: type: string example: DERIBIT-BTC-24MAY24-68000.0-C currency: type: string example: BTC expirationTimestamp: type: integer example: 1716537600000 strike: type: integer example: 68000 putCall: type: string example: C blockTradeId: type: string nullable: true example: null numberOfLegs: type: integer example: 0 liquidation: type: string nullable: true example: null tickDirection: type: string example: Minus Tick tradeAmount: type: number example: 0.3 tradeIv: type: number example: 49.55 price: type: number example: 0.0115 priceUsd: type: number example: 762.697135 indexPrice: type: number example: 66242.94 underlyingPrice: type: number example: 66321.49 volume24h: type: number example: 46 priceHigh24h: type: number example: 0.02 priceLow24h: type: number example: 0.012 preTradeBidVolume: type: number example: 21.1 preTradeBidIv: type: number example: 48.29 preTradeBidPrice: type: number example: 0.011 preTradeMidIv: type: number example: 48.92 preTradeMidPrice: type: number example: 0.01125 preTradeMarkIv: type: number example: 49.2 preTradeMarkPrice: type: number example: 0.0114 preTradeAskVolume: type: number example: 0.3 preTradeAskIv: type: number example: 49.55 preTradeAskPrice: type: number example: 0.0115 postTradeBidVolume: type: number example: 0.7 postTradeBidIv: type: number example: 49.55 postTradeBidPrice: type: number example: 0.0115 postTradeMidIv: type: number example: 50.18 postTradeMidPrice: type: number example: 0.01175 postTradeMarkIv: type: number example: 49.2 postTradeMarkPrice: type: number example: 0.0114 postTradeAskVolume: type: number example: 63.7 postTradeAskIv: type: number example: 50.81 postTradeAskPrice: type: number example: 0.012 delta: type: number example: 0.33062 gamma: type: number example: 0.0001 theta: type: number example: -148.29166 vega: type: number example: 26.257 rho: type: number example: 2.52671 preTradeOpenInterest: type: number example: 541.1 postTradeOpenInterest: type: number example: 541.1 openInterestChange: type: number example: 0 examples: success_response: summary: Successful decorated trades response value: status: 200 title: OK description: Successful request payload: data: - exchange: deribit preTradeOrderbookTimestamp: 1716161307196 exchangeTimestamp: 1716161308175 postTradeOrderbookTimestamp: 1716161308179 tradeId: '302085048' instrument: BTC-24MAY24-68000-C instrumentNormalized: DERIBIT-BTC-24MAY24-68000.0-C currency: BTC expirationTimestamp: 1716537600000 strike: 68000 putCall: C blockTradeId: null numberOfLegs: 0 liquidation: null tickDirection: Minus Tick tradeAmount: 0.3 tradeIv: 49.55 price: 0.0115 priceUsd: 762.697135 indexPrice: 66242.94 underlyingPrice: 66321.49 volume24h: 46 priceHigh24h: 0.02 priceLow24h: 0.012 preTradeBidVolume: 21.1 preTradeBidIv: 48.29 preTradeBidPrice: 0.011 preTradeMidIv: 48.92 preTradeMidPrice: 0.01125 preTradeMarkIv: 49.2 preTradeMarkPrice: 0.0114 preTradeAskVolume: 0.3 preTradeAskIv: 49.55 preTradeAskPrice: 0.0115 postTradeBidVolume: 0.7 postTradeBidIv: 49.55 postTradeBidPrice: 0.0115 postTradeMidIv: 50.18 postTradeMidPrice: 0.01175 postTradeMarkIv: 49.2 postTradeMarkPrice: 0.0114 postTradeAskVolume: 63.7 postTradeAskIv: 50.81 postTradeAskPrice: 0.012 delta: 0.33062 gamma: 0.0001 theta: -148.29166 vega: 26.257 rho: 2.52671 preTradeOpenInterest: 541.1 postTradeOpenInterest: 541.1 openInterestChange: 0 '400': description: Bad request content: application/json: schema: type: object properties: {} examples: error_response: summary: Bad request example value: {} deprecated: false security: - ApiKeyAuth: [] /analytics/instruments/most-traded: get: summary: Instruments Most Traded description: > This endpoint returns the most traded instruments on a selected exchange for a selected underlying currency, for a given date range. Users can filter out select trade types: "ALL" trades, "Block" trades and "Non-Block" trades. operationId: derivatives-trades-flow-instruments-most-traded parameters: - name: exchange in: query description: > **[Required]** The exchange for which to retrieve the listed option level 1 quotes. **[Examples]** `deribit | okex | bybit` required: true schema: type: string default: deribit - name: currency in: query description: > **[Required]** The underlying currency for which there are listed option instruments. **[Examples]** `BTC | SOL_USDC` Note: inverse options have underlying currencies formatted as (BTC, ETH) while linear option currency formats include the stable coin in the same (SOL_USDC) required: true schema: type: string default: BTC - name: startDate in: query description: > **[Required]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string format: date-time default: '2024-06-01' - name: endDate in: query description: > **[Required]** Payload only includes data before this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string default: '2024-06-03' - name: timeFormat in: query description: > **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string - name: blockTradeId in: query description: > **[Optional]** This flag enables users to filter for only blockTrade or non-blockTrades. If the user wants everything returned they can choose to leave the parameter blank. schema: type: boolean responses: '200': description: Successful request content: application/json: schema: type: object properties: status: type: integer example: 200 default: 0 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: currency: type: string example: BTC instrument: type: string example: BTC-7JUN24-72000-C contractVolume: type: number example: 227.89999999999915 default: 0 metadata: type: object properties: api-version: type: string example: '2023-09-30' examples: success_response: summary: Most traded instruments response value: status: 200 title: OK description: Successful request payload: data: - currency: BTC instrument: BTC-7JUN24-72000-C contractVolume: 227.89999999999915 - currency: BTC instrument: BTC-14JUN24-73000-C contractVolume: 221.09999999999997 - currency: BTC instrument: BTC-28JUN24-80000-C contractVolume: 177.6999999999998 - currency: BTC instrument: BTC-7JUN24-70000-C contractVolume: 174.5 - currency: BTC instrument: BTC-7JUN24-68000-C contractVolume: 174.29999999999984 - currency: BTC instrument: BTC-3JUN24-69500-C contractVolume: 152.20000000000002 - currency: BTC instrument: BTC-7JUN24-71000-C contractVolume: 151.59999999999985 - currency: BTC instrument: BTC-28JUN24-60000-P contractVolume: 142.89999999999995 - currency: BTC instrument: BTC-28JUN24-85000-C contractVolume: 135.9 - currency: BTC instrument: BTC-28JUN24-68000-P contractVolume: 131.99999999999994 metadata: api-version: '2023-09-30' '400': description: Bad request content: application/json: schema: type: object properties: {} examples: error_response: summary: Bad request example value: {} deprecated: false security: - ApiKeyAuth: [] /analytics/trades-flow/gamma-exposures/normalized-usd: get: summary: Gamma Normalized in USD description: > This chart depicts the overall impact of "gamma exposure" (GEX) in terms of notional in the underlying for a 1% move in spot prices. operationId: derivatives-trades-flow-gamma-normalized-usd parameters: - name: exchange in: query description: > **[Required]** The exchange for which to retrieve the listed option level 1 quotes. **[Examples]** `deribit | okex | bybit` required: true schema: type: string default: deribit - name: currency in: query description: > **[Required]** The underlying currency for which there are listed option instruments. **[Examples]** `BTC | SOL_USDC` Note: inverse options have underlying currencies formatted as (BTC, ETH) while linear option currency formats include the stable coin in the same (SOL_USDC) required: true schema: type: string default: BTC - name: timeFormat in: query description: > **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string responses: '200': description: Successful request content: application/json: schema: type: object properties: status: type: integer example: 200 default: 0 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: exchange: type: string example: deribit currency: type: string example: BTC snapshotTimestamp: type: integer example: 1717617600000 normalizedGammaNative: type: number example: -22.07765550775552 normalizedGammaUSD: type: number example: -1536496.8118206968 metadata: type: object properties: api-version: type: string example: '2023-09-30' examples: success_response: summary: Gamma normalized USD response value: status: 200 title: OK description: Successful request payload: data: - exchange: deribit currency: BTC snapshotTimestamp: 1717617600000 normalizedGammaNative: -22.07765550775552 normalizedGammaUSD: -1536496.8118206968 - exchange: deribit currency: BTC snapshotTimestamp: 1717614000000 normalizedGammaNative: 37.33809977769953 normalizedGammaUSD: 2599346.918318157 - exchange: deribit currency: BTC snapshotTimestamp: 1717610400000 normalizedGammaNative: 67.15288052508603 normalizedGammaUSD: 4675586.288582318 - exchange: deribit currency: BTC snapshotTimestamp: 1717606800000 normalizedGammaNative: 28.4745839134447 normalizedGammaUSD: 1982449.319461716 - exchange: deribit currency: BTC snapshotTimestamp: 1717603200000 normalizedGammaNative: 51.763541274933594 normalizedGammaUSD: 3601382.0583224255 metadata: api-version: '2023-09-30' '400': description: Bad request content: application/json: schema: type: object properties: {} examples: error_response: summary: Bad request example value: {} deprecated: false security: - ApiKeyAuth: [] /analytics/trades-flow/gamma-exposures-snapshots: get: summary: Gamma Snapshots (GEX) description: > GEX aims to calculate the gamma exposure of Market Makers (MMs) and the resulting number of underlying contracts they must trade to keep their book delta-hedged. "Positive/long gamma" => more underlying stability because of "Buy low, sell high" "Negative/short gamma" => more underlying volatility because of "Sell low, buy high" Starting point is the direction of trades with our proprietary algorithm "AMBERDATA DIRECTION" composed of over 30 heuristics that estimate the "correct direction" = side of the initiator/aggressor of the trade at which other side there is "likely" a MMs. With this algorithm we are able to flag every trades by tracking the orderbook at millisecond level, to calculate and maintain a database of MMs gamma exposure operationId: derivatives-trades-flow-gamma-gex-snapshots parameters: - name: exchange in: query description: > **[Required]** The exchange for which to retrieve the GEX. **[Examples]** `deribit | bybit | okex` required: true schema: type: string default: deribit - name: currency in: query description: > **[Required]** The underlying pair for which to retrieve the volatility cone. **[Examples]** `BTC | SOL_USDC` required: true schema: type: string default: BTC - name: startDate in: query description: > **[Optional]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string format: date-time default: '2024-01-01' - name: endDate in: query description: > **[Optional]** Payload only includes data before this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string format: date-time default: '2024-01-02' - name: timeFormat in: query description: > **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string responses: '200': description: Successful request content: application/json: schema: type: object properties: status: type: integer example: 200 default: 0 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: exchange: type: string example: deribit currency: type: string example: BTC snapshotTimestamp: type: integer example: 1717704000000 expirationTimestamp: type: integer example: 1717747200000 instrumentNormalized: type: string example: DERIBIT-BTC-07JUN24-52000.0-P putCall: type: string example: P dealerNetInventory: type: number example: 100.00000000000006 dealerTotalInventory: type: number example: 429.2 gammaLevel: type: number example: 0 indexPrice: type: number example: 70998.39 metadata: type: object properties: api-version: type: string example: '2023-09-30' examples: success_response: summary: Gamma snapshots (GEX) response value: status: 200 title: OK description: Successful request payload: data: - exchange: deribit currency: BTC snapshotTimestamp: 1717704000000 