Advanced Volatility API

New to SVI surfaces? Advanced Volatility API Guide explains SVI parameterization, variance surfaces, and arbitrage detection. Also see: Build an IV Surface in Python for a hands-on tutorial.

Endpoint

GET /v1/adv_volatility/{symbol}

Auth required (X-Api-Key) Rate Limited: Yes Plan: Alpha+

Parameters

Name	In	Type	Required	Default	Description
`symbol`	path	string	required	-	Underlying symbol (e.g. `SPY`, `TSLA`, `AAPL`)

Works with CME futures. Pass ES=F or NQ=F and URL-encode the = as %3D - e.g. /v1/adv_volatility/ES%3DF. Options-on-futures are priced with Black-76 using the CME multiplier ($50/pt ES, $20/pt NQ); CME futures are Growth plan. See the futures hub.

Request

curl -H "X-Api-Key: YOUR_API_KEY" \
  "https://lab.flashalpha.com/v1/adv_volatility/SPY"

import requests

resp = requests.get(
    "https://lab.flashalpha.com/v1/adv_volatility/SPY",
    headers={"X-Api-Key": "YOUR_API_KEY"}
)
resp.raise_for_status()
data = resp.json()
print(f"SVI a: {data['svi_parameters'][0]['a']}")
print(f"ATM IV: {data['svi_parameters'][0]['atm_iv']}%")
print(f"Arbitrage flags: {len(data['arbitrage_flags'])}")

const resp = await fetch(
  "https://lab.flashalpha.com/v1/adv_volatility/SPY",
  { headers: { "X-Api-Key": "YOUR_API_KEY" } }
);
if (!resp.ok) throw new Error(`HTTP ${resp.status}`);
const data = await resp.json();
console.log(`SVI a: ${data.svi_parameters[0].a}`);
console.log(`ATM IV: ${data.svi_parameters[0].atm_iv}%`);
console.log(`Arbitrage flags: ${data.arbitrage_flags.length}`);

Try it live

Runs on live market data and uses 1 request from your daily quota.

