Vol-of-Vol Index: answers "how unstable is this name's volatility itself?" For

Vol-of-Vol Index: answers "how unstable is this name's volatility itself?" For each US optionable equity, per trading day: the coefficient of variation of its ~30-day implied vol (iv_vov) and 20-day realized vol (hv_vov) over the trailing month (std/mean of the last 21 observations), the underlying trailing mean and std, and a daily cross-sectional ranking of the most vol-unstable names. Rows update intraday and settle after the close (is_final=1).

High vol-of-vol names are where vega risk is most treacherous (and where vol dislocations appear); low vol-of-vol names have sticky, well-behaved vol surfaces.

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.

get/v1/vol-of-vol

Request

  • Base URL: https://api.alphanume.com
  • URL: https://api.alphanume.com/v1/vol-of-vol
  • Auth: one of:
    • API key in header X-API-Key
    • HTTP bearer

Query parameters

tickerstring

Ticker symbol filter, e.g. 'AAPL'. Case-insensitive.

datestring

Exact date, YYYY-MM-DD. Cannot be combined with the date range parameters.

date_gtestring

Start of date range, inclusive (YYYY-MM-DD).

date_ltestring

End of date range, inclusive (YYYY-MM-DD).

date_gtstring

Start of date range, exclusive (YYYY-MM-DD).

date_ltstring

End of date range, exclusive (YYYY-MM-DD).

min_iv_vovnumber

Only rows with iv_vov >= this value (>= 0).

max_iv_vovnumber

Only rows with iv_vov <= this value.

min_hv_vovnumber

Only rows with hv_vov >= this value (>= 0).

max_hv_vovnumber

Only rows with hv_vov <= this value.

min_iv_vov_ranknumber

Only rows whose implied vol-of-vol sits at or above this cross-sectional percentile for the day, in [0, 1].

min_hv_vov_ranknumber

Only rows whose realized vol-of-vol sits at or above this cross-sectional percentile for the day, in [0, 1].

only_finalboolean

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.

countinteger required
dataobject[] required

Changes

No recorded changes to this operation across all 1 revision of this API.