expirationTimestamp: 1717747200000 instrumentNormalized: DERIBIT-BTC-07JUN24-52000.0-P putCall: P dealerNetInventory: 100.00000000000006 dealerTotalInventory: 429.2 gammaLevel: 0 indexPrice: 70998.39 - exchange: deribit currency: BTC snapshotTimestamp: 1717704000000 expirationTimestamp: 1717747200000 instrumentNormalized: DERIBIT-BTC-07JUN24-54000.0-C putCall: C dealerNetInventory: 0 dealerTotalInventory: 0.1 gammaLevel: 0.0000010000000000000002 indexPrice: 68890.88 - exchange: deribit currency: BTC snapshotTimestamp: 1717704000000 expirationTimestamp: 1717747200000 instrumentNormalized: DERIBIT-BTC-07JUN24-54000.0-P putCall: P dealerNetInventory: -163.6 dealerTotalInventory: -214.9 gammaLevel: 0 indexPrice: 70849.39 - exchange: deribit currency: BTC snapshotTimestamp: 1717704000000 expirationTimestamp: 1717747200000 instrumentNormalized: DERIBIT-BTC-07JUN24-56000.0-P putCall: P dealerNetInventory: -148.19999999999993 dealerTotalInventory: -386.5 gammaLevel: 0 indexPrice: 70009.41 - exchange: deribit currency: BTC snapshotTimestamp: 1717704000000 expirationTimestamp: 1717747200000 instrumentNormalized: DERIBIT-BTC-07JUN24-58000.0-C putCall: C dealerNetInventory: 0 dealerTotalInventory: 0.2 gammaLevel: 0.0000020000000000000003 indexPrice: 68729.86 - exchange: deribit currency: BTC snapshotTimestamp: 1717704000000 expirationTimestamp: 1717747200000 instrumentNormalized: DERIBIT-BTC-07JUN24-58000.0-P putCall: P dealerNetInventory: 78.70000000000005 dealerTotalInventory: 123.3 gammaLevel: 0 indexPrice: 70698.95 metadata: api-version: '2023-09-30' '400': description: Bad request content: application/json: schema: type: object properties: {} examples: error_response: summary: Bad request example value: {} deprecated: false security: - ApiKeyAuth: [] /analytics/trades-flow/options-yields: get: summary: Options Yields description: > The "Covered Call" strategy assumes the trader is long exactly one unit of underlying asset after proceeds from selling their call. Example: Underlying price = \$500, Trader position in underlying before selling the call = \$475 Short \$700 call proceeds = \$25 Trader positioning in underlying after short call proceeds = \$500 (one whole unit) RETURN CALCULATIONS Absolute Yield: \$25/\$475 Annualized Yield: \$25/\$475 * (525,600 / minutes left until expiration) The "Cash Secured Put" yield assumes the trader maintains enough cash on hand AFTER proceeds from selling the put. Example: Trader's cash position BEFORE selling put = \$275 Short \$300 Put Proceeds = \$25 Trader cash balance AFTER short put proceeds = \$300 (100% cash secured) RETURN CALCULATIONS Absolute Yield: \$25/\$275 Annualized Yield: \$25/\$275 * (525,600 / minutes left until expiration) operationId: derivatives-trades-flow-options-yields parameters: - name: exchange in: query description: > **[Required]** The exchange for which to retrieve the listed option level 1 quotes. **[Examples]** `deribit | okex | bybit` required: true schema: type: string default: deribit - name: currency in: query description: > **[Required]** The underlying currency for which there are listed option instruments. **[Examples]** `BTC | SOL_USDC` Note: inverse options have underlying currencies formatted as (BTC, ETH) while linear option currency formats include the stable coin in the same (SOL_USDC) required: true schema: type: string default: BTC - name: timestamp in: query description: > **[Optional]** Payload only includes data for this timestamp. **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2024-04-03` schema: type: string - name: timeFormat in: query description: > **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string responses: '200': description: Successful request content: application/json: schema: type: object properties: status: type: integer example: 200 default: 0 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: timestamp: type: integer example: 1717708620000 instrumentNormalized: type: string example: DERIBIT-BTC-28MAR25-300000.0-C expirationTimestamp: type: integer example: 1743148800000 strike: type: integer example: 300000 putCall: type: string example: C indexPrice: type: number example: 70766.43 markPrice: type: number example: 0.0137 yieldStrategy: type: string example: coveredCall annualization: type: number example: 1.2396138706565756 absoluteYield: type: number example: 0.013890297069857043 annualizedYield: type: number example: 0.01721860491533518 metadata: type: object properties: api-version: type: string example: '2023-09-30' examples: success_response: summary: Options yields response value: status: 200 title: OK description: Successful request payload: data: - timestamp: 1717708620000 instrumentNormalized: DERIBIT-BTC-28MAR25-300000.0-C expirationTimestamp: 1743148800000 strike: 300000 putCall: C indexPrice: 70766.43 markPrice: 0.0137 yieldStrategy: coveredCall annualization: 1.2396138706565756 absoluteYield: 0.013890297069857043 annualizedYield: 0.01721860491533518 - timestamp: 1717708620000 instrumentNormalized: DERIBIT-BTC-28MAR25-250000.0-C expirationTimestamp: 1743148800000 strike: 250000 putCall: C indexPrice: 70766.43 markPrice: 0.02 yieldStrategy: coveredCall annualization: 1.2396138706565756 absoluteYield: 0.020408163265306124 annualizedYield: 0.025298242258297462 - timestamp: 1717708620000 instrumentNormalized: DERIBIT-BTC-28MAR25-220000.0-C expirationTimestamp: 1743148800000 strike: 220000 putCall: C indexPrice: 70766.82 markPrice: 0.0278 yieldStrategy: coveredCall annualization: 1.2396138706565756 absoluteYield: 0.028594939312898582 annualizedYield: 0.03544668340285209 - timestamp: 1717708620000 instrumentNormalized: DERIBIT-BTC-28MAR25-200000.0-C expirationTimestamp: 1743148800000 strike: 200000 putCall: C indexPrice: 70766.82 markPrice: 0.0361 yieldStrategy: coveredCall annualization: 1.2396138706565756 absoluteYield: 0.037452017844174706 annualizedYield: 0.046426040803716546 - timestamp: 1717708620000 instrumentNormalized: DERIBIT-BTC-28MAR25-180000.0-C expirationTimestamp: 1743148800000 strike: 180000 putCall: C indexPrice: 70766.82 markPrice: 0.0449 yieldStrategy: coveredCall annualization: 1.2396138706565756 absoluteYield: 0.04701078421107738 annualizedYield: 0.05827522017849466 - timestamp: 1717708620000 instrumentNormalized: DERIBIT-BTC-28MAR25-160000.0-C expirationTimestamp: 1743148800000 strike: 160000 putCall: C indexPrice: 70766.82 markPrice: 0.0585 yieldStrategy: coveredCall annualization: 1.2396138706565756 absoluteYield: 0.06213489113117366 annualizedYield: 0.07702327289793912 - timestamp: 1717708620000 instrumentNormalized: DERIBIT-BTC-28MAR25-150000.0-C expirationTimestamp: 1743148800000 strike: 150000 putCall: C indexPrice: 70766.43 markPrice: 0.0677 yieldStrategy: coveredCall annualization: 1.2396138706565756 absoluteYield: 0.07261611069398262 annualizedYield: 0.09001593804939415 - timestamp: 1717708620000 instrumentNormalized: DERIBIT-BTC-28MAR25-140000.0-C expirationTimestamp: 1743148800000 strike: 140000 putCall: C indexPrice: 70766.82 markPrice: 0.0791 yieldStrategy: coveredCall annualization: 1.2396138706565756 absoluteYield: 0.08589423390161798 annualizedYield: 0.10647568375386592 metadata: api-version: '2023-09-30' '400': description: Bad request content: application/json: schema: type: object properties: {} examples: error_response: summary: Bad request example value: {} deprecated: false security: - ApiKeyAuth: [] /analytics/trades-flow/put-call-distribution: get: summary: Put Call Trades Distribution description: > Using proprietary algorithm (Amberdata direction) that assess real initiator of a trade, we sum by the amounts of contracts and premium of the last 24 hours (default) according to put/call/bought/sold metrics. operationId: derivatives-trades-flow-put-call-trades-distribution parameters: - name: exchange in: query description: > **[Required]** The exchange for which to retrieve the listed option level 1 quotes. **[Examples]** `deribit | okex | bybit` required: true schema: type: string default: deribit - name: currency in: query description: > **[Required]** The underlying currency for which there are listed option instruments. **[Examples]** `BTC | SOL_USDC` Note: inverse options have underlying currencies formatted as (BTC, ETH) while linear option currency formats include the stable coin in the same (SOL_USDC) required: true schema: type: string default: BTC - name: startDate in: query description: > **[Optional]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string format: date-time default: '2024-05-21' - name: endDate in: query description: > **[Required]** Payload only includes data before this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string default: '2024-06-01' - name: strike in: query description: > **[Optional]** The option instrument subset with a given strike price. **[Examples]** `100000 | 3500` schema: type: integer format: int32 - name: expirationTimestamp in: query description: > **[Optional]** The option instrument subset with a given expiration date. schema: type: string - name: blockTradeId in: query description: > **[Optional]** This flag enables users to filter for only blockTrade or non-blockTrades. If the user wants everything returned they can choose to leave the parameter blank. schema: type: boolean - name: timeFormat in: query description: > **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string responses: '200': description: Successful request content: application/json: schema: type: object properties: status: type: integer example: 200 default: 0 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: callsContractsBought: type: number example: 57457.100000000115 putContractsBought: type: number example: 40470.70000000006 callsContractsSold: type: number example: 57535.10000000011 putContractsSold: type: number example: 35622.60000000012 callsPremiumBought: type: number example: 106471710.98494382 putPremiumBought: type: number example: 45180478.74917743 callsPremiumSold: type: number example: 104654076.88302676 putPremiumSold: type: number example: 44623690.99527128 callsContractsBoughtExchangeDirection: type: number example: 55601.00000000013 putContractsBoughtExchangeDirection: type: number example: 39594.80000000007 callsContractsSoldExchangeDirection: type: number example: 59251.20000000009 putContractsSoldExchangeDirection: type: number example: 36498.5000000001 callsPremiumBoughtExchangeDirection: type: number example: 93552496.91739166 putPremiumBoughtExchangeDirection: type: number example: 48017408.59515418 callsPremiumSoldExchangeDirection: type: number example: 116283502.4950176 putPremiumSoldExchangeDirection: type: number example: 41786761.14929454 metadata: type: object properties: api-version: type: string example: '2023-09-30' examples: success_response: summary: Put call trades distribution response value: status: 200 title: OK description: Successful request payload: data: - callsContractsBought: 57457.100000000115 putContractsBought: 40470.70000000006 callsContractsSold: 57535.10000000011 putContractsSold: 35622.60000000012 callsPremiumBought: 106471710.98494382 putPremiumBought: 45180478.74917743 callsPremiumSold: 104654076.88302676 putPremiumSold: 44623690.99527128 callsContractsBoughtExchangeDirection: 55601.00000000013 putContractsBoughtExchangeDirection: 39594.80000000007 callsContractsSoldExchangeDirection: 59251.20000000009 putContractsSoldExchangeDirection: 36498.5000000001 callsPremiumBoughtExchangeDirection: 93552496.91739166 putPremiumBoughtExchangeDirection: 48017408.59515418 callsPremiumSoldExchangeDirection: 116283502.4950176 putPremiumSoldExchangeDirection: 41786761.14929454 metadata: api-version: '2023-09-30' '400': description: Bad request content: application/json: schema: type: object properties: {} examples: error_response: summary: Bad request example value: {} deprecated: false security: - ApiKeyAuth: [] /analytics/trades-flow/put-call-ratio: get: summary: Put Call Ratio description: > This endpoint returns the Put Call Ratio for open interest and volume. The users can request the data in daily or hourly granularity. operationId: derivatives-trades-flow-put-call-ratio parameters: - name: exchange in: query description: > **[Optional]** The exchange for which to retrieve the listed