Options · Exposure, levels, volatility and OI

Options levels history

Key levels of the modeled gamma exposure through a session.

GET/v1/options/levels/historyoptionsLevelsHistory

API Developer Overnight data: API Pro History-bounded Dataset: options

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Example request
Parameters
Response
Example response
Related

The gamma flip, call wall, put wall, largest absolute gamma strike, largest cell strike and net gamma exposure at each bucket of a session, with the underlying price, from the retained minute timelines. Buckets without a valuation are omitted. Sessions older than the retained timelines are not available. Dealer positioning is a model, not observed: with classic_oi the dealer is assumed long the calls and short the puts of the open interest, with flow_adjusted the classified prints since the open interest date adjust it. Public open interest does not identify who holds a position, so the values are estimates of exposure under that assumption.

Example request

curl -sS --get "https://api.ordermap.si/v1/options/levels/history" \
  -H "Authorization: Bearer $ORDERMAP_API_KEY" \
  --data-urlencode underlying_symbol=SPXW

const params = new URLSearchParams({
  underlying_symbol: "SPXW",
});
const res = await fetch(`https://api.ordermap.si/v1/options/levels/history?${params}`, {
  headers: { Authorization: `Bearer ${process.env.ORDERMAP_API_KEY}` },
});
if (!res.ok) throw new Error(`${res.status} ${await res.text()}`);
const { data, meta } = await res.json();
console.log(data, meta.coverage);

Set ORDERMAP_API_KEY to your key. Replace the dates with a recent trading date.

Parameters

10 parameters, 1 required.

Parameter	Type and limits	Description
`underlying_symbol`queryrequired	stringat most 8 characterspattern ^[A-Za-z][A-Za-z0-9.]{0,7}$	Option root or family: SPX covers the SPX and SPXW roots, SPXW only the weekly root, QQQ, NDXP, RUTW, XSP ...
`date`queryoptional	stringdate	Trading date (YYYY-MM-DD). Default: the most recent session.
`session`queryoptional	stringrthgthdefault rth	Trading session: rth is the regular session, gth the overnight (global trading hours) session before the trading date. Overnight data requires the Pro plan and exists only for underlyings with an overnight session; GET /v1/options/sessions shows which.
`contract_type`queryoptional	stringcallput	Calls or puts. Omit for both.
`date_of_expiry`queryoptional	stringdate	Only this expiration.
`min_dte`queryoptional	integermin 0max 3650	Minimum days to expiration (0 = expires on the trading date).
`max_dte`queryoptional	integermin 0max 3650	Maximum days to expiration.
`interval`queryoptional	string5m15m30m1hdefault 5m	Bucket length: 5m, 15m, 30m or 1h (the gamma flip needs at least 5m).
`unit`queryoptional	stringper_percentper_dollarrawdefault per_percent	Scale of the net exposure.
`model`queryoptional	stringclassic_oiflow_adjusteddefault classic_oi	Dealer positioning model.

Response

Status	Meaning	Body
`200`	Successful response.	Schema below
`400`	Invalid, unknown or repeated parameters, or an invalid cursor.	Error object
`401`	Missing or invalid API key.	Error object
`403`	The plan, dataset release or account state does not allow this request.	Error object
`422`	The request is valid but no data exists for it.	Error object
`429`	Rate limit, burst limit or cooldown; wait Retry-After seconds.Retry-After	Error object
`500`	Internal error.	Error object
`503`	Data temporarily unavailable; retry after Retry-After seconds.Retry-After	Error object
`504`	The request timed out.	Error object

Authenticated responses carry the X-RateLimit-* headers (see rate limits); 429 and 503 add Retry-After.

200 response body

dataarray<object>required8 fields inside
- call_wallnumber | nullrequiredCall wall.
- gamma_flipnumber | nullrequiredGamma flip (model-derived).
- largest_absolute_gamma_strikenumber | nullrequiredStrike of the largest absolute gamma.
- largest_cell_strikenumber | nullrequiredStrike of the largest strike-by-expiration cell.
- net_exposurenumber | nullrequiredNet modeled gamma exposure.
- put_wallnumber | nullrequiredPut wall.
- timestampintegerunix-msrequiredValuation time. Unix epoch milliseconds (UTC).
- underlying_pricenumber | nullrequiredUnderlying price.
metaobjectrequiredMeta object

Example response

{
  "data": [
    {
      "call_wall": 6050,
      "gamma_flip": 5934.5,
      "largest_absolute_gamma_strike": 6000,
      "largest_cell_strike": 6000,
      "net_exposure": -1200000000,
      "put_wall": 5950,
      "timestamp": 1792161000000,
      "underlying_price": 6021.4
    }
  ],
  "meta": {
    "as_of": 1760659200123,
    "coverage": {
      "complete": true
    },
    "delay_ms": 0,
    "delayed": false,
    "request_id": "0199f0c2-5a1e-7c3b-9d4e-2b6f8a1c3d5e",
    "source": "opra"
  }
}

Values are illustrative. Missing values are null, never 0.

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