Delayed Data API
Get delayed options data augmented with hundreds of proprietary indicators. Current market data is delayed by 15 minutes.
ORATS does not provide stock prices for US equities, ETFs or indexes. The underlying values in our data, live and historical, are derived from option prices using put-call parity and are for internal use only. They are reference prices, not a replacement for real stock prices. For real stock prices, use a different provider.
https://api.orats.io/datav2Tickers
Retrieves min/max available tradeDate for ORATS universe of tickers.
Optional attributes
- Name
ticker- Type
- string
- Description
The ticker to retrieve. Ex: AAPL
curl "https://api.orats.io/datav2/tickers?token=my-token"
Response
{
"data": [
{
"ticker": "A",
"min": "2007-01-03",
"max": "2020-02-14"
},
{
"ticker": "AA",
"min": "2007-01-03",
"max": "2020-02-14"
},
{
"ticker": "AAAP",
"min": "2017-10-12",
"max": "2018-07-20"
}
...
]
}
Strikes
Retrieves strikes data.
Required attributes
- Name
ticker- Type
- string
- Description
The ticker to retrieve (multiple tickers should be comma delimited - max of 10 allowed). Ex: AAPL,TSLA
Optional attributes
- Name
fields- Type
- string
- Description
The fields to retrieve. Ex: tradeDate,expirDate,strike
- Name
dte- Type
- string
- Description
Filter by DTE range. Ex: 30,45
- Name
delta- Type
- string
- Description
Filter by delta range. Ex: .30,.45
curl -L "https://api.orats.io/datav2/strikes?token=my-token&ticker=AAPL"
Response
{
"data": [
{
"ticker": "AAPL",
"tradeDate": "2019-12-23",
"expirDate": "2019-12-27",
"dte": 5,
"strike": 180,
"stockPrice": 283.8,
"callVolume": 0,
"callOpenInterest": 0,
"callBidSize": 166,
"callAskSize": 25,
"putVolume": 1,
"putOpenInterest": 7,
"putBidSize": 0,
"putAskSize": 37,
"callBidPrice": 103.7,
"callValue": 103.851,
"callAskPrice": 103.9,
"putBidPrice": 0,
"putValue": 0,
"putAskPrice": 0.01,
"callBidIv": 0,
"callMidIv": 0.837262,
"callAskIv": 1.67452,
"smvVol": 0.201089,
"putBidIv": 0,
"putMidIv": 0.723295,
"putAskIv": 1.44659,
"residualRate": -0.0108285,
"delta": 1,
"gamma": -1.29661e-14,
"theta": -0.0130789,
"vega": -1.93379e-11,
"rho": 0.0192188,
"phi": -0.0303101,
"driftlessTheta": -3.62868e-8,
"extSmvVol": 0.288125,
"extCallValue": 103.741,
"extPutValue": 0,
"spotPrice": 283.8,
"updatedAt": "2019-12-23T18:49:36Z"
},
...
]
}
Strikes by OPRA
Retrieves current strikes data by ticker, expiry, and strike.
Required attributes
- Name
tickers- Type
- string
- Description
Comma delimited OCC option symbols or underlying.
The OCC option symbol consists of four parts:
- Root symbol of the underlying stock or ETF, padded with spaces to 6 characters
- Expiration date, 6 digits in the format YYMMDD
- Option type, either P or C, for put or call
- Strike price, as the price x 1000, front padded with 0s to 8 digits
curl -L "https://api.orats.io/datav2/strikes/options?token=my-token&tickers=AAPL230915C00175000,SPXW230317C04000000,VIXW230222P00020000,MSFT,IBM,AMZN"
Response
{
"data": [
{
"ticker": "VIX",
"optionSymbol": "VIXW230222P00020000",
"tradeDate": "2023-02-03",
"expirDate": "2023-02-22",
"dte": 20,
"strike": 20,
"optionType": "Put",
"stockPrice": 21.09,
"volume": 0,
"openInterest": 609,
"bidSize": 57,
"askSize": 602,
"bidPrice": 0.82,
"optValue": 0.91,
"askPrice": 1.01,
"bidIv": 0.719702,
"midIv": 0.775449,
"askIv": 0.831195,
"smvVol": 0.776,
"residualRate": -0.00126964,
"delta": 0.659823,
"gamma": 0.101183,
"theta": -0.0379109,
"vega": 0.01705,
"rho": 0.00596109,
"phi": -0.00699401,
"driftlessTheta": -0.0363416,
"optSmvVol": 0.773272,
"extSmvVol": 0.81083,
"extOptValue": 0.975286,
"spotPrice": 20.01,
"quoteDate": "2023-02-03T20:22:48Z",