option level 1 quotes. **[Examples]** `deribit | okex | bybit` schema: type: string default: deribit - name: currency in: query description: > **[Required]** The underlying currency for which there are listed option instruments. **[Examples]** `BTC | SOL_USDC` Note: inverse options have underlying currencies formatted as (BTC, ETH) while linear option currency formats include the stable coin in the same (SOL_USDC) required: true schema: type: string default: BTC - name: startDate in: query description: > **[Optional]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string format: date-time default: '2024-05-21' - name: endDate in: query description: > **[Required]** Payload only includes data before this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string default: '2024-06-01' - name: timeInterval in: query description: > **[Optional]** This controls the granularity of the data. The user can input hour or day. schema: type: string default: day - name: timeFormat in: query description: > **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string responses: '200': description: Successful request content: application/json: schema: type: object properties: status: type: integer example: 200 default: 0 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: currency: type: string example: BTC exchange: type: string example: deribit putCallRatioOpenInterest: type: number example: 0.57 putCallRatioVolume24hr: type: number example: 0.57 timestamp: type: integer example: 1732233600000 metadata: type: object properties: api-version: type: string example: '2023-09-30' examples: success_response: summary: Put call ratio response value: status: 200 title: OK description: Successful request payload: data: - currency: BTC exchange: deribit putCallRatioOpenInterest: 0.57 putCallRatioVolume24hr: 0.57 timestamp: 1732233600000 - currency: BTC exchange: deribit putCallRatioOpenInterest: 0.55 putCallRatioVolume24hr: 0.55 timestamp: 1732147200000 - currency: BTC exchange: deribit putCallRatioOpenInterest: 0.55 putCallRatioVolume24hr: 0.55 timestamp: 1732060800000 - currency: BTC exchange: deribit putCallRatioOpenInterest: 0.54 putCallRatioVolume24hr: 0.54 timestamp: 1731974400000 - currency: BTC exchange: deribit putCallRatioOpenInterest: 0.53 putCallRatioVolume24hr: 0.53 timestamp: 1731888000000 - currency: BTC exchange: deribit putCallRatioOpenInterest: 0.53 putCallRatioVolume24hr: 0.53 timestamp: 1731801600000 - currency: BTC exchange: deribit putCallRatioOpenInterest: 0.53 putCallRatioVolume24hr: 0.53 timestamp: 1731715200000 - currency: BTC exchange: deribit putCallRatioOpenInterest: 0.55 putCallRatioVolume24hr: 0.55 timestamp: 1731628800000 - currency: BTC exchange: deribit putCallRatioOpenInterest: 0.55 putCallRatioVolume24hr: 0.55 timestamp: 1731542400000 - currency: BTC exchange: deribit putCallRatioOpenInterest: 0.54 putCallRatioVolume24hr: 0.54 timestamp: 1731456000000 - currency: BTC exchange: deribit putCallRatioOpenInterest: 0.52 putCallRatioVolume24hr: 0.52 timestamp: 1731369600000 - currency: BTC exchange: deribit putCallRatioOpenInterest: 0.49 putCallRatioVolume24hr: 0.49 timestamp: 1731283200000 - currency: BTC exchange: deribit putCallRatioOpenInterest: 0.49 putCallRatioVolume24hr: 0.49 timestamp: 1731196800000 - currency: BTC exchange: deribit putCallRatioOpenInterest: 0.49 putCallRatioVolume24hr: 0.49 timestamp: 1731110400000 - currency: BTC exchange: deribit putCallRatioOpenInterest: 0.51 putCallRatioVolume24hr: 0.51 timestamp: 1731024000000 - currency: BTC exchange: deribit putCallRatioOpenInterest: 0.5 putCallRatioVolume24hr: 0.5 timestamp: 1730937600000 - currency: BTC exchange: deribit putCallRatioOpenInterest: 0.5 putCallRatioVolume24hr: 0.5 timestamp: 1730851200000 - currency: BTC exchange: deribit putCallRatioOpenInterest: 0.49 putCallRatioVolume24hr: 0.49 timestamp: 1730764800000 - currency: BTC exchange: deribit putCallRatioOpenInterest: 0.48 putCallRatioVolume24hr: 0.48 timestamp: 1730678400000 - currency: BTC exchange: deribit putCallRatioOpenInterest: 0.48 putCallRatioVolume24hr: 0.48 timestamp: 1730592000000 metadata: api-version: '2023-09-30' '400': description: Bad request content: application/json: schema: type: object properties: {} examples: error_response: summary: Bad request example value: {} deprecated: false security: - ApiKeyAuth: [] /analytics/options-scanner/top-trades: get: summary: Top Trades description: > This endpoint contains all the relevant information about the most important trades both on screen and blocked. Besides the usual information this endpoint have some proprietary nuances that helps market watchers to read the flow deeply. Among the others: - "Amberdata Direction" is the metrics we developed for gauging the real initiator of a trade - "Delta Hedge" highlight is a block trade contained a futures leg - The information of the orderbook prior to the trade ("pre" columns) and post ("post" columns) operationId: derivatives-trades-flow-top-trades parameters: - name: exchange in: query description: > **[Required]** The exchange for which to retrieve the listed option level 1 quotes. **[Examples]** `deribit | okex | bybit` required: true schema: type: string default: deribit - name: currency in: query description: > **[Required]** The underlying currency for which there are listed option instruments. **[Examples]** `BTC | SOL_USDC` Note: inverse options have underlying currencies formatted as (BTC, ETH) while linear option currency formats include the stable coin in the same (SOL_USDC) required: true schema: type: string default: BTC - name: startDate in: query description: > **[Required]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` required: true schema: type: string format: date-time default: '2024-05-21' - name: endDate in: query description: > **[Required]** Payload only includes data before this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` required: true schema: type: string default: '2024-05-22' - name: timeFormat in: query description: > **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string responses: '200': description: Successful request content: application/json: schema: type: object properties: status: type: integer example: 200 default: 0 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: exchange: type: string example: deribit currency: type: string example: BTC exchangeTimestamp: type: integer example: 1717199992528 indexPrice: type: number example: 67481.38 instrument: type: string example: BTC-7JUN24-71000-C exchangeDirection: type: string example: buy amberdataDirection: type: string example: sell blockTradeId: type: string nullable: true example: null numberOfLegs: type: integer example: 0 tradeAmount: type: number example: 0.1 blockAmount: type: number nullable: true example: null tradeIv: type: number example: 43.04 price: type: number example: 0.0065 priceUsd: type: number example: 440.034985 openInterestChange: type: number example: 0 sizeUSD: type: number example: 44.003498500000006 sizeDelta: type: number example: 0.021013000000000004 sizeVega: type: number example: 2.5712 sizeGamma: type: number example: 0.000007 sizeTheta: type: number example: -8.781606 hedgeInstrument: type: string nullable: true example: null hedgeIsBuySide: type: boolean nullable: true example: null hedgePrice: type: number nullable: true example: null hedgeVolume: type: number nullable: true example: null metadata: type: object properties: api-version: type: string example: '2023-09-30' examples: success_response: summary: Top trades response value: status: 200 title: OK description: Successful request payload: data: - exchange: deribit currency: BTC exchangeTimestamp: 1717199992528 indexPrice: 67481.38 instrument: BTC-7JUN24-71000-C exchangeDirection: buy amberdataDirection: sell blockTradeId: null numberOfLegs: 0 tradeAmount: 0.1 blockAmount: null tradeIv: 43.04 price: 0.0065 priceUsd: 440.034985 openInterestChange: 0 sizeUSD: 44.003498500000006 sizeDelta: 0.021013000000000004 sizeVega: 2.5712 sizeGamma: 0.000007 sizeTheta: -8.781606 hedgeInstrument: null hedgeIsBuySide: null hedgePrice: null hedgeVolume: null - exchange: deribit currency: BTC exchangeTimestamp: 1717199915036 indexPrice: 67493.38 instrument: BTC-7JUN24-67000-P exchangeDirection: sell amberdataDirection: sell blockTradeId: null numberOfLegs: 0 tradeAmount: 0.1 blockAmount: null tradeIv: 42.71 price: 0.0175 priceUsd: 1184.8509750000003 openInterestChange: 0 sizeUSD: 118.48509750000004 sizeDelta: -0.041572 sizeVega: 3.4785719999999998 sizeGamma: 0.00001 sizeTheta: -11.875451 hedgeInstrument: null hedgeIsBuySide: null hedgePrice: null hedgeVolume: null - exchange: deribit currency: BTC exchangeTimestamp: 1717199908178 indexPrice: 67493.66 instrument: BTC-7JUN24-67000-P exchangeDirection: sell amberdataDirection: sell blockTradeId: null numberOfLegs: 0 tradeAmount: 0.1 blockAmount: null tradeIv: 42.71 price: 0.0175 priceUsd: 1184.852725 openInterestChange: 0 sizeUSD: 118.48527250000001 sizeDelta: -0.04159 sizeVega: 3.478832 sizeGamma: 0.00001 sizeTheta: -11.876933000000001 hedgeInstrument: null hedgeIsBuySide: null hedgePrice: null hedgeVolume: null metadata: api-version: '2023-09-30' '400': description: Bad request content: application/json: schema: type: object properties: {} examples: error_response: summary: Bad request example value: {} deprecated: false security: - ApiKeyAuth: [] /analytics/trades-flow/volume-aggregates: get: summary: Volume Aggregates description: > This endpoint returns the total traded options volume for a selected exchange and a selected underlying currency. The volume is broken out between onScreen exchange volume and 3rd party "blockTrades" (venues such as Paradigm, GreeksLive, etc). operationId: derivatives-trades-flow-volume-aggregates parameters: - name: exchange in: query description: > **[Required]** The exchange for which to retrieve the listed option level 1 quotes. **[Examples]** `deribit | okex | bybit` required: true schema: type: string default: deribit - name: currency in: query description: > **[Required]** The underlying currency for which there are listed option instruments. **[Examples]** `BTC | SOL_USDC` Note: inverse options have underlying currencies formatted as (BTC, ETH) while linear option currency formats include the stable coin in the same (SOL_USDC) required: true schema: type: string default: BTC - name: startDate in: query description: > **[Required]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string format: date-time default: '2024-05-01' - name: endDate in: query description: > **[Required]** Payload only includes data before this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string default: '2024-06-01' - name: timeFormat in: query description: > **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string - name: timeInterval in: query description: > **[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. schema: type: string format: date-time default: day responses: '200': description: Successful request content: application/json: schema: type: object properties: status: type: integer example: 200 default: 0 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: exchange: type: string example: deribit timestamp: type: integer example: 1717113600000 default: 0 contractVolumeOnScreen: type: number example: 18020.000000001124 default: 0 contractVolumeBlocked: type: number nullable: true example: 4805.299999999999 default: 0 premiumVolumeOnScreen: type: number example: 24463251.4272535 default: 0 premiumVolumeBlocked: type: number nullable: true example: 7279345.375989518 default: 0 notionalVolumeOnScreen: type: number example: 1156076646.825998 default: 0 notionalVolumeBlocked: type: number nullable: true example: 327335374.31899995 default: 0 metadata: type: object properties: api-version: type: string example: '2023-09-30' examples: success_response: summary: Volume aggregates response value: status: 200 title: OK description: Successful request payload: data: - exchange: deribit timestamp: 1717113600000 contractVolumeOnScreen: 18020.000000001124 contractVolumeBlocked: 4805.299999999999 premiumVolumeOnScreen: 24463251.4272535 premiumVolumeBlocked: 7279345.375989518 notionalVolumeOnScreen: 1156076646.825998 notionalVolumeBlocked: 