Volatility risk premium screener: answers "are this name's options rich or cheap
Volatility risk premium screener: answers "are this name's options rich or cheap right now?" For every liquid US optionable equity, per trading day: ~30-day at-the-money implied volatility (iv) vs ~30-day realized volatility (hv), their spread (iv-hv) and ratio (iv/hv), plus daily cross-sectional percentile ranks and z-scores for each measure, option notional volume, and the ATM strike/expiry/spot used. Rows update intraday (is_final=0) and settle after the close (is_final=1).
Use it to find overpriced premium to sell (high iv_hv_ratio / min_ratio_rank near 1), underpriced options to buy, or to track one ticker's premium history via ticker.
Requires an Alphanume Pro API key. A 403 PRO_SUBSCRIPTION_REQUIRED or DATE_RANGE_RESTRICTED error means the key's plan does not cover the request -- it does not mean the data is missing.
Request
- Base URL: https://api.alphanume.com
- URL: https://api.alphanume.com/v1/iv-hv-premium
- Auth: one of:
- API key in header X-API-Key
- HTTP bearer
Query parameters
Ticker symbol filter, e.g. 'AAPL'. Case-insensitive.
Exact date, YYYY-MM-DD. Cannot be combined with the date range parameters.
Start of date range, inclusive (YYYY-MM-DD).
End of date range, inclusive (YYYY-MM-DD).
Start of date range, exclusive (YYYY-MM-DD).
End of date range, exclusive (YYYY-MM-DD).
Only rows with iv_hv_ratio >= this value (e.g. 1.5 for names whose options price 50%+ over realized vol).
Only rows with iv_hv_ratio <= this value (e.g. 0.9 to screen for cheap options).
Only rows whose iv/hv ratio sits at or above this cross-sectional percentile for the day, in [0, 1]. 0.95 = the day's richest 5%.
If true, return only settled end-of-day rows (is_final=1). By default the latest value is returned, which intraday may be provisional.
Response
Matching rows.
Changes
No recorded changes to this operation across all 1 revision of this API.