Implied Volatility Term Structure

GET https://api.unusualwhales.com/api/stock/{ticker}/volatility/term-structure

Request

Security: Bearer Auth Authorization: Bearer <token>

Path Parameters

ticker SingleTicker required

A single ticker

Example: AAPL

Query Parameters

date Optional Market Date optional

A trading date in the format of YYYY-MM-DD. This is optional and by default the last trading date.

Example: 2024-01-18

Responses

200 422 500

Response Body 200 OK

date Market General Trading day

A trading date in ISO format.

Example: 2023-09-08

dte DTE

The number of days until the option expires.

Example: 5

expiry Stock Expiry

The expiry of an options cycle as an ISO date.

Example: 2023-09-08

implied_move Stock Implied Move

The implied move of the underlying stock by a given date based on the money option contracts. It is calculated by multiplying the sum of the call and put price by 0.85. If no expiry date is included, then the implied move is for the nearest end of the week expiration (the nearest monthly expiration if there are no weekly contracts).

Example: 2.2398043036460877

implied_move_perc Stock Implied Move Perc

The implied move as a percentage of the underlying stock price.

Example: 0.012247398860706955

volatility Stock Volatility

The implied volatility average of the at the money put and call option contracts. If no expiry date is included, then the volatility is of the nearest end of the week expiration (the nearest monthly expiration if there are no weekly contracts).

Example: 0.18338055163621902

Try It GET

API Token

Path Parameters

ticker required

Query Parameters

date Optional Market Date

Request Sample

curl -X GET "https://api.unusualwhales.com/api/stock/{ticker}/volatility/term-structure" \
  -H "Authorization: Bearer YOUR_API_KEY" \
  -H "Accept: application/json"

import http.client

conn = http.client.HTTPSConnection("api.unusualwhales.com")
headers = {"Authorization": "Bearer YOUR_API_KEY", "Accept": "application/json"}
conn.request("GET", "/api/stock/{ticker}/volatility/term-structure", headers=headers)
response = conn.getresponse()
print(response.read().decode("utf-8"))

Response Example 200

{
  "data": [
    {
      "date": "2023-09-08",
      "dte": 0,
      "expiry": "2023-09-08",
      "implied_move": "3.1025",
      "implied_move_perc": "0.01765",
      "volatility": "0.2319"
    },
    {
      "date": "2023-09-08",
      "dte": 7,
      "expiry": "2023-09-15",
      "implied_move": "4.923",
      "implied_move_perc": "0.02747",
      "volatility": "0.2352"
    }
  ]
}