327335374.31899995 - exchange: deribit timestamp: 1717027200000 contractVolumeOnScreen: 14836.800000001345 contractVolumeBlocked: 1677.3999999999999 premiumVolumeOnScreen: 15749101.83974984 premiumVolumeBlocked: 4908066.143592475 notionalVolumeOnScreen: 965885949.2049989 notionalVolumeBlocked: 113988701.38700002 - exchange: deribit timestamp: 1716940800000 contractVolumeOnScreen: 10243.100000000715 contractVolumeBlocked: 3138.3 premiumVolumeOnScreen: 13337437.762414567 premiumVolumeBlocked: 4510112.76299053 notionalVolumeOnScreen: 665883664.0270016 notionalVolumeBlocked: 210890733.54199994 - exchange: deribit timestamp: 1716854400000 contractVolumeOnScreen: 16130.000000000893 contractVolumeBlocked: 8721 premiumVolumeOnScreen: 20640327.29439798 premiumVolumeBlocked: 16526672.188646553 notionalVolumeOnScreen: 1088804974.1790001 notionalVolumeBlocked: 594070338.02 - exchange: deribit timestamp: 1716768000000 contractVolumeOnScreen: 10891.900000000349 contractVolumeBlocked: 1991 premiumVolumeOnScreen: 12863570.644137159 premiumVolumeBlocked: 4928760.321323949 notionalVolumeOnScreen: 753262995.8699989 notionalVolumeBlocked: 138808621.38 metadata: api-version: '2023-09-30' '400': description: Bad request content: application/json: schema: type: object properties: {} examples: error_response: summary: Bad request example value: {} deprecated: false security: - ApiKeyAuth: [] /analytics/instruments/information/tradfi: get: summary: Options Instruments description: > This endpoint returns all available exchanges, currencies and option instruments. If a timestamp is used we can then filter the information for historical data. USA Trading hours are 14:30:00 - 21:00:00 UTC (9:30a-4pm ET) operationId: tradfi-information-instruments parameters: - name: currency in: query description: > **[Optional]** The underlying currency ticker for which there are listed option instruments. **[Examples]** `IBIT | COIN` schema: type: string default: IBIT - name: expiration in: query description: > **[Optional]** Filter records based on the specified expiration date. **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string format: date-time - name: timestamp in: query description: > **[Optional]** A select historical timestamp for which a list of option instruments were active at the time. **[Examples]** `2024-11-20T00:00:00.000Z` Supported Formats: milliseconds | ms* | iso | iso8601 | hr | human_readable schema: type: string format: date-time - name: timeFormat in: query description: > **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string responses: '200': description: Successful request content: application/json: schema: type: object properties: status: type: integer example: 200 default: 0 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: currency: type: string example: IBIT endDate: type: integer example: 1732035000000 exchange: type: string example: tradfi expiration: type: integer example: 1734652800000 instrument: type: string example: TRADFI-IBIT-20DEC24-100-C multiplier: type: integer example: 100 nativeInstrument: type: string example: IBIT-20DEC24-100-C putCall: type: string example: C strike: type: integer example: 100 metadata: type: object properties: api-version: type: string example: '2023-09-30' examples: success_response: summary: TradFi options instruments response value: status: 200 title: OK description: Successful request payload: data: - currency: IBIT endDate: 1732035000000 exchange: tradfi expiration: 1734652800000 instrument: TRADFI-IBIT-20DEC24-100-C multiplier: 100 nativeInstrument: IBIT-20DEC24-100-C putCall: C strike: 100 - currency: IBIT endDate: 1732035000000 exchange: tradfi expiration: 1734652800000 instrument: TRADFI-IBIT-20DEC24-100-P multiplier: 100 nativeInstrument: IBIT-20DEC24-100-P putCall: P strike: 100 - currency: IBIT endDate: 1732035000000 exchange: tradfi expiration: 1734652800000 instrument: TRADFI-IBIT-20DEC24-30-C multiplier: 100 nativeInstrument: IBIT-20DEC24-30-C putCall: C strike: 30 - currency: IBIT endDate: 1732035000000 exchange: tradfi expiration: 1734652800000 instrument: TRADFI-IBIT-20DEC24-30-P multiplier: 100 nativeInstrument: IBIT-20DEC24-30-P putCall: P strike: 30 - currency: IBIT endDate: 1732035000000 exchange: tradfi expiration: 1734652800000 instrument: TRADFI-IBIT-20DEC24-31-C multiplier: 100 nativeInstrument: IBIT-20DEC24-31-C putCall: C strike: 31 - currency: IBIT endDate: 1732035000000 exchange: tradfi expiration: 1734652800000 instrument: TRADFI-IBIT-20DEC24-31-P multiplier: 100 nativeInstrument: IBIT-20DEC24-31-P putCall: P strike: 31 metadata: api-version: '2023-09-30' '400': description: Bad request content: application/json: schema: type: object properties: {} examples: error_response: summary: Bad request example value: {} deprecated: false security: - ApiKeyAuth: [] /analytics/realized-volatility/tradfi: get: summary: Realized Volatility (Close-to-Close) description: > This endpoint returns the entire series of close-to-close realized volatility and OHLCV prices for a selected currency (ticker). Note the realized volatility calculation window must have enough data points to return a value. operationId: tradfi-realized-volatility-close-to-close parameters: - name: currency in: query description: > **[Required]** The underlying currency for which there are listed option instruments. **[Examples]** `IBIT | COIN` required: true schema: type: string default: COIN - name: timeFormat in: query description: > **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string responses: '200': description: Successful request content: application/json: schema: type: object properties: status: type: integer example: 200 default: 0 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: close: type: number example: 13.5 currency: type: string example: MSTR high: type: number example: 13.619999885559082 low: type: number example: 13.25 open: type: number example: 13.5 realizedVolatility10Days: type: number example: 42.55053906580126 realizedVolatility21Days: type: number example: 51.9967697271548 realizedVolatility5Days: type: number example: 49.02341214788099 realizedVolatility42Days: type: number nullable: true example: 59.10540350631803 timestamp: type: string example: 1999-02-10 00:00:00 000 volume: type: integer example: 3439800 metadata: type: object properties: api-version: type: string example: '2023-09-30' examples: success_response: summary: TradFi realized volatility response value: status: 200 title: OK description: Successful request payload: data: - close: 13.5 currency: MSTR high: 13.619999885559082 low: 13.25 open: 13.5 realizedVolatility10Days: 42.55053906580126 realizedVolatility21Days: 51.9967697271548 realizedVolatility5Days: 49.02341214788099 timestamp: 1999-02-10 00:00:00 000 volume: 3439800 - close: 13.3100004196167 currency: MSTR high: 13.5 low: 13.3100004196167 open: 13.4399995803833 realizedVolatility10Days: 41.483069149771744 realizedVolatility21Days: 50.17283788982283 realizedVolatility5Days: 40.3459431943934 timestamp: 1999-02-11 00:00:00 000 volume: 730800 - close: 13.25 currency: MSTR high: 13.380000114440918 low: 13.25 open: 13.3100004196167 realizedVolatility10Days: 41.521601365651016 realizedVolatility21Days: 49.544735477502634 realizedVolatility5Days: 40.88781320744789 timestamp: 1999-02-12 00:00:00 000 volume: 257200 - close: 12.5 currency: MSTR high: 13.279999732971191 low: 12.380000114440918 open: 13.25 realizedVolatility10Days: 44.40531771996131 realizedVolatility21Days: 52.10288651269471 realizedVolatility42Days: 59.10540350631803 realizedVolatility5Days: 46.20215332819742 timestamp: 1999-02-16 00:00:00 000 volume: 598800 - close: 12.470000267028809 currency: MSTR high: 12.5600004196167 low: 12.380000114440918 open: 12.5 realizedVolatility10Days: 44.34909983902889 realizedVolatility21Days: 51.94373239262857 realizedVolatility42Days: 58.08950322443194 realizedVolatility5Days: 34.29863422875761 timestamp: 1999-02-17 00:00:00 000 volume: 346000 metadata: api-version: '2023-09-30' '400': description: Bad request content: application/json: schema: type: object properties: {} examples: error_response: summary: Bad request example value: {} deprecated: false security: - ApiKeyAuth: [] /analytics/realized-volatility/cones/tradfi: get: summary: Volatility Cones description: > The endpoint returns the percentile distribution of realized volatility for a specific spot trading pair. We can see the RV distribution for multiple measurement windows compared to the end date. operationId: tradfi-realized-volatility-cones parameters: - name: currency in: query description: > **[Required]** The underlying currency for which there are listed option instruments. **[Examples]** `IBIT | COIN` required: true schema: type: string default: COIN - name: startDate in: query description: > **[Optional]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string format: date-time default: '2024-01-01' - name: endDate in: query description: > **[Optional]** Payload only includes data before this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string format: date-time default: '2024-11-01' - name: timeFormat in: query description: > **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string responses: '200': description: Successful request content: application/json: schema: type: object properties: status: type: integer example: 200 default: 0 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: current_10days: type: number example: 188.59100441153967 current_189days: type: number example: 86.58315755127511 current_21days: type: number example: 138.18121201307443 current_5days: type: number example: 177.94536809019925 current_84days: type: number example: 93.83723862596857 exchange: type: string example: tradfi max_10days: type: number example: 188.59100441153967 max_189days: type: number example: 86.76388935216092 max_21days: type: number example: 140.3676474329399 max_5days: type: number example: 225.93675129920987 max_84days: type: number example: 93.94244338085745 min_10days: type: number example: 24.71124747847173 min_189days: type: number example: 71.31319001610387 min_21days: type: number example: 47.55385962174648 min_5days: type: number example: 12.664887422213141 min_84days: type: number example: 60.73489458144765 p25_10days: type: number example: 63.068268972451435 p25_189days: type: number example: 73.98652169371746 p25_21days: type: number example: 67.40309577779034 p25_5days: type: number example: 58.235148096095095 p25_84days: type: number example: 69.5842893029508 p50_10days: type: number example: 77.48942438611766 p50_189days: type: number example: 75.05077112473491 p50_21days: type: number example: 76.56004436195146 p50_5days: type: number example: 74.69020857542536 p50_84days: type: number example: 74.26986502630952 p75_10days: type: number example: 86.78839740397001 p75_189days: type: number example: 76.92083508135832 p75_21days: type: number example: 84.42278362853486 p75_5days: type: number example: 96.37097855158274 p75_84days: type: number example: 83.5450669521583 pair: type: string example: COIN metadata: type: object properties: api-version: type: string example: '2023-09-30' examples: success_response: summary: TradFi volatility cones response value: status: 200 title: OK description: Successful request payload: data: - current_10days: 188.59100441153967 current_189days: 86.58315755127511 current_21days: 138.18121201307443 current_5days: 177.94536809019925 current_84days: 93.83723862596857 exchange: tradfi max_10days: 188.59100441153967 max_189days: 86.76388935216092 max_21days: 140.3676474329399 max_5days: 225.93675129920987 max_84days: 93.94244338085745 min_10days: 24.71124747847173 min_189days: 71.31319001610387 min_21days: 47.55385962174648 min_5days: 12.664887422213141 min_84days: 60.73489458144765 p25_10days: 63.068268972451435 p25_189days: 73.98652169371746 p25_21days: 67.40309577779034 p25_5days: 58.235148096095095 p25_84days: 69.5842893029508 p50_10days: 77.48942438611766 p50_189days: 75.05077112473491 p50_21days: 76.56004436195146 p50_5days: 74.69020857542536 p50_84days: 74.26986502630952 p75_10days: 86.78839740397001 p75_189days: 76.92083508135832 p75_21days: 84.42278362853486 p75_5days: 96.37097855158274 p75_84days: 83.5450669521583 pair: COIN metadata: api-version: '2023-09-30' '400': description: Bad request content: application/json: schema: type: object properties: {} examples: error_response: summary: Bad request example value: {} deprecated: false security: - ApiKeyAuth: [] /analytics/volatility/level-1-quotes/tradfi: get: summary: Level 1 Quotes description: >- This endpoint returns the "Level 1" option chain with associated volatilities, greeks and underlying prices. This is the core underlying options data for many analytics.