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ALPHA TIER HISTORICAL

Historical CHEX Data API

Query charm exposure by strike at any minute since April 2018. Charm captures how delta decays with time - driving the well-known "afternoon drift" as dealers re-hedge into the close. Same shape as live /v1/exposure/chex.

Coverage
2017-01-03 → 2026-07-17
Granularity
1 minute
Tier
Alpha+
Format
JSON (REST)

Endpoint

GET /v1/exposure/chex/{symbol}?at=...
Host: historical.flashalpha.com Auth: X-Api-Key Tier: Alpha
NameInRequiredDefaultDescription
symbolpathyes-Underlying symbol
atqueryyes-As-of timestamp (ET)
expirationquerynoallFilter to a single expiry
 
curl -H "X-Api-Key: YOUR_API_KEY" \
  "https://historical.flashalpha.com/v1/exposure/chex/SPY?at=2020-03-16T15:30:00"

Response

{
  "symbol": "SPY",
  "underlying_price": 246.01,
  "as_of": "2020-03-16T15:30:00",
  "payload": {
    "net_chex": -13122349,
    "chex_interpretation": "Time decay pushing dealers to sell - pressure into close",
    "strikes": [ { "strike": 240, "call_chex": 1820.4, "put_chex": -812.0, "net_chex": 1008.4 } ]
  }
}

What This Unlocks

  • Quantify the "afternoon drift" across years of historical data - separate genuine net_chex-driven flow from noise.
  • Build close-time models using minute-level net_chex + theta features.
  • Validate end-of-day bias claims against the actual minute-by-minute hedging trajectory.
  • Read the regime label - use chex_interpretation to flag days where time decay pushes dealers to sell into the close.
  • Locate charm-heavy strikes - scan per-strike call_chex / put_chex to see where decay-driven hedging concentrates near expiry.

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