Realized Volatility
Returns implied and realized volatility history for a ticker. days selects the realized volatility
horizon in trading days. Each realized horizon uses its mapped implied volatility horizon. The default
is 21 trading days of realized volatility paired with 30 calendar days of implied volatility.
A row’s date is the implied volatility observation date. unshifted_rv_date is the date when the
realized volatility window ends. Recent rows can have a null realized value until that window ends.
For CBOE index tickers such as SPX or VIX the index price is returned as null and the row is marked missing_periscope. If the request filters with min_underlying_price, max_underlying_price, min_stock_price, max_stock_price, min_diff, max_diff, min_implied_move, max_implied_move, min_return_on_capital, max_return_on_capital, min_return_on_capital_perc or max_return_on_capital_perc, rows for these index tickers are left out of the response. CBOE index prices require provisioned access and CBOE approval. Contact [email protected], [email protected] or [email protected] to request access.