\n\nNote: Due to the density of data historical date ranges are limited to 60x 1-minute or 24x 1 hour intervals, per call. If no date range is passed, the most recent option chain will be returned. USA Trading hours are 14:30:00 - 21:00:00 UTC (9:30a-4pm ET) operationId: tradfi-volatility-level-1-quotes parameters: - name: currency in: query description: > **[Required]** The underlying currency for which there are listed option instruments. **[Examples]** ` IBIT | COIN ` required: true schema: type: string default: IBIT - name: instrument in: query description: >- **[Optional]** Users can pass a single instrument in order to retrieve a time series of data for it. **[Examples]** ` IBIT-20DEC24-50-C` required: false schema: type: string - name: isAtm in: query description: >- **[Optional]** Users can pass an isAtm flag in order to return only ATM (at-the-money) options **[Examples]** `TRUE | FALSE` required: false schema: type: boolean - name: startDate in: query description: >- **[Optional]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` required: false schema: type: string format: date-time - name: endDate in: query description: >- **[Optional]** Payload only includes data before this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` required: false schema: type: string format: date-time - name: expiration in: query description: >- **[Optional]** The option instrument subset with a given expiration date. **[Examples]** ` 2027-01-15` required: false schema: type: string - name: strike in: query description: >- **[Optional]** The option instrument subset with a given strike price. **[Examples]** ` 50 | 100 ` required: false schema: type: integer format: int32 - name: putCall in: query description: >- **[Optional]** The option instrument subset that's either a call (C) or put (P). **[Examples]** ` P | C ` required: false schema: type: string - name: timeInterval in: query required: false description: >- **[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. schema: type: string - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string default: hr - name: minStrike in: query required: false description: |- **[Optional]** The option with strikes at or above the minStrike. **[Examples]** ` 50 | 100 ` schema: type: integer - name: maxStrike in: query required: false description: |- **[Optional]** The option with strikes at or below the maxStrike. **[Examples]** ` 50 | 100 ` schema: type: integer - name: minDaysToExpiration in: query required: false description: >- **[Optional]** The option with days to expiration at or above the minDaysToExpiration. **[Examples]** ` 50 | 100 ` schema: type: integer - name: maxDaysToExpiration in: query required: false description: >- **[Optional]** The option with days to expiration at or below the maxDaysToExpiration. **[Examples]** ` 50 | 100 ` schema: type: integer responses: '200': description: '200' content: application/json: schema: type: object properties: status: type: integer title: type: string description: type: string payload: type: object examples: Result: value: status: 200 title: OK description: Successful request payload: data: - ask: 0.05 askIv: 88.46 askVolume: null bid: null bidIv: null bidVolume: null currency: IBIT delta: -0.00874 exchange: tradfi exchangeTimestamp: '2024-11-19T17:21:07.138Z' expirationTimestamp: '2024-12-20T00:00:00.000Z' gamma: 0.00177 indexPrice: 52.735 instrument: IBIT-20DEC24-30-P instrumentNormalized: TRADFI-IBIT-20DEC24-30-P isAtm: false isCarryForward: false isExchangeProvidedGreeks: true markIv: 86.44 markPrice: 0.04253 multiplier: 100 openInterest: null openInterestUSD: null putCall: P rho: -0.00044 strike: 30 theta: -0.00693 timestamp: '2024-11-19T17:20:00.000Z' underlyingPrice: 0.05056 vega: 0.00368 volume: null volumeUSD: null - ask: 23.5 askIv: 184.05 askVolume: null bid: 21 bidIv: null bidVolume: null currency: IBIT delta: 0.99725 exchange: tradfi exchangeTimestamp: '2024-11-19T17:20:31.888Z' expirationTimestamp: '2024-12-20T00:00:00.000Z' gamma: 0.00151 indexPrice: 52.805 instrument: IBIT-20DEC24-30-C instrumentNormalized: TRADFI-IBIT-20DEC24-30-C isAtm: false isCarryForward: false isExchangeProvidedGreeks: true markIv: 83.45 markPrice: 23.19409 multiplier: 100 openInterest: null openInterestUSD: null putCall: C rho: 0.02558 strike: 30 theta: -0.00085 timestamp: '2024-11-19T17:20:00.000Z' underlyingPrice: 0.05056 vega: 0.00304 volume: null volumeUSD: null - ask: 0.1 askIv: 95.29 askVolume: null bid: null bidIv: null bidVolume: null currency: IBIT delta: -0.01056 exchange: tradfi exchangeTimestamp: '2024-11-19T17:21:07.128Z' expirationTimestamp: '2024-12-20T00:00:00.000Z' gamma: 0.00214 indexPrice: 52.735 instrument: IBIT-20DEC24-31-P instrumentNormalized: TRADFI-IBIT-20DEC24-31-P isAtm: false isCarryForward: false isExchangeProvidedGreeks: true markIv: 83.99 markPrice: 0.0509 multiplier: 100 openInterest: null openInterestUSD: null putCall: P rho: -0.00053 strike: 31 theta: -0.00797 timestamp: '2024-11-19T17:20:00.000Z' underlyingPrice: 0.05056 vega: 0.00435 volume: null volumeUSD: null - ask: 23.5 askIv: 413.65 askVolume: null bid: 20.2 bidIv: null bidVolume: null currency: IBIT delta: 0.99503 exchange: tradfi exchangeTimestamp: '2024-11-19T17:20:23.666Z' expirationTimestamp: '2024-12-20T00:00:00.000Z' gamma: 0.00194 indexPrice: 52.815 instrument: IBIT-20DEC24-31-C instrumentNormalized: TRADFI-IBIT-20DEC24-31-C isAtm: false isCarryForward: false isExchangeProvidedGreeks: true markIv: 82.15 markPrice: 22.21807 multiplier: 100 openInterest: null openInterestUSD: null putCall: C rho: 0.02633 strike: 31 theta: -0.00247 timestamp: '2024-11-19T17:20:00.000Z' underlyingPrice: 0.05056 vega: 0.00387 volume: null volumeUSD: null - ask: 0.1 askIv: 89.27 askVolume: null bid: null bidIv: null bidVolume: null currency: IBIT delta: -0.01272 exchange: tradfi exchangeTimestamp: '2024-11-19T17:21:07.138Z' expirationTimestamp: '2024-12-20T00:00:00.000Z' gamma: 0.00259 indexPrice: 52.735 instrument: IBIT-20DEC24-32-P instrumentNormalized: TRADFI-IBIT-20DEC24-32-P isAtm: false isCarryForward: false isExchangeProvidedGreeks: true markIv: 81.58 markPrice: 0.06072 multiplier: 100 openInterest: null openInterestUSD: null putCall: P rho: -0.00064 strike: 32 theta: -0.00913 timestamp: '2024-11-19T17:20:00.000Z' underlyingPrice: 0.05056 vega: 0.00511 volume: null volumeUSD: null '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/volatility/delta-surfaces/constant/tradfi: get: summary: Delta Surfaces Constant description: | 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) operationId: tradfi-volatility-delta-surfaces-constant parameters: - name: currency in: query description: > **[Required]** The underlying currency for which there are listed option instruments. **[Examples]** `IBIT | COIN` required: true schema: type: string default: IBIT - name: startDate in: query description: > **[Optional]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2024-11-19T15:00:00` schema: type: string format: date-time - name: endDate in: query description: > **[Optional]** Payload only includes data before this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2024-11-20T15:00:00` schema: type: string format: date-time - name: daysToExpirationStart in: query description: > **[Optional]** Users can pass a days to expiration filter lower bound, to return only a subset of the delta surface. **[Examples]** `0 | 7 | 60` schema: type: integer format: int32 - name: daysToExpirationEnd in: query description: > **[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` schema: type: integer format: int32 - name: timeInterval in: query description: > **[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. schema: type: string - name: timeFormat in: query description: > **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string responses: '200': description: Successful request content: application/json: schema: type: object properties: status: type: integer example: 200 default: 0 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: atm: type: number example: 60.21999716758728 currency: type: string example: IBIT daysToExpiration: type: integer example: 5 deltaCall10: type: number example: 60.9220027923584 deltaCall20: type: number example: 61.36699914932251 deltaCall30: type: number example: 61.97400093078613 deltaCall40: type: number example: 63.96600008010864 deltaPut10: type: number example: 60.882002115249634 deltaPut20: type: number example: 59.411001205444336 deltaPut30: type: number example: 59.10099744796753 deltaPut40: type: number example: 59.76099967956543 exchange: type: string example: tradfi indexPrice: type: number example: 53.134998 multiplier: type: integer example: 100 timestamp: type: string example: '2024-11-19T17:40:00.000Z' metadata: type: object properties: api-version: type: string example: '2023-09-30' examples: success_response: summary: TradFi delta surfaces response value: status: 200 title: OK description: Successful request payload: data: - atm: 60.21999716758728 currency: IBIT daysToExpiration: 5 deltaCall10: 60.9220027923584 deltaCall20: 61.36699914932251 deltaCall30: 61.97400093078613 deltaCall40: 63.96600008010864 deltaPut10: 60.882002115249634 deltaPut20: 59.411001205444336 deltaPut30: 59.10099744796753 deltaPut40: 59.76099967956543 exchange: tradfi indexPrice: 53.134998 multiplier: 100 timestamp: '2024-11-19T17:40:00.000Z' - atm: 60.21999716758728 currency: IBIT daysToExpiration: 10 deltaCall10: 60.9220027923584 deltaCall20: 61.36699914932251 deltaCall30: 61.97400093078613 deltaCall40: 63.96600008010864 deltaPut10: 60.882002115249634 deltaPut20: 59.411001205444336 deltaPut30: 59.10099744796753 deltaPut40: 59.76099967956543 exchange: tradfi indexPrice: 53.134998 multiplier: 100 timestamp: '2024-11-19T17:40:00.000Z' - atm: 60.21999716758728 currency: IBIT daysToExpiration: 21 deltaCall10: 60.9220027923584 deltaCall20: 61.36699914932251 deltaCall30: 61.97400093078613 deltaCall40: 63.96600008010864 deltaPut10: 60.882002115249634 deltaPut20: 59.411001205444336 deltaPut30: 59.10099744796753 deltaPut40: 59.76099967956543 exchange: tradfi indexPrice: 53.134998 multiplier: 100 timestamp: '2024-11-19T17:40:00.000Z' - atm: 64.92000222206116 currency: IBIT daysToExpiration: 42 deltaCall10: 65.82099795341492 deltaCall20: 66.56699776649475 deltaCall30: 68.02800297737122 deltaCall40: 73.07699918746948 deltaPut10: 65.6059980392456 deltaPut20: 61.677998304367065 deltaPut30: 61.215001344680786 deltaPut40: 62.882000207901 exchange: tradfi indexPrice: 53.134998 multiplier: 100 timestamp: '2024-11-19T17:40:00.000Z' metadata: api-version: '2023-09-30' '400': description: Bad request content: application/json: schema: type: object properties: {} examples: error_response: summary: Bad request example value: {} deprecated: false security: - ApiKeyAuth: [] /analytics/volatility/delta-surfaces/floating/tradfi: get: summary: Delta Surface Floating description: >- This endpoint returns the option delta surface with floating maturities (exchange listed expirations). operationId: tradfi-volatility-delta-surfaces-floating parameters: - name: currency in: query description: > **[Required]** The underlying currency for which there are listed option instruments. **[Examples]** ` IBIT | COIN ` required: true schema: type: string default: IBIT - name: startDate in: query description: >- **[Optional]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string format: date-time - name: endDate in: query description: >- **[Optional]** Payload only includes data before this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string format: date-time - name: daysToExpirationStart in: query description: >- **[Optional]** Users can pass a days to expiration filter lower bound, to return only