"updatedAt": "2023-02-03T20:22:58Z",
"expiryTod": "am"
},
{
"ticker": "SPX",
"optionSymbol": "SPXW230317C04000000",
"tradeDate": "2023-02-03",
"expirDate": "2023-03-17",
"dte": 43,
"strike": 4000,
"optionType": "Call",
"stockPrice": 4126.71,
"volume": 20,
"openInterest": 2241,
"bidSize": 35,
"askSize": 35,
"bidPrice": 194.5,
"optValue": 196.27,
"askPrice": 197.4,
"bidIv": 0.191887,
"midIv": 0.194403,
"askIv": 0.19692,
"smvVol": 0.192,
"residualRate": 0.00236406,
"delta": 0.733811,
"gamma": 0.00131768,
"theta": -1.33656,
"vega": 4.51142,
"rho": 3.24908,
"phi": -3.46435,
"driftlessTheta": -0.995206,
"optSmvVol": 0.194419,
"extSmvVol": 0.199375,
"extOptValue": 198.301,
"spotPrice": 4128.73,
"quoteDate": "2023-02-03T20:22:49Z",
"updatedAt": "2023-02-03T20:23:00Z",
"expiryTod": "pm"
},
{
"ticker": "AAPL",
"optionSymbol": "AAPL230915C00175000",
"tradeDate": "2023-02-03",
"expirDate": "2023-09-15",
"dte": 225,
"strike": 175,
"optionType": "Call",
"stockPrice": 155.01,
"volume": 667,
"openInterest": 17491,
"bidSize": 705,
"askSize": 287,
"bidPrice": 6.4,
"optValue": 6.47,
"askPrice": 6.55,
"bidIv": 0.251574,
"midIv": 0.253287,
"askIv": 0.255,
"smvVol": 0.253,
"residualRate": -0.00110824,
"delta": 0.342191,
"gamma": 0.0122149,
"theta": -0.0295758,
"vega": 0.439479,
"rho": 0.284995,
"phi": -0.322753,
"driftlessTheta": -0.0244588,
"optSmvVol": 0.253234,
"extSmvVol": 0.227986,
"extOptValue": 5.35791,
"spotPrice": 155.01,
"quoteDate": "2023-02-03T20:22:42Z",
"updatedAt": "2023-02-03T20:22:54Z",
"expiryTod": "pm"
},
{
"ticker": "AMZN",
"stockPrice": 103.56,
"bid": 103.56,
"ask": 103.57,
"bidSize": 1,
"askSize": 4,
"volume": 116242000,
"quoteDate": "2023-02-03T20:23:52Z",
"updatedAt": "2023-02-03T20:24:04Z"
},
{
"ticker": "IBM",
"stockPrice": 136.38,
"bid": 136.37,
"ask": 136.39,
"bidSize": 2,
"askSize": 2,
"volume": 2379740,
"quoteDate": "2023-02-03T20:23:56Z",
"updatedAt": "2023-02-03T20:24:04Z"
},
{
"ticker": "MSFT",
"stockPrice": 258.15,
"bid": 258.14,
"ask": 258.16,
"bidSize": 3,
"askSize": 2,
"volume": 19871700,
"quoteDate": "2023-02-03T20:23:49Z",
"updatedAt": "2023-02-03T20:24:04Z"
}
]
}
Implied Monies
Retrieves monthly implied monies data.
Required attributes
- Name
ticker- Type
- string
- Description
The ticker to retrieve (multiple tickers should be comma delimited - max of 10 allowed). Ex: AAPL,TSLA
Optional attributes
- Name
fields- Type
- string
- Description
The fields to retrieve. Ex: tradeDate,expirDate,calVol
curl -L "https://api.orats.io/datav2/monies/implied?token=my-token&ticker=AAPL"
Response
{
"data": [
{
"ticker": "AAPL",
"tradeDate": "2023-11-03",
"expirDate": "2024-06-21",
"stockPrice": 176.78,
"riskFreeRate": 0.0538,
"yieldRate": 0.00644419,
"residualYieldRate": -0.00429695,
"residualRateSlp": 0.00184204,
"residualR2": 0.0005349,
"confidence": 0.990404,
"mwVol": 0.00208507,
"vol100": 0.481632,
"vol95": 0.372538,
"vol90": 0.313805,
"vol85": 0.284469,
"vol80": 0.269292,
"vol75": 0.258977,
"vol70": 0.251434,
"vol65": 0.244439,
"vol60": 0.23873,
"vol55": 0.234208,
"vol50": 0.228685,
"vol45": 0.22303,
"vol40": 0.218509,
"vol35": 0.214635,
"vol30": 0.210679,
"vol25": 0.206676,
"vol20": 0.203116,
"vol15": 0.200003,
"vol10": 0.199472,
"vol5": 0.204106,
"vol0": 0.220554,
"typeFlag": 0,
"atmiv": 0.228074,
"slope": 4.50145,
"deriv": 0.0949864,
"fit": 0.0000128897,
"spotPrice": 176.78,
"calVol": 0.224091,
"unadjVol": 0.219517,
"earnEffect": 0.004575,
"quoteDate": "2023-11-03T19:59:44Z",
"updatedAt": "2023-11-03T19:59:57Z",
"snapShotEstTime": "1600",
"snapShotDate": "2023-11-03T20:00:00Z",
"expiryTod": "pm"
},
...
]
}
Forecast Monies
Retrieves monthly forecast monies data.