API key

GET

View response ↓

Response

{
  "symbol": "SPY",
  "underlying_price": 760.37,
  "as_of": "2026-10-30T13:45:28.6960933Z",
  "market_open": true,
  "svi_parameters": [
    {
      "expiry": "2026-11-02",
      "days_to_expiry": 3,
      "forward": 760.456,
      "a": -0.00819,
      "b": 0.045303,
      "rho": -0.469429,
      "m": -0.093583,
      "sigma": 0.207334,
      "atm_total_variance": 0.000126,
      "atm_iv": 11.78
    },
    {
      "expiry": "2026-11-03",
      "days_to_expiry": 4,
      "forward": 760.5233,
      "a": -0.004963,
      "b": 0.03297,
      "rho": -0.419674,
      "m": -0.054412,
      "sigma": 0.170696,
      "atm_total_variance": 0.000191,
      "atm_iv": 12.73
    }
  ],
  "forward_prices": [
    {
      "expiry": "2026-11-02",
      "days_to_expiry": 3,
      "forward": 760.456,
      "spot": 760.37,
      "basis_pct": 0.0113
    },
    {
      "expiry": "2026-11-03",
      "days_to_expiry": 4,
      "forward": 760.5233,
      "spot": 760.37,
      "basis_pct": 0.0202
    }
  ],
  "total_variance_surface": {
    "moneyness": [
      -0.5,
      -0.475,
      -0.45
    ],
    "expiries": [
      "2026-11-02",
      "2026-11-03",
      "2026-11-04"
    ],
    "tenors": [
      0.009046,
      0.011786,
      0.014525
    ],
    "total_variance": [
      [
        0.021123,
        0.019589,
        0.01807
      ],
      [
        0.016934,
        0.015822,
        0.014715
      ]
    ],
    "implied_vol": [
      [
        152.81,
        147.16,
        141.34
      ],
      [
        119.87,
        115.86,
        111.74
      ]
    ]
  },
  "arbitrage_flags": [
    {
      "expiry": "2026-11-02/2026-11-03",
      "type": "calendar",
      "strike_or_k": -0.3,
      "description": "Calendar arb at k=-0.3: w(2026-11-02)=0.0095 > w(2026-11-03)=0.0083"
    },
    {
      "expiry": "2026-11-06/2026-11-09",
      "type": "calendar",
      "strike_or_k": -0.3,
      "description": "Calendar arb at k=-0.3: w(2026-11-06)=0.0101 > w(2026-11-09)=0.0080"
    }
  ],
  "variance_swap_fair_values": [
    {
      "expiry": "2026-11-02",
      "days_to_expiry": 3,
      "fair_variance": 0.000809,
      "fair_vol": 29.9,
      "atm_iv": 11.78,
      "convexity_adjustment": 18.12
    },
    {
      "expiry": "2026-11-03",
      "days_to_expiry": 4,
      "fair_variance": 0.000868,
      "fair_vol": 27.14,
      "atm_iv": 12.73,
      "convexity_adjustment": 14.41
    }
  ],
  "greeks_surfaces": {
    "vanna": {
      "strikes": [
        647,
        648,
        649
      ],
      "expiries": [
        "2026-10-30",
        "2026-11-02",
        "2026-11-03"
      ],
      "values": [
        [
          0,
          0,
          0
        ],
        [
          0,
          0,
          0
        ]
      ]
    },
    "charm": {
      "strikes": [
        647,
        648,
        649
      ],
      "expiries": [
        "2026-10-30",
        "2026-11-02",
        "2026-11-03"
      ],
      "values": [
        [
          0,
          0,
          0
        ],
        [
          0,
          0,
          0
        ]
      ]
    },
    "volga": {
      "strikes": [
        647,
        648,
        649
      ],
      "expiries": [
        "2026-10-30",
        "2026-11-02",
        "2026-11-03"
      ],
      "values": [
        [
          0,
          0,
          0
        ],
        [
          0,
          0,
          0
        ]
      ]
    },
    "speed": {
      "strikes": [
        647,
        648,
        649
      ],
      "expiries": [
        "2026-10-30",
        "2026-11-02",
        "2026-11-03"
      ],
      "values": [
        [
          0,
          0,
          0
        ],
        [
          0,
          0,
          0
        ]
      ]
    }
  },
  "endpoint_version": "2026.09.30",
  "data_as_of": {
    "node": "fa4",
    "equity_feed": "2026-10-30T13:45:28.23Z",
    "equity_options_feed": "2026-10-30T13:45:28Z",
    "index_feed": "2026-10-30T13:45:28.116Z",
    "index_options_feed": "2026-10-30T13:45:25Z",
    "futures_feed": "2026-10-30T13:45:26.817Z",
    "futures_options_feed": "2026-10-30T13:45:17.77Z",
    "flow_feed": "2026-10-30T13:45:00Z",
    "oi_feed": "2026-10-29T20:00:00Z",
    "macro_feed": "2026-10-29T21:00:20Z"
  }
}

Sending request…

See this endpoint on live data

Send this exact request and the real response shows up here, right next to the example.

Responses can exceed 210 KB.