a subset of the delta surface. **[Examples]** ` 0 | 7 | 60 ` schema: type: integer format: int32 - name: daysToExpirationEnd in: query description: >- **[Optional]** Users can pass a days to expiration filter upper bound, to return only a subset of the delta surface. **[Examples]** ` 1 | 30 | 180 ` schema: type: integer format: int32 - name: timeInterval in: query description: >- **[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. schema: type: string - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string responses: '200': description: '200' content: application/json: schema: type: object properties: status: type: integer title: type: string description: type: string payload: type: object examples: Result: value: status: 200 title: OK description: Successful request payload: data: - atm: 67.88 currency: IBIT daysToExpiration: 6.13 deltaCall05: 91.48 deltaCall10: 82.41 deltaCall15: 78.19 deltaCall20: 75.78 deltaCall25: 73.98 deltaCall30: 72.64 deltaCall35: 71.65 deltaCall40: 70.8 deltaCall45: 69.89 deltaPut05: 72.27 deltaPut10: 66.72 deltaPut15: 65.59 deltaPut20: 65.6 deltaPut25: 65.57 deltaPut30: 65.93 deltaPut35: 66.59 deltaPut40: 67.35 deltaPut45: 67.92 exchange: tradfi indexPrice: 56.45423913043478 multiplier: 100 timestamp: 1732308900000 underlyingRate: 0.05209 - atm: 64.99 currency: IBIT daysToExpiration: 13.13 deltaCall05: 87.13 deltaCall10: 77.56 deltaCall15: 73.58 deltaCall20: 71.39 deltaCall25: 69.9 deltaCall30: 68.75 deltaCall35: 67.68 deltaCall40: 67.04 deltaCall45: 66.32 deltaPut05: 70.04 deltaPut10: 65.35 deltaPut15: 64.56 deltaPut20: 64.13 deltaPut25: 63.91 deltaPut30: 64.44 deltaPut35: 64.17 deltaPut40: 64.57 deltaPut45: 65.05 exchange: tradfi indexPrice: 56.45293478260869 multiplier: 100 timestamp: 1732308900000 underlyingRate: 0.05181 metadata: api-version: '2023-09-30' '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/realized-volatility/implied-vs-realized/tradfi: get: summary: Implied (vs) Realized description: > 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) operationId: tradfi-volatility-implied-vs-realized parameters: - name: currency in: query description: > **[Required]** The underlying currency for which there are listed option instruments. **[Examples]** ` IBIT | COIN ` required: true schema: type: string default: COIN - name: startDate in: query description: >- **[Required]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` required: true schema: type: string format: date-time default: '2024-01-01' - name: endDate in: query description: >- **[Required]** Payload only includes data before this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` required: true schema: type: string default: '2024-11-14' - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string responses: '200': description: '200' content: application/json: schema: type: object properties: status: type: integer title: type: string description: type: string payload: type: object examples: Result: value: status: 200 title: OK description: Successful request payload: data: - atm10: 91.79 atm189: 77.18 atm21: 86.16 atm63: 80.66 atm84: 79.94 currency: COIN exchange: tradfi indexPrice: 284.6 realizedVolatility21: 146.02 realizedVolatility5: 222.2 timestamp: 2024-11-13 00:00:00 000 timestampImpliedVolatility: 2024-11-13 21:00:00 000 - atm10: 93.49 atm189: 77.92 atm21: 88.16 atm63: 82.28 atm84: 81.54 currency: COIN exchange: tradfi indexPrice: 284.25 realizedVolatility21: 146.02 realizedVolatility5: 222.2 timestamp: 2024-11-13 00:00:00 000 timestampImpliedVolatility: 2024-11-13 20:00:00 000 '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/volatility/term-structures/forward-volatility/constant/tradfi: get: summary: Term Structures Constant description: > This endpoint returns the term structure (for exchange listed expirations) with forward volatility calculations, for constant "daysToExpiration" maturities. USA Trading hours are 14:30:00 - 21:00:00 UTC (9:30a-4pm ET) operationId: tradfi-volatility-term-structures-constant parameters: - name: currency in: query description: > **[Required]** The underlying currency for which there are listed option instruments. **[Examples]** ` IBIT | COIN ` required: true schema: type: string default: BITO - name: timestamp in: query description: |- **[Required]** Payload only includes data for this timestamp. **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2024-11-19` schema: type: string format: date-time - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string responses: '200': description: '200' content: application/json: schema: type: object properties: status: type: integer title: type: string description: type: string payload: type: object examples: Result: value: status: 200 title: OK description: Successful request payload: data: - atm: 48.07 currency: BITO daysToExpiration: 5 exchange: tradfi fwdAtm: null timestamp: 2024-10-02 20:00:00 000 - atm: 46.89 currency: BITO daysToExpiration: 10 exchange: tradfi fwdAtm: 45.69 timestamp: 2024-10-02 20:00:00 000 - atm: 49.2 currency: BITO daysToExpiration: 21 exchange: tradfi fwdAtm: 51.21 timestamp: 2024-10-02 20:00:00 000 metadata: api-version: '2023-09-30' '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/volatility/term-structures/richness/tradfi: get: summary: Term Structure Richness description: >- 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 10-day ATM IV versus, 21-day, 63-day. 84-day and 189-days. operationId: tradfi-volatility-term-structures-richness parameters: - name: currency in: query description: >- **[Required]** The underlying currency for which there are listed option instruments. **[Examples]** ` IBIT | COIN ` required: true schema: type: string default: MSTR - name: startDate in: query description: >- **[Required]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` required: true schema: type: string default: '2025-01-01' - name: endDate in: query description: >- **[Required]** Payload only includes data before this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` required: true schema: type: string default: '2025-02-01' - name: timeInterval in: query description: > **[Optional]** Time interval of data frequency for the selected date range. **[Examples]** `hour | day` required: true schema: type: string default: day - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string default: hr responses: '200': description: '200' content: application/json: schema: type: object properties: status: type: integer title: type: string description: type: string payload: type: object examples: Result: value: status: 200 title: OK description: Successful request payload: data: - atm10days: 0.7505499720573425 atm189days: 0.8406500220298767 atm21days: 0.7705399990081787 atm63days: 0.8115100264549255 atm84days: 0.8208199739456177 counter: 10 currency: MSTR exchange: tradfi ratio: 9.441412717370847 richness: 0.9441412717370847 timestamp: 1742587200000 - atm10days: 0.764959990978241 atm189days: 0.8476600050926208 atm21days: 0.7903000116348267 atm63days: 0.8248599767684937 atm84days: 0.8331300020217896 counter: 10 currency: MSTR exchange: tradfi ratio: 9.500990621128198 richness: 0.9500990621128198 timestamp: 1742500800000 '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/volatility/open-interest/tradfi: get: summary: Open Interest description: >- This endpoint returns the end-of-day (EOD) open interest snapshot. Unlike the crypto landscape where open interest is continuously updated, the tradFi environment only updates open interest once per day. This is because the clearing house needs to tally up all the activity for the day, in order to publish outstanding open interest at the end-of-the-day. operationId: tradfi-open-interest parameters: - name: currency in: query description: > **[Required]** The underlying currency for which there are listed option instruments. **[Examples]** ` IBIT | COIN ` required: true schema: type: string default: IBIT - name: strike in: query description: >- **[Optional]** The option instrument subset with a given strike price. **[Examples]** ` 50 | 100 ` schema: type: string - name: expiration in: query description: >- **[Optional]** The option instrument subset with a given expiration date. **[Examples]** ` 2027-01-15` schema: type: string - name: putCall in: query description: >- **[Optional]** The option instrument subset that's either a call (C) or put (P). **[Examples]** ` P | C ` schema: type: string - name: timestamp in: query description: |- **[Optional]** Payload only includes data for this timestamp. **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2024-11-19` required: true schema: type: string - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string default: hr responses: '200': description: '200' content: application/json: schema: type: object properties: status: type: integer title: type: string description: type: string payload: type: object examples: Result: value: status: 200 title: OK description: Successful request payload: data: - currency: IBIT expirationTimestamp: 2025-05-02 00:00:00 000 instrument: IBIT-02MAY25-25-C instrumentNormalized: TRADFI-IBIT-02MAY25-25-C openInterest: 23713 putCall: C strike: 25 timestamp: 2025-04-30 00:00:00 000 - currency: IBIT expirationTimestamp: 2025-05-02 00:00:00 000 instrument: IBIT-02MAY25-25-P instrumentNormalized: TRADFI-IBIT-02MAY25-25-P openInterest: 12580 putCall: P strike: 25 timestamp: 2025-04-30 00:00:00 000 '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/volatility/metrics/tradfi: get: summary: Volatility Metrics (24 hr) description: > 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) operationId: tradfi-volatility-metrics parameters: - name: currency in: query description: > **[Required]** The underlying currency for which there are listed option instruments. **[Examples]** ` IBIT | COIN ` required: true schema: type: string default: COIN - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string responses: '200': description: '200' content: application/json: schema: type: object properties: status: type: integer title: type: string description: type: string payload: type: object examples: Result: value: status: 200 title: OK description: Successful request payload: data: - atm: 96.33 atmChange: 3.95 butterfly10: 3.68 butterfly10Change: 0.8 butterfly20: 3.96 butterfly20Change: 0.82 currency: COIN indexPrice: 321.089996 indexPriceChange: 6.35 riskReversal10: 3.43 riskReversal10Change: 0.47 riskReversal20: 12.44 riskReversal20Change: 1.97 - atm: 97.92 atmChange: 5.15 butterfly10: 5.21 butterfly10Change: 1.58 butterfly20: 4.12 butterfly20Change: 0.92 currency: COIN indexPrice: 321.089996 indexPriceChange: 6.35 riskReversal10: 1.33 riskReversal10Change: -0.45 riskReversal20: 10.5 riskReversal20Change: 1.22 metadata: api-version: '2023-09-30' '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/trades-flow/decorated-trades/tradfi: get: summary: Decorated Trades description: >- This endpoint returns option “times and sales” data decorated with pre-trade level-1 order book data, along with Greeks and implied volatility metrics.Order book impact logic is used internally for GEX (“Gamma Exposure”) modeling. The TradFi decorated trades response does not include aggressor classification or direction fields such as amberdataDirection or exchangeDirection. operationId: tradfi-trades-flow-decorated-trades parameters: - name: currency in: query description: > **[Required]** The underlying currency for which there are listed option instruments. **[Examples]** ` IBIT | COIN ` required: true schema: type: string default: IBIT - name: expiration in: query description: >- **[Optional]** Filter records based on the specified expiration date. **[Examples]** `1578531600 | 1578531600000 | 2026-01-16` schema: type: string format: date-time - name: instrument in: query description: >- **[Optional]** Users can pass a single instrument in order to retrieve trade data for only the specified instrument. **[Examples]** ` IBIT-16JAN26-100-C` schema: type: string - name: startDate in: query description: >- **[Optional]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string format: date-time default: '2024-11-21T15:00:00.000Z' - name: endDate in: query description: >- **[Optional]** Payload only includes data