Required attributes
- Name
ticker- Type
- string
- Description
The ticker to retrieve (multiple tickers should be comma delimited - max of 10 allowed). Ex: AAPL,TSLA
Optional attributes
- Name
fields- Type
- string
- Description
The fields to retrieve. Ex: tradeDate,expirDate,vol50
curl -L "https://api.orats.io/datav2/monies/forecast?token=my-token&ticker=AAPL"
Response
{
"data": [
{
"ticker": "AAPL",
"tradeDate": "2023-11-03",
"expirDate": "2024-02-16",
"stockPrice": 176.78,
"riskFreeRate": 0.055,
"vol100": 0.355919,
"vol95": 0.303374,
"vol90": 0.278266,
"vol85": 0.261389,
"vol80": 0.245387,
"vol75": 0.239014,
"vol70": 0.232989,
"vol65": 0.227312,
"vol60": 0.221982,
"vol55": 0.217001,
"vol50": 0.212368,
"vol45": 0.208082,
"vol40": 0.204144,
"vol35": 0.200555,
"vol30": 0.197313,
"vol25": 0.194419,
"vol20": 0.191872,
"vol15": 0.189674,
"vol10": 0.187824,
"vol5": 0.186321,
"vol0": 0.185167,
"quoteDate": "2023-11-03T19:59:44Z",
"updatedAt": "2023-11-03T19:59:57Z",
"snapShotEstTime": "1600",
"snapShotDate": "2023-11-03T20:00:00Z",
"expiryTod": "pm"
},
...
]
}
Summaries
Retrieves SMV summary data.
Optional attributes
- Name
ticker- Type
- string
- Description
The ticker to retrieve (multiple tickers should be comma delimited - max of 10 allowed). Ex: AAPL,TSLA
- Name
fields- Type
- string
- Description
The fields to retrieve. Ex: tradeDate,exErnIv30d,impliedEarningsMove
curl -L "https://api.orats.io/datav2/summaries?token=my-token&ticker=AAPL"
Response
{
"data": [
{
"ticker": "AAPL",
"tradeDate": "2023-11-03",
"stockPrice": 176.78,
"annActDiv": 0.982574,
"annIdiv": 0.287519,
"borrow30": 0.0537541,
"borrow2y": 0.04751,
"confidence": 0.710872,
"exErnIv10d": 0.195644,
"exErnIv20d": 0.188896,
"exErnIv30d": 0.185834,
"exErnIv60d": 0.192219,
"exErnIv90d": 0.20357,
"exErnIv6m": 0.217763,
"exErnIv1y": 0.228013,
"ieeEarnEffect": 1.85201,
"impliedMove": 0.028577,
"impliedNextDiv": 0.200508,
"iv10d": 0.195644,
"iv20d": 0.188896,
"iv30d": 0.185834,
"iv60d": 0.192219,
"iv90d": 0.205658,
"iv6m": 0.221108,
"iv1y": 0.233177,
"mwAdj30": 0.002342,
"mwAdj2y": 0.004672,
"nextDiv": 0.24,
"rDrv30": 0.077746,
"rDrv2y": 0.096629,
"rSlp30": 3.91465,
"rSlp2y": 4.49114,
"rVol30": 0.183112,
"rVol2y": 0.248168,
"rip": 1.84319,
"riskFree30": 0.055331,
"riskFree2y": 0.052577,
"skewing": -0.18824,
"contango": -0.018600000475998968,
"totalErrorConf": 0.000128,
"dlt5Iv10d": 0.206691,
"dlt5Iv20d": 0.202587,
"dlt5Iv30d": 0.189626,
"dlt5Iv60d": 0.180344,
"dlt5Iv90d": 0.189285,
"dlt5Iv6m": 0.196934,
"dlt5Iv1y": 0.206532,
"exErnDlt5Iv10d": 0.206691,
"exErnDlt5Iv20d": 0.202587,
"exErnDlt5Iv30d": 0.189626,
"exErnDlt5Iv60d": 0.180344,
"exErnDlt5Iv90d": 0.187198,
"exErnDlt5Iv6m": 0.193588,
"exErnDlt5Iv1y": 0.201367,
"dlt25Iv10d": 0.189584,
"dlt25Iv20d": 0.175341,
"dlt25Iv30d": 0.173086,
"dlt25Iv60d": 0.180378,
"dlt25Iv90d": 0.187436,
"dlt25Iv6m": 0.200198,
"dlt25Iv1y": 0.211505,
"exErnDlt25Iv10d": 0.189584,
"exErnDlt25Iv20d": 0.175341,
"exErnDlt25Iv30d": 0.173086,
"exErnDlt25Iv60d": 0.180378,
"exErnDlt25Iv90d": 0.185349,
"exErnDlt25Iv6m": 0.196852,
"exErnDlt25Iv1y": 0.206341,
"dlt75Iv10d": 0.22289,
