Options · Exposure, levels, volatility and OI

Options volatility expected move

One-standard-deviation expected move to each expiration from at-the-money implied volatility.

GET/v1/options/volatility/expected-moveoptionsVolatilityExpectedMove

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

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Example request
Parameters
Response
Example response
Related

For each listed expiration, the move the options market implies for the underlying by that expiration at one standard deviation (price x at-the-money implied volatility x the square root of the time to expiry), in points and percent, with the resulting lower and upper bound around the current price. It is a statistic of option prices, not a forecast; roughly two thirds of outcomes fall inside the bounds if the volatility is right.

Example request

curl -sS --get "https://api.ordermap.si/v1/options/volatility/expected-move" \
  -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/volatility/expected-move?${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

6 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 current session, else the most recent completed one.
`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.
`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.
`max_expirations`queryoptional	integerdefault 20min 1max 100	Number of expirations to return, soonest first.

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>required11 fields inside
- atm_implied_volatilitynumber | nullrequiredAt-the-money implied volatility.
- date_of_expirystringdaterequiredExpiration.
- days_to_expiryintegerrequiredDays from the trading date.
- expected_movenumber | nullrequiredOne standard deviation in points.
- expected_move_percentnumber | nullrequiredThe move in percent of the underlying price.
- forwardnumber | nullrequiredForward price.
- lower_boundnumber | nullrequiredUnderlying price minus the expected move.
- settlementstringrequiredam (settles on the opening prices) or pm (the close).ampm
- underlying_pricenumber | nullrequiredUnderlying price.
- underlying_symbolstringrequiredOption root of the expiration.
- upper_boundnumber | nullrequiredUnderlying price plus the expected move.
metaobjectrequiredMeta object

Example response

{
  "data": [
    {
      "atm_implied_volatility": 0.142,
      "date_of_expiry": "2026-10-16",
      "days_to_expiry": 0,
      "expected_move": 24.6,
      "expected_move_percent": 0.4085,
      "forward": 6021.5,
      "lower_bound": 5996.8,
      "settlement": "pm",
      "underlying_price": 6021.4,
      "underlying_symbol": "SPXW",
      "upper_bound": 6046
    }
  ],
  "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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