before this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string format: date-time default: '2024-11-21T16:00:00.000Z' - name: strike in: query description: >- **[Optional]** The option instrument subset with a given strike price. **[Examples]** ` 100 | 35 ` schema: type: integer format: int32 - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string default: hr - name: Accept-Encoding in: header schema: type: string default: gzip - name: tradeAmountMinimum in: query description: >- **[Optional]** This endpoint allows users to filter trades that meet a select trade size criteria. schema: type: string - name: tradeAmountMaximum in: query description: >- **[Optional]** This endpoint allows users to filter trades that do not exceed a select trade size criteria. schema: type: string responses: '200': description: '200' content: application/json: schema: type: object properties: status: type: integer title: type: string description: type: string payload: type: object examples: Result: value: status: 200 title: OK description: Successful request payload: data: - currency: IBIT delta: 0.43959 exchange: tradfi exchangeDirection: Mid exchangeTimestamp: -62135596800000 expirationTimestamp: -62135596800000 gamma: 0.00903 instrument: IBIT-16JAN26-100-C instrumentNormalized: TRADFI-IBIT-16JAN26-100.0-C postTradeAskPrice: 9.7 postTradeBidPrice: 9.6 postTradeMarkIv: 0.77772 postTradeMarkPrice: 9.73688 preTradeAskIv: 77.5999984741211 preTradeAskPrice: 9.7 preTradeAskVolume: 24 preTradeBidIv: 77.18000030517578 preTradeBidPrice: 9.6 preTradeBidVolume: 2 preTradeMidIv: 77.38668060302734 preTradeMidPrice: 9.649999618530273 priceUsd: 9.6 putCall: C rho: 0.16573 theta: -0.03028 tradeAmount: 1 tradeIv: 0.77178 underlyingPrice: 54.755 vega: 0.23938 volume24h: 1299 '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/instruments/most-traded/tradfi: get: summary: Instruments Most Traded description: >- This endpoint returns the most traded instruments on a selected exchange for a selected underlying currency, for a given date range. This endpoint also returns the VWAP (Volume-Weighted-Average-Price) and VWAP of implied volatility. The calculation for VWAP uses each available trade, weighted by contract sizes and applied to Price USD and/or Implied Volatility, for the given date range. operationId: tradfi-trades-flow-instruments-most-traded parameters: - name: currency in: query description: > **[Required]** The underlying currency for which there are listed option instruments. **[Examples]** ` IBIT | COIN ` required: true schema: type: string default: IBIT - name: startDate in: query description: >- **[Required]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2024-11-25` schema: type: string format: date-time default: '2024-11-25' - name: endDate in: query description: >- **[Required]** Payload only includes data before this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2024-11-26` schema: type: string default: '2024-11-26' - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string default: hr responses: '200': description: '200' content: application/json: schema: type: object properties: status: type: integer title: type: string description: type: string payload: type: object examples: Result: value: status: 200 title: OK description: Successful request payload: data: - contractVolume: 19359 currency: IBIT exchange: tradfi instrument: IBIT-17JAN25-54-C maxIv: 74.47000122070312 minIv: 53.66999816894531 vwapIv: 66.03 vwapPriceUsd: 5.64 - contractVolume: 18179 currency: IBIT exchange: tradfi instrument: IBIT-17JAN25-54-P maxIv: 66.37000274658203 minIv: 60.0099983215332 vwapIv: 64.64 vwapPriceUsd: 5.03 '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/trades-flow/options-yields/tradfi: get: summary: Options Yields description: > The "Covered Call" strategy assumes the trader is long exactly one unit of underlying asset after proceeds from selling their call. Example: Underlying price = \$500, Trader position in underlying before selling the call = \$475 Short \$700 call proceeds = \$25 Trader positioning in underlying after short call proceeds = \$500 (one whole unit) RETURN CALCULATIONS Absolute Yield: \$25/\$475 Annualized Yield: \$25/\$475 * (525,600 / minutes left until expiration) The "Cash Secured Put" yield assumes the trader maintains enough cash on hand AFTER proceeds from selling the put. Example: Trader's cash position BEFORE selling put = \$275 Short \$300 Put Proceeds = \$25 Trader cash balance AFTER short put proceeds = \$300 (100% cash secured) RETURN CALCULATIONS Absolute Yield: \$25/\$275 Annualized Yield: \$25/\$275 * (525,600 / minutes left until expiration) operationId: tradfi-trades-flow-options-yields parameters: - name: currency in: query description: > **[Required]** The underlying currency for which there are listed option instruments. **[Examples]** ` IBIT | COIN ` required: true schema: type: string default: MSTR - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string default: hr responses: '200': description: '200' content: application/json: schema: type: object properties: status: type: integer title: type: string description: type: string payload: type: object examples: Result: value: status: 200 title: OK description: Successful request payload: data: - absoluteYield: 0.5950772997764864 annualization: 0.4685494223363286 annualizedYield: 0.278823125055735 expirationTimestamp: 2027-01-15 00:00:00 000 indexPrice: 354.20001 instrumentNormalized: TRADFI-MSTR-15JAN27-1080-C markPrice: 132.1418 putCall: Call strike: 1080 timestamp: 2024-11-26 20:55:00 000 yieldStrategy: cashSecuredPut - absoluteYield: 0.5989923639765177 annualization: 0.4685494223363286 annualizedYield: 0.2806575261250693 expirationTimestamp: 2027-01-15 00:00:00 000 indexPrice: 354.20001 instrumentNormalized: TRADFI-MSTR-15JAN27-1070-C markPrice: 132.6855 putCall: Call strike: 1070 timestamp: 2024-11-26 20:55:00 000 yieldStrategy: cashSecuredPut '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/trades-flow/option-volumes/tradfi: get: summary: Option Volumes operationId: get_derivativesanalyticstrades-flowoption-volumestradfi description: >- This endpoint returns the total traded options volume for a selected currency. parameters: - name: currency in: query required: true description: >- The underlying currency for which there are listed option instruments. (ex) IBIT | COIN schema: type: string default: IBIT - name: timestamp in: query required: true description: |- Payload only includes data on this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2025-06-04T00:00:00` schema: type: string default: '2025-06-04T00:00:00' - name: expiration in: query required: false description: |- Filter records based on the specified expiration date. **[Examples]** `1578531600 | 1578531600000 | 2026-01-16` schema: type: string default: '' - name: putCall in: query required: false description: The option instrument subset that's either a call (C) or put (P). schema: type: string default: '' - name: strike in: query required: false description: >- The option instrument subset with a given strike price. ` 50 | 100 ` schema: type: string default: '' - name: timeFormat in: query required: false description: >- Time format of the timestamps in the return payload. `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string default: hr responses: '200': description: '' content: application/json: schema: type: object properties: status: type: integer title: type: string description: type: string payload: type: object examples: New Example: summary: New Example value: status: 200 title: OK description: Successful request payload: data: - currency: IBIT exchangeTimestamp: 2025-06-04 17:08:17 500 expirationTimestamp: 2025-06-06 00:00:00 000 putCall: C strike: 47.5 timestamp: 2025-06-04 00:00:00 000 underlyingPrice: 59.90500259399414 volume: 2 volumeUsd: 11981 - currency: IBIT exchangeTimestamp: 2025-06-04 18:17:03 607 expirationTimestamp: 2025-06-06 00:00:00 000 putCall: C strike: 48 timestamp: 2025-06-04 00:00:00 000 underlyingPrice: 59.88833363850912 volume: 6 volumeUsd: 35933 - currency: IBIT exchangeTimestamp: 2025-06-04 14:25:00 446 expirationTimestamp: 2025-06-06 00:00:00 000 putCall: C strike: 48.5 timestamp: 2025-06-04 00:00:00 000 underlyingPrice: 59.48500061035156 volume: 2 volumeUsd: 11897 - currency: IBIT exchangeTimestamp: 2025-06-04 18:38:01 605 expirationTimestamp: 2025-06-06 00:00:00 000 putCall: C strike: 50 timestamp: 2025-06-04 00:00:00 000 underlyingPrice: 59.72333335876465 volume: 9 volumeUsd: 53751 metadata: api-version: '2023-09-30' '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} security: - ApiKeyAuth: [] /analytics/volatility/altcoin/atm/hourly: get: summary: Altcoin ATM Hourly description: >- This endpoint returns the “At-The-Money” volatility profile for a specified altcoin pair. The payload will include various days-to-expiraton so users can see the term-structure. operationId: get_analyticsvolatilityaltcoinatmhourly parameters: - name: pair in: query required: true description: | **[Required]** The underlying pair to return model ATM. **[Examples]** ` aave_usd | pepe_usd | eth_btc ` schema: type: string default: aave_usd - name: startDate in: query required: false description: >- **[Optional]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-08-01T01:00:00` schema: type: string default: null - name: endDate in: query required: false description: >- **[Optional]** Payload only includes data up-to this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-08-01T01:00:00` schema: type: string default: null - name: timeFormat in: query required: false description: >- **[Optional]** Time interval of data frequency for the selected date range. **[Examples]** `minute | hour ` schema: type: string default: hr - name: exchange in: query required: true description: |- **[Required]** The exchange for which to retrieve pair. **[Examples]** ` gdax | okex | binance ` schema: type: string default: gdax responses: '200': description: '' security: - ApiKeyAuth: [] /analytics/volatility/atm/deribit-vs-model-hourly: get: summary: Deribit vs Model Hourly description: >- This endpoint compares the model “At-The-Money” volatility versus the implied volatility found on Deribit, in order to validate our proprietary “modelAtm”. The payload will include various daysToExpiraton so users can see the term-structure. operationId: get_analyticsvolatilityatmderibit-vs-model-hourly parameters: - name: currency in: query required: true description: > **[Required]** The underlying currency to compare model ATM vs deribit ATM IV. **[Examples]** ` BTC | ETH | SOL ` schema: type: string default: BTC - name: startDate in: query required: true description: >- **[Required]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-08-01T01:00:00` schema: type: string default: '2025-05-01' - name: endDate in: query required: true description: >- **[Required]** Payload only includes data up-to this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string default: '2025-05-02' - name: timeFormat in: query required: false description: >- **[Optional]** Time interval of data frequency for the selected date range. **[Examples]** `minute | hour ` schema: type: string default: hr responses: '200': description: '' security: - ApiKeyAuth: [] /analytics/volatility/level-1-quotes-instrument/tradfi: get: summary: Level 1 Quotes Instrument operationId: get_marketsderivativesanalyticsvolatilitylevel-1-quotes-instrumenttradfi parameters: - name: currency in: query required: true description: > **[Required]** The underlying currency for which there are listed option instruments. **[Examples]** ` IBIT | COIN ` schema: type: string default: IBIT - name: expiration in: query required: true description: >- **[Required]** The option instrument subset with a given expiration date. **[Examples]** ` 2027-01-15` schema: type: string default: '2026-01-16' - name: startDate in: query required: true description: >- **[Required]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string default: '2025-04-01' - name: endDate in: query required: true description: >- **[Required]** Payload only includes data before this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2020-09-01T01:00:00` schema: type: string default: '2025-05-01' - name: minStrike in: query required: false description: >- **[Optional]** The option with strikes at or above the "minStrike". \n**[Examples]** ` 50 | 100 ` schema: type: string default: '' - name: maxStrike in: query required: false description: >- **[Optional]** The option with strikes at or below the "maxStrike". \n**[Examples]** ` 50 | 100 ` schema: type: string default: '' - name: strike in: query required: false description: >- **[Optional]** The option instrument subset with a given strike price. **[Examples]** ` 50 | 100 ` schema: type: string default: '100' - name: putCall in: query required: false description: >- **[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. schema: type: string default: C - name: timeFormat in: query required: false description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string default: hr - name: timeInterval in: query required: false description: >- **[Optional]** Time interval of data frequency for the selected date range. **[Examples]** `minute | hour ` schema: type: string default: hour responses: '200': description: '' content: application/json: examples: New Example: summary: New Example value: status: 200 title: OK description: Successful request payload: data: - ask: 2.17 askIv: 60.08 askVolume: null bid: 2.1 bidIv: 59.49 bidVolume: null currency: IBIT delta: 0.18074 exchange: tradfi exchangeTimestamp: 2025-04-30 19:00:06 136 expirationTimestamp: 2026-01-16 00:00:00 000 gamma: 0.00978 indexPrice: 53.495 instrument: IBIT-16JAN26-100-C instrumentNormalized: TRADFI-IBIT-16JAN26-100-C isAtm: false isCarryForward: false isExchangeProvidedGreeks: true markIv: 59.76 markPrice: 2.13163 multiplier: 100 putCall: C rho: 0.05362 strike: 100 theta: -0.01947 timestamp: 2025-04-30 19:00:00 000 underlyingRate: 0.0415400005877018 vega: 0.119 - ask: 2.14 askIv: 59.9 askVolume: null bid: 2.1 bidIv: 59.57 bidVolume: null currency: IBIT delta: 0.18069 exchange: tradfi exchangeTimestamp: 2025-04-30 18:00:19 079 expirationTimestamp: 2026-01-16 00:00:00 000 gamma: 0.00977 indexPrice: 53.465 instrument: IBIT-16JAN26-100-C instrumentNormalized: TRADFI-IBIT-16JAN26-100-C isAtm: false isCarryForward: false isExchangeProvidedGreeks: true markIv: 59.85 markPrice: 2.13317 multiplier: 100 putCall: C rho: 0.05358 strike: 100 theta: -0.01948 timestamp: 2025-04-30 18:00:00 000 underlyingRate: 0.0415400005877018 vega: 0.11892 security: - ApiKeyAuth: [] /analytics/futures-perpetuals/depth/bid-ask-spread: get: summary: Bid Ask Spread description: >- This endpoint allows users to explore the bid-ask spread for a specific futures or perpetual assets across one or more exchanges. It provides both the absolute dollar spread (based on the best bid and offer) and the spread as a percentage of the mid-price. operationId: futures-perpetuals-order-book-depth-bid-ask-spread parameters: - name: instrument in: query description: >- **[Required]** The currency for the futures or perpetual instruments. **[Examples]** ` btc | btc-perpetual ` required: true schema: type: string default: btc - name: exchange in: query description: |- **[Required]** The exchange for the associated bid ask spread. **[Examples]** ` deribit | okex | binance | binanceus` required: true schema: type: string default: deribit - name: startDate in: query description: >- **[Optional]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2025-02-27` schema: type: string - name: endDate in: query description: >- **[Optional]** Payload only includes data up to this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2025-02-28` schema: type: string - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string default: hr responses: '200': description: '200' content: application/json: examples: Result: value: status: 200 title: OK description: Successful request payload: data: - bestAskPrice: 96589.6 bestBidPrice: 96222.19 exchange: deribit midPrice: 96405.895 pair: BTC-PERPETUAL spread: 367.4100000000035 spreadPercent: 0.3811074001232015 timestamp: 1746144000000 schema: type: object properties: status: type: integer example: 200 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: bestAskPrice: type: number example: 96589.6 description: The ask side of the BBO bestBidPrice: type: number example: 96222.19 description: The bid side of the BBO exchange: type: string example: binanceus description: The subject exchange midPrice: type: number example: 96405.895 description: The mid-price of the BBO instrument: type: string example: BTC-PERPETUAL description: The subject instrument spread: type: number example: 367.4100000000035 description: The absolute BBO spread in quote terms spreadPercent: type: number example: 0.3811074001232015 description: The absolute BBO spread divided by the mid-price timestamp: type: integer example: 1746144000000 description: The observation timestamp '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/futures-perpetuals/depth/pressure: get: summary: Pressure description: >- Order book pressure is a market indicator that measures the relative balance between buy and sell orders. It is calculated as: Order_Book_Pressure = (bid depth − ask depth) This metric provides insight into market sentiment by quantifying the dominance of buyers or sellers. A positive value indicates stronger bid depth, while a negative value signals sell-side dominance. operationId: spot-analytics-order-book-depth-pressure parameters: - name: exchange in: query description: >- **[Required]** The exchange for which to retrieve listed futures or perpetual instruments. **[Examples]** ` deribit | okex | binance | binanceus` required: true schema: type: string default: deribit - name: instrument in: query description: |- **[Required]** The futures or perpetual instrument. **[Examples]** ` BTC-PERPETUAL ` required: true schema: type: string default: BTC-PERPETUAL - name: startDate in: query description: >- **[Optional]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2025-02-27` schema: type: string - name: endDate in: query description: >- **[Optional]** Payload only includes data up to this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2025-02-28` schema: type: string - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string default: hr responses: '200': description: '200' content: application/json: examples: Result: value: status: 200 title: OK description: Successful request payload: data: - exchange: deribit midPrice: 84297.735 instrument: BTC-PERPETUAL pressure005Net: 3.80466251 pressure005Percentage: 13.333760348234334 pressure005TotalSize: 28.53405499 pressure025Net: -2.7184777299999467 pressure025Percentage: -2.157767634675136 pressure025TotalSize: 125.98565695000003 pressure050Net: 0.5284337700000776 pressure050Percentage: 0.29330641402634117 pressure050TotalSize: 180.16440988999997 pressure100Net: -0.6416217599998504 pressure100Percentage: -0.20727994616122 pressure100TotalSize: 309.54357711999995 pressure200Net: 14.13135428000004 pressure200Percentage: 3.975967811253675 pressure200TotalSize: 355.41923251999964 pressure300Net: 30.990556530000077 pressure300Percentage: 7.110619364599486 pressure300TotalSize: 435.8348399899993 pressure400Net: 24.651642440000273 pressure400Percentage: 4.895576417323962 pressure400TotalSize: 503.5493338999995 pressure500Net: 24.744126750000305 pressure500Percentage: 4.430437047235998 pressure500TotalSize: 558.50306609 timestamp: 2025-03-01 00:00:00 000 schema: type: object properties: status: type: integer example: 200 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: exchange: type: string example: deribit description: The subject exchange midPrice: type: number example: 84297.735 description: The mid-price between BBO instrument: type: string example: BTC-PERPETUAL description: The subject instrument pressureXXXNet: type: number example: 3.80466251 description: >- The size imbalance between bid depth - ask depth XXX bps away from BBO pressureXXXPercentage: type: number example: 13.333760348234334 description: >- The size imbalance, as a percentage of total size, between bid depth - ask depth XXX bps away from BBO pressureXXXTotalSize: type: number example: 28.53405499 description: >- The total size of bid depth + ask depth XXX bps away from BBO timestamp: type: string example: 2025-03-01 00:00:00 000 description: The observation timestamp '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] /analytics/futures-perpetuals/depth: get: summary: Depth description: >- Percentage depth profiles offer insights into the order book structure and available liquidity at different price levels. By analyzing buy and sell liquidity within a specified percentage range from the best-bid/best-ask, traders can assess liquidity distribution and its impact on market behavior. The order book depth endpoint returns liquidity data in percentage-based tranches, measured in basis points, at 1-minute intervals. If no date range is specified, the most recent 24 hours of data will be returned. operationId: futures-perpetual-analytics-order-book-depth parameters: - name: exchange in: query description: >- **[Required]** The select exchange for which to view liquidity depth. **[Examples]** ` gdax | okex | binance | binanceus` required: true schema: type: string default: deribit - name: instrument in: query description: |- **[Required]** The currency pair for which to view liquidity depth. **[Examples]** ` btc_usd | btc_usdc | eth_usd ` required: true schema: type: string default: BTC-PERPETUAL - name: startDate in: query description: >- **[Optional]** Payload only includes data after this date (inclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2025-02-27` schema: type: string - name: endDate in: query description: >- **[Optional]** Payload only includes data up to this date (exclusive). **[Formats]** `seconds | milliseconds | iso8601` **[Examples]** `1578531600 | 1578531600000 | 2025-02-28` schema: type: string - name: timeFormat in: query description: >- **[Optional]** Time format of the timestamps in the return payload. **[Defaults]** `milliseconds | ms* | iso | iso8601 | hr | human_readable` schema: type: string default: hr responses: '200': description: '200' content: application/json: schema: type: object properties: status: type: integer example: 200 title: type: string example: OK description: type: string example: Successful request payload: type: object properties: data: type: array items: type: object properties: basisPoints005: type: number example: 6.830253600000002 description: Depth at 5 basis points from BBO basisPoints005OrderCount: type: integer example: 60 description: Number of orders at 5 basis points depth bestAskPrice: type: number example: 82695.55 description: The best ask price in the order book bestBidPrice: type: number example: 82691.18 description: The best bid price in the order book exchange: type: string example: deribit description: The exchange where the depth data is from midPrice: type: number example: 82693.36499999999 description: The mid-price between best bid and ask instrument: type: string example: BTC-PERPETUAL description: The trading pair for the depth data side: type: string example: ask description: The side of the order book (ask or bid) spreadPercent: type: number example: 0.005284583593871039 description: The spread percentage between best bid and ask timestamp: type: integer example: 1742342400000 description: >- The timestamp for the depth data point in milliseconds examples: Result: value: status: 200 title: OK description: Successful request payload: data: - basisPoints005: 6.830253600000002 basisPoints005OrderCount: 60 basisPoints010: 29.522870730000008 basisPoints010OrderCount: 111 basisPoints015: 44.98593633999999 basisPoints015OrderCount: 150 bestAskPrice: 82695.55 bestBidPrice: 82691.18 exchange: deribit midPrice: 82693.36499999999 instrument: BTC-PERPETUAL side: ask spreadPercent: 0.005284583593871039 timestamp: 1742342400000 '400': description: '400' content: application/json: examples: Result: value: {} schema: type: object properties: {} deprecated: false security: - ApiKeyAuth: [] components: securitySchemes: ApiKeyAuth: type: apiKey in: header name: x-api-key x-readme: headers: [] explorer-enabled: true proxy-enabled: true x-readme-fauxas: true