"dlt75Iv20d": 0.212007,
"dlt75Iv30d": 0.209122,
"dlt75Iv60d": 0.219619,
"dlt75Iv90d": 0.23408,
"dlt75Iv6m": 0.251754,
"dlt75Iv1y": 0.266157,
"exErnDlt75Iv10d": 0.22289,
"exErnDlt75Iv20d": 0.212007,
"exErnDlt75Iv30d": 0.209122,
"exErnDlt75Iv60d": 0.219619,
"exErnDlt75Iv90d": 0.231993,
"exErnDlt75Iv6m": 0.248408,
"exErnDlt75Iv1y": 0.260993,
"dlt95Iv10d": 0.350401,
"dlt95Iv20d": 0.331203,
"dlt95Iv30d": 0.329991,
"dlt95Iv60d": 0.316906,
"dlt95Iv90d": 0.329715,
"dlt95Iv6m": 0.353314,
"dlt95Iv1y": 0.353414,
"exErnDlt95Iv10d": 0.350401,
"exErnDlt95Iv20d": 0.331203,
"exErnDlt95Iv30d": 0.329991,
"exErnDlt95Iv60d": 0.316906,
"exErnDlt95Iv90d": 0.327628,
"exErnDlt95Iv6m": 0.349969,
"exErnDlt95Iv1y": 0.34825,
"fwd30_20": 0.179554,
"fwd60_30": 0.198399,
"fwd90_30": 0.214885,
"fwd90_60": 0.230193,
"fwd180_90": 0.235547,
"fexErn30_20": 0.179554,
"fexErn60_30": 0.198399,
"fexErn90_30": 0.211882,
"fexErn90_60": 0.224557,
"fexErn180_90": 0.231085,
"ffwd30_20": 0.17336,
"ffwd60_30": 0.208361,
"ffwd90_30": 0.233676,
"ffwd90_60": 0.267796,
"ffwd180_90": 0.260775,
"ffexErn30_20": 0.17336,
"ffexErn60_30": 0.208361,
"ffexErn90_30": 0.228623,
"ffexErn90_60": 0.2563,
"ffexErn180_90": 0.25421,
"fbfwd30_20": 0.965506,
"fbfwd60_30": 1.05021,
"fbfwd90_30": 1.08745,
"fbfwd90_60": 1.16336,
"fbfwd180_90": 1.1071,
"fbfexErn30_20": 0.965506,
"fbfexErn60_30": 1.05021,
"fbfexErn90_30": 1.07901,
"fbfexErn90_60": 1.14136,
"fbfexErn180_90": 1.10007,
"impliedEarningsMove": 0.036148,
"quoteDate": "2023-11-03T19:59:44Z",
"updatedAt": "2023-11-03T19:59:57Z",
"snapShotEstTime": "1600",
"snapShotDate": "2023-11-03T20:00:00Z"
}
]
}
Core Data
Retrieves core data.
Optional attributes
- Name
ticker- Type
- string
- Description
The ticker to retrieve (multiple tickers should be comma delimited - max of 10 allowed). Ex: AAPL,TSLA
- Name
fields- Type
- string
- Description
The fields to retrieve. Ex: tradeDate,slope,contango
curl -L "https://api.orats.io/datav2/cores?token=my-token&ticker=AAPL"
Response
{
"data": [
{
"ticker": "AAPL",
"tradeDate": "2023-11-03",
"assetType": 3,
"priorCls": 177.57,
"pxAtmIv": 176.78,
"mktCap": 2797004,
"cVolu": 1017362,
"cOi": 3728326,
"pVolu": 832833,
"pOi": 3573850,
"orFcst20d": 22.104,
"orIvFcst20d": 21.456,
"orFcstInf": 19.73,
"orIvXern20d": 18.31,
"orIvXernInf": 24.82,
"iv200Ma": 23.75,
"atmIvM1": 19.465,
"atmFitIvM1": 18.364,
"atmFcstIvM1": 22.104,
"dtExM1": 15,
"atmIvM2": 18.958,
"atmFitIvM2": 18.314,
"atmFcstIvM2": 21.646,
"dtExM2": 43,
"atmIvM3": 19.562,
"atmFitIvM3": 19.875,
"atmFcstIvM3": 21.152,
"dtExM3": 78,
"atmIvM4": 21.805,
"atmFitIvM4": 21.044,
"atmFcstIvM4": 21.236,
"dtExM4": 106,
"iRate5wk": 5.53,
"iRateLt": 5.26,
"px1kGam": 2837.09,
"volOfVol": 0.8586,
"volOfIvol": 0.0325,
"slope": 3.914655,
"slopeInf": 4.49114,
"slopeFcst": 3.93708,
"slopeFcstInf": 4.47763,
"deriv": 0.0777,
"derivInf": 0.0966,
"derivFcst": 0.0469,
"derivFcstInf": 0.0852,
"mktWidthVol": 0.234,
"mktWidthVolInf": 0.467,
"cAddPrem": 0,
"pAddPrem": 0,
"rip": 1.84319,
"ivEarnReturn": 0,
"fcstR2": 0.3304,
"fcstR2Imp": 0.0874,
"hiHedge": 0,
"loHedge": 0,
"stkVolu": 70672979,
"avgOptVolu20d": 751195.75,
"sector": "XLK Electronic Computer Manufacturing42941",
"orHv1d": 23.2,
"orHv5d": 20.82,
"orHv10d": 22.85,
"orHv20d": 20.82,
"orHv60d": 21.92,
"orHv90d": 21.23,
"orHv120d": 20.26,
"orHv252d": 25.27,
"orHv500d": 30.01,
"orHv1000d": 32.57,
"clsHv5d": 10.54,
"clsHv10d": 22.43,
"clsHv20d": 18.21,
"clsHv60d": 20.67,
"clsHv90d": 20.42,
"clsHv120d": 19.11,
"clsHv252d": 23.61,
"clsHv500d": 29.21,
"clsHv1000d": 33.12,
"iv20d": 18.89,
"iv30d": 18.58,
"iv60d": 19.22,
"iv90d": 20.57,
"iv6m": 22.11,
"clsPx1w": 168.22,
"stkPxChng1wk": 5.09,
"clsPx1m": 173.66,
"stkPxChng1m": 1.8,
"clsPx6m": 173.0965,
"stkPxChng6m": 2.13,
"clsPx1y": 137.8866,
"stkPxChng1y": 28.21,
"divFreq": 91,
"divYield": 0.6,
"divGrwth": 0,
"divDate": "2023-11-09",
"divAmt": 0.24,
"nextErn": "0000-00-00",
"nextErnTod": 1630,
"lastErn": "2023-08-03",
"lastErnTod": 3,
"absAvgErnMv": 3.8015,
"impliedIee": 1.852,
"daysToNextErn": 0,
"tkOver": 0,
"etfIncl": "",
"bestEtf": "XLK",
"sectorName": "Technology Hardware & Equipment",
"correlSpy1m": 0.86,
"correlSpy1y": -0.07,
"correlEtf1m": 0.89,
"correlEtf1y": 0.34,
"beta1m": 0.94,
"beta1y": 1.28,
"ivPctile1m": 45,
"ivPctile1y": 42,
"ivPctileSpy": 78,
"ivPctileEtf": 85,
"ivStdvMean": -0.08,
"ivStdv1y": 12.98,
"ivSpyRatio": 1.56,
"ivSpyRatioAvg1m": 1.36,
"ivSpyRatioAvg1y": 1.26,
"ivSpyRatioStdv1y": 0.82,
"ivEtfRatio": 1.16,
"ivEtfRatioAvg1m": 1.01,
"ivEtfRatioAvg1y": 1,
"ivEtFratioStdv1y": 5.57,
"ivHvXernRatio": 1.03,
"ivHvXernRatio1m": 1.05,
"ivHvXernRatio1y": 0.96,
"ivHvXernRatioStdv1y": 2.86,
"etfIvHvXernRatio": 1.17,
"etfIvHvXernRatio1m": 0.99,
"etfIvHvXernRatio1y": 1,
"etfIvHvXernRatioStdv1y": 0.08,
"slopepctile": 70.63,
"slopeavg1m": 4.15,
"slopeavg1y": 3.53,
"slopeStdv1y": 0.8,
"etfSlopeRatio": 0.88,
"etfSlopeRatioAvg1m": 0.92,
"etfSlopeRatioAvg1y": 0.78,
"etfSlopeRatioAvgStdv1y": 0.18,
"impliedR2": 0.2473,
"contango": -0.02,
"nextDiv": 0.24,
"impliedNextDiv": 0.2005,
"annActDiv": 0.9826,
"annIdiv": 0.2875,
"borrow30": 5.3754,
"borrow2yr": 4.751,
"error": 0.0128,
"confidence": 71.0872,
"pxCls": 177.57,
"wksNextErn": 12,
"ernMnth": 2,
"oi": 7302176,
"straPxM1": 0.73,
"straPxM2": 3.93,
"smoothStraPxM1": 0.72,
"smoothStrPxM2": 3.89,
"fcstStraPxM1": 0.72,
"fcstStraPxM2": 4.27,
"loStrikeM1": 177.5,
"hiStrikeM1": 177.5,
"loStrikeM2": 177.5,
"hiStrikeM2": 177.5,
"ernDate1": "8/3/2023",
"ernDate2": "5/4/2023",
"ernDate3": "2/2/2023",
"ernDate4": "10/27/2022",
"ernDate5": "7/28/2022",
"ernDate6": "4/28/2022",
"ernDate7": "1/27/2022",
"ernDate8": "10/28/2021",
"ernDate9": "7/27/2021",
"ernDate10": "4/28/2021",
"ernDate11": "1/27/2021",
"ernDate12": "10/29/2020",
"ernMv1": -4.802,
"ernMv2": 4.6927,
"ernMv3": 2.44,
"ernMv4": 7.5552,
"ernMv5": 3.2793,
"ernMv6": -3.6605,
"ernMv7": 6.9777,
"ernMv8": -1.8156,
"ernMv9": -1.2196,
"ernMv10": -0.0748,
"ernMv11": -3.4985,
"ernMv12": -5.6018,
"ernStraPct1": 3.5538,
"ernStraPct2": 4.0539,
"ernStraPct3": 4.0071,
"ernStraPct4": 4.6755,
"ernStraPct5": 3.8751,
"ernStraPct6": 5.5266,
"ernStraPct7": 4.7299,
"ernStraPct8": 3.0612,
"ernStraPct9": 4.0046,
"ernStraPct10": 3.9117,
"ernStraPct11": 6.7393,
"ernStraPct12": 5.3071,
"ernEffct1": 1.8555,
"ernEffct2": 1.5834,
"ernEffct3": 1.9683,
"ernEffct4": 2.1944,
"ernEffct5": 1.2184,
"ernEffct6": 1.8229,
"ernEffct7": 1.8325,
"ernEffct8": 1.5029,
"ernEffct9": 1.3024,
"ernEffct10": 1.0663,
"ernEffct11": 0.9568,
"ernEffct12": 1.5103,
"orHvXern5d": 20.18,
"orHvXern10d": 22.81,
"orHvXern20d": 20.69,
"orHvXern60d": 21.9,
"orHvXern90d": 20.6,
"orHvXern120d": 19.75,
"orHvXern252d": 24.66,
"orHvXern500d": 29.15,
"orHvXern1000d": 31.99,
"clsHvXern5d": 9.27,
"clsHvXern10d": 21.02,
"clsHvXern20d": 17.14,
"clsHvXern60d": 20.4,
"clsHvXern90d": 18.74,
"clsHvXern120d": 17.72,
"clsHvXern252d": 22.4,
"clsHvXern500d": 27.58,
"clsHvXern1000d": 31.96,
"iv10d": 19.56,
"iv1yr": 23.32,
"fcstSlope": 3.9371,
"fcstErnEffct": 1.5678,
"ernMvStdv": 2.1593,
"impliedEe": 1.852,
"impErnMv": 2.86,
"impMth2ErnMv": 2.86,
"fairVol90d": 21.8055,
"fairXieeVol90d": 21.0445,
"fairMth2XieeVol90d": 18.3159,
"impErnMv90d": 0.47,
"impErnMvMth290d": 0.38,
"exErnIv10d": 19.56,
"exErnIv20d": 18.89,
"exErnIv30d": 18.58,
"exErnIv60d": 19.22,
"exErnIv90d": 20.36,
"exErnIv6m": 21.78,
"exErnIv1yr": 22.8,
"dlt5Iv10d": 20.67,
"dlt5Iv20d": 20.26,
"dlt5Iv30d": 18.96,
"dlt5Iv60d": 18.03,
"dlt5Iv90d": 18.93,
"dlt5Iv6m": 19.69,
"dlt5Iv1y": 20.65,
"exErnDlt5Iv10d": 20.67,
"exErnDlt5Iv20d": 20.26,
"exErnDlt5Iv30d": 18.96,
"exErnDlt5Iv60d": 18.03,
"exErnDlt5Iv90d": 18.72,
"exErnDlt5Iv6m": 19.36,
"exErnDlt5Iv1y": 20.14,
"dlt25Iv10d": 18.96,
"dlt25Iv20d": 17.53,
"dlt25Iv30d": 17.31,
"dlt25Iv60d": 18.04,
"dlt25Iv90d": 18.74,
"dlt25Iv6m": 20.02,
"dlt25Iv1y": 21.15,
"exErnDlt25Iv10d": 18.96,
"exErnDlt25Iv20d": 17.53,
"exErnDlt25Iv30d": 17.31,
"exErnDlt25Iv60d": 18.04,
"exErnDlt25Iv90d": 18.53,
"exErnDlt25Iv6m": 19.69,
"exErnDlt25Iv1y": 20.63,
"dlt75Iv10d": 22.29,
"dlt75Iv20d": 21.2,
"dlt75Iv30d": 20.91,
"dlt75Iv60d": 21.96,
"dlt75Iv90d": 23.41,
"dlt75Iv6m": 25.18,
"dlt75Iv1y": 26.62,
"exErnDlt75Iv10d": 22.29,
"exErnDlt75Iv20d": 21.2,
"exErnDlt75Iv30d": 20.91,
"exErnDlt75Iv60d": 21.96,
"exErnDlt75Iv90d": 23.2,
"exErnDlt75Iv6m": 24.84,
"exErnDlt75Iv1y": 26.1,
"dlt95Iv10d": 35.04,
"dlt95Iv20d": 33.12,
"dlt95Iv30d": 33,
"dlt95Iv60d": 31.69,
"dlt95Iv90d": 32.97,
"dlt95Iv6m": 35.33,
"dlt95Iv1y": 35.34,
"exErnDlt95Iv10d": 35.04,
"exErnDlt95Iv20d": 33.12,
"exErnDlt95Iv30d": 33,
"exErnDlt95Iv60d": 31.69,
"exErnDlt95Iv90d": 32.76,
"exErnDlt95Iv6m": 34.83,
"exErnDlt95Iv1y": 34.83,
"fwd30_20": 17.96,
"fwd60_30": 19.84,
"fwd90_60": 23.02,
"fwd180_90": 23.55,
"fwd90_30": 21.49,
"fexErn30_20": 17.96,
"fexErn60_30": 19.84,
"fexErn90_60": 22.46,
"fexErn180_90": 23.11,
"fexErn90_30": 21.19,
"ffwd30_20": 17.34,
"ffwd60_30": 20.84,
"ffwd90_60": 26.78,
"ffwd180_90": 26.08,
"ffwd90_30": 23.37,
"ffexErn30_20": 17.34,
"ffexErn60_30": 20.84,
"ffexErn90_60": 25.63,
"ffexErn180_90": 25.42,
"ffexErn90_30": 22.86,
"fbfwd30_20": 0.965506,
"fbfwd60_30": 1.05021,
"fbfwd90_60": 1.16336,
"fbfwd180_90": 1.1071,
"fbfwd90_30": 1.08745,
"fbfexErn30_20": 0.965506,
"fbfexErn60_30": 1.05021,
"fbfexErn90_60": 1.14136,
"fbfexErn180_90": 1.10007,
"fbfexErn90_30": 1.07901,
"impliedEarningsMove": 3.61,
"updatedAt": "2023-11-03 20:55:07"
}
]
}
IV Rank
Retrieves current IV rank data.
Optional attributes
- Name
ticker- Type
- string
- Description
The ticker to retrieve (multiple tickers should be comma delimited - max of 10 allowed). Ex: AAPL,TSLA
- Name
fields- Type
- string
- Description
The fields to retrieve. Ex: tradeDate,ivRank1m
curl -L "https://api.orats.io/datav2/ivrank?token=my-token&ticker=AAPL"
Response
{
"data": [
{
"ticker": "AAPL",
"tradeDate": "2023-11-03",
"iv": 18.311,
"ivRank1m": 0,
"ivPct1m": 0,
"ivRank1y": 17.49,
"ivPct1y": 12.75,
"updatedAt": "2023-11-03T20:55:02Z"
}
]
}
WHAMNEW
Retrieves the latest WHAM update for an index or index ETF: which days in the next few weeks the options market prices for a bigger move than a normal day and by how much, implied volatility you can compare across weekends and holidays, and whether the rest of today and the next trading day are priced to move more or less than usual for the time of day.
WHAM stands for Weekend and Holiday Adjustments and Macro-Moves. It covers SPX, SPY, QQQ, NDX, RUT, and IWM, and updates every hour on trading days, at 10:00 through 15:00 Eastern plus 15:46 (10:00 through 12:00 plus 12:46 on early-close days). Each update is published about five minutes after its scheduled time, so the 10:00 update is available at about 10:05. For every past update, use WHAM History in the Historical Data API. The WHAM page explains what each number is for.
Implied volatilities are decimals (0.1033 is 10.33%) annualized over 365 days, with each weekend day and market holiday counted as a small part of a trading day. Moves are one standard deviation, as a fraction of spot (0.0063 is 0.63%). Multiples are in move terms: 1.3 is a move 1.3 times a normal day's, where a normal day is a day with no event, priced at the ivExMacro level.
With .csv on the path (/datav2/wham.csv), each update is one row with a column for every value except the eventDays and calendar lists, named by its path, such as iv.d1 and today.moveMultiple.
Required attributes
- Name
ticker- Type
- string
- Description
The ticker to retrieve: SPX, SPY, QQQ, NDX, RUT, or IWM (multiple tickers should be comma delimited). Ex: SPX
Optional attributes
- Name
fields- Type
- string
- Description
The top-level fields to retrieve. A field that holds a group, such as iv or today, comes back whole. Ex: ticker,quoteDate,spot,today,nextSession
Response fields
- Name
ticker, tradeDate, quoteDate, spot- Type
- update
- Description
The underlying, the trading day, the time of the option quotes behind this update (UTC), and the underlying value at that time, derived from option prices using put-call parity and for internal use only. Spot is a reference price, not a replacement for real stock prices. For real stock prices, use a different provider. Multiply any move by spot to get it in points (dollars for SPY, QQQ, and IWM).
- Name
iv- Type
- object
- Description
WHAM implied volatility over the next 1, 3, 5, 10, and 15 trading days (d1, d3, d5, d10, d15). Weekends and holidays count as only a small part of a day, so you can compare any two expirations directly, including one after a long weekend. Divide by the square root of 365 for a one-day move.
- Name
ivExMacro- Type
- object
- Description
The same horizons with every event day counted as a normal day. The gap between iv and ivExMacro is what the event days add.
- Name
macroShare10d- Type
- number
- Description
The share of the next 10 trading days' priced variance that the event days add, as a decimal. The higher it is, the more a two-week position depends on the event days.
- Name
contango10d- Type
- number
- Description
How much ivExMacro rises from 3 to 10 trading days: ivExMacro.d10 divided by ivExMacro.d3, minus 1. Positive means more movement per day is priced further out once the event days are taken out.
- Name
exMacroCurveR2- Type
- object
- Description
How closely ivExMacro follows a straight line (line) and a curve (quadratic) across the expirations, from 0 to 1. Near 1 means the event days explain the bumps in iv; lower means some bumps are not on the event list.
- Name
today- Type
- object
- Description
The rest of today's session. restOfDayMovePct is the move priced from quoteDate to the close, and moveMultiple is that pace as a multiple of a normal day's. moveMultipleMedian is the median moveMultiple at the same time of day over earlier sessions, and moveMultipleSide says whether today is high, low, or even against it.
- Name
nextSession- Type
- object
- Description
The next trading day: its date, impliedMovePct (the move priced for the whole day), moveMultiple, moveMultipleMedian, and moveMultipleSide as in today, and event, the day's main scheduled release or the closure it follows (null when there is none).
- Name
eventDays[].date, daysAhead, label, eventType- Type
- event day
- Description
The days options price for a bigger move than a normal day, across the expirations WHAM uses (about the next three weeks for SPX). daysAhead counts trading days until the date. eventType is FOMC, CPI, Jobs (NFP), PCE, ISM, Retail Sales, JOLTS, Powell, or other; label names the release, or the closure the day follows, such as After weekend, and is null when there is neither.
- Name
eventDays[].impliedMovePct, priced, typicalMovePct, relevance- Type
- event day
- Description
The move priced for the day, and that move as a multiple of a normal day. typicalMovePct is how days of the same type moved over their last 12 occurrences, scaled to the current normal day: a record, not a forecast. relevance is Very high, High, Moderate, or Low.
- Name
hv- Type
- object
- Description
ORATS realized volatility over the last 1, 5, 10, and 20 trading days (d1, d5, d10, d20), through the close on asOf. It is annualized over 252 trading days, so compare it with iv through impliedVsRealized rather than directly. RUT uses IWM's, marked with proxy.
- Name
impliedVsRealized- Type
- object
- Description
The daily move priced by iv over the next 5 and 10 trading days, divided by the daily move hv measured over the last 5 and 10. Above 1, options price more movement than the underlying has shown.
- Name
calendar[].date, dow, label, timeEt, eventType- Type
- calendar day
- Description
Every weekday from tradeDate through 30 days out. Trading days have the day's main release and its time (Eastern, HH:MM). On a day with no release, label names the closure the day follows, such as After weekend, or is null, and timeEt is null. Market holidays have closed, the holiday's name, in place of the release fields, and halfDay is true on early closes.
- Name
calendar[].priced, typical, tail, recent, relevance- Type
- calendar day
- Description
priced is the day's multiple when it is one of the eventDays, else null. typical is the median move of this type's last 12 occurrences over the median move of the last 250 ordinary days (days with no classified release), and tail is the share of those 12 that moved more than 1.5 times an ordinary day. recent, on the named types only, combines them into one label: active when typical is 1.25 or more or when tail is at least half, otherwise quiet when typical is below 0.85, and normal otherwise. relevance matches eventDays; on a market holiday it is Weekend/holiday adjustment.
curl -L "https://api.orats.io/datav2/wham?token=my-token&ticker=SPX"
Response
{
"data": [
{
"ticker": "SPX",
"tradeDate": "2026-10-12",
"quoteDate": "2026-10-12T18:02:33Z",
"spot": 7803.6,
"iv": {
"d1": 0.0749,
"d3": 0.0994,
"d5": 0.1033,
"d10": 0.1083,
"d15": 0.1234
},
"ivExMacro": {
"d1": 0.0749,
"d3": 0.0907,
"d5": 0.0984,
"d10": 0.1061,
"d15": 0.1162
},
"macroShare10d": 0.0402,
"contango10d": 0.1698,
"exMacroCurveR2": {
"line": 0.9311,
"quadratic": 0.9553
},
"today": {
"restOfDayMovePct": 0.0012,
"moveMultiple": 0.44,
"moveMultipleMedian": 0.75,
"moveMultipleSide": "low"
},
"nextSession": {
"date": "2026-10-13",
"impliedMovePct": 0.0044,
"moveMultiple": 0.85,
"moveMultipleMedian": 1.01,
"moveMultipleSide": "low",
"event": "Existing Home Sales"
},
"eventDays": [
{
"date": "2026-10-14",
"daysAhead": 2,
"label": "CPI",
"eventType": "CPI",
"impliedMovePct": 0.0063,
"priced": 1.22,
"typicalMovePct": 0.0035,
"relevance": "Very high"
},
{
"date": "2026-10-28",
"daysAhead": 12,
"label": "FOMC",
"eventType": "FOMC",
"impliedMovePct": 0.0094,
"priced": 1.3,
"typicalMovePct": 0.0043,
"relevance": "Very high"
},
{
"date": "2026-10-29",
"daysAhead": 13,
"label": "PCE",
"eventType": "PCE",
"impliedMovePct": 0.0094,
"priced": 1.27,
"typicalMovePct": 0.0088,
"relevance": "High"
}
],
"hv": {
"d1": 0.0757,
"d5": 0.0817,
"d10": 0.0852,
"d20": 0.0953,
"asOf": "2026-10-09"
},
"impliedVsRealized": {
"d5": 1.05,
"d10": 1.06
},
"calendar": [
{
"date": "2026-10-12",
"dow": "Mon",
"label": "After weekend",
"timeEt": null,
"eventType": "other",
"priced": null,
"typical": 1,
"tail": 0.32,
"relevance": "Low"
},
{
"date": "2026-10-13",
"dow": "Tue",
"label": "Existing Home Sales",
"timeEt": "10:00",
"eventType": "other",
"priced": null,
"typical": 1,
"tail": 0.32,
"relevance": "Low"
},
{
"date": "2026-10-14",
"dow": "Wed",
"label": "CPI",
"timeEt": "08:30",
"eventType": "CPI",
"priced": 1.22,
"typical": 0.68,
"tail": 0.42,
"recent": "quiet",
"relevance": "Very high"
},
{
"date": "2026-10-15",
"dow": "Thu",
"label": "Retail Sales",
"timeEt": "08:30",
"eventType": "Retail Sales",
"priced": null,
"typical": 1.14,
"tail": 0.25,
"recent": "normal",
"relevance": "Moderate"
},
...
]
}
]
}