Response Fields

Field	Type	Description
`symbol`	string	Underlying symbol
`underlying_price`	number	Underlying price used for the calculation
`as_of`	string	Timestamp of the data (ISO 8601, UTC)
`market_open`	boolean	`true` during US market hours
`svi_parameters`	array	Raw SVI parameterization per expiry: w(k) = a + b(ρ(k−m) + √((k−m)² + σ²)) - see Fields of `svi_parameters[]` below
`forward_prices`	array	Forward price per expiry
`forward_prices[].expiry`	string	Expiration date (`yyyy-MM-dd`)
`forward_prices[].days_to_expiry`	number	Calendar days to expiration
`forward_prices[].forward`	number	Forward prices: forward
`forward_prices[].spot`	number	Forward prices: spot
`forward_prices[].basis_pct`	number	(Forward − Spot) / Spot × 100
`total_variance_surface`	object	Total variance w(k,T) on a log-moneyness × expiry grid - see variance surface
`total_variance_surface.moneyness`	array of number	Log-moneyness grid: −0.5 to +0.5 in 0.025 steps (41 points)
`total_variance_surface.expiries`	array of string	Total variance surface: expiries
`total_variance_surface.tenors`	array of number	Time to expiry in years
`total_variance_surface.total_variance`	array of array	w(k,T) values - rows=expiries, columns=moneyness
`total_variance_surface.implied_vol`	array of array	IV (%) from total variance: σ = √(w/T) × 100
`arbitrage_flags`	array	Arbitrage violations found on the surface
`arbitrage_flags[].expiry`	string	Expiration date (`yyyy-MM-dd`)
`arbitrage_flags[].type`	string	Arbitrage type: `butterfly` (∂²w/∂k² < 0) or `calendar` (w decreasing in T)
`arbitrage_flags[].strike_or_k`	number	Log-moneyness where violation occurs
`arbitrage_flags[].description`	string	Plain-English description
`variance_swap_fair_values`	array	Variance swap fair values per expiry
`variance_swap_fair_values[].expiry`	string	Expiration date (`yyyy-MM-dd`)
`variance_swap_fair_values[].days_to_expiry`	number	Calendar days to expiration
`variance_swap_fair_values[].fair_variance`	number	Integrated fair variance over [−15%, +15%] moneyness
`variance_swap_fair_values[].fair_vol`	number	√(fair_variance / T) × 100
`variance_swap_fair_values[].atm_iv`	number	At-the-money implied volatility
`variance_swap_fair_values[].convexity_adjustment`	number	fair_vol − atm_iv - positive = convexity premium from wings
`greeks_surfaces`	object	Vanna, charm, volga and speed surfaces across strikes and expiries - see Fields of `greeks_surfaces` below
`endpoint_version`, `data_as_of`	string, object	Response envelope, see Response envelope.

Fields of `svi_parameters[]`

Field	Type	Description
`svi_parameters[].expiry`	string	Expiration date (`yyyy-MM-dd`)
`svi_parameters[].days_to_expiry`	number	Calendar days to expiration
`svi_parameters[].forward`	number	Implied forward price from put-call parity
`svi_parameters[].a`	number	SVI parameters: a
`svi_parameters[].b`	number	SVI parameters: b
`svi_parameters[].rho`	number	SVI parameters: rho
`svi_parameters[].m`	number	SVI parameters: m
`svi_parameters[].sigma`	number	SVI parameters: sigma
`svi_parameters[].atm_total_variance`	number	w(0) - total variance at-the-money
`svi_parameters[].atm_iv`	number	ATM implied vol (%) derived from total variance

Fields of `greeks_surfaces`

Field	Type	Description
`greeks_surfaces.vanna`	object	Vanna: ∂²V/∂S∂σ - delta sensitivity to vol changes
`greeks_surfaces.vanna.strikes`	array of number	Vanna: strikes
`greeks_surfaces.vanna.expiries`	array of string	Vanna: expiries
`greeks_surfaces.vanna.values`	array of array	Vanna: values
`greeks_surfaces.charm`	object	Charm: ∂²V/∂S∂t - delta decay over time (call options)
`greeks_surfaces.charm.strikes`	array of number	Charm: strikes
`greeks_surfaces.charm.expiries`	array of string	Charm: expiries
`greeks_surfaces.charm.values`	array of array	Charm: values
`greeks_surfaces.volga`	object	Volga: ∂²V/∂σ² - vega convexity
`greeks_surfaces.volga.strikes`	array of number	Volga: strikes
`greeks_surfaces.volga.expiries`	array of string	Volga: expiries
`greeks_surfaces.volga.values`	array of array	Volga: values
`greeks_surfaces.speed`	object	Speed: ∂³V/∂S³ - gamma sensitivity to spot
`greeks_surfaces.speed.strikes`	array of number	Speed: strikes
`greeks_surfaces.speed.expiries`	array of string	Speed: expiries
`greeks_surfaces.speed.values`	array of array	Speed: values

Errors

Status	Error	When
`401`	-	Missing or invalid `X-Api-Key`. The body is empty; check the status code before parsing JSON.
`403`	`tier_restricted`	Your plan is below Alpha. The body includes `current_plan` and `required_plan`.
`404`	`symbol_not_found`	No data for the symbol (unknown symbol, or no live data). Outside US market hours the message also says the market is closed.
`429`	`Quota exceeded`	Daily quota used up. `Retry-After` gives the seconds until the reset at 00:00 UTC. Rejected requests (including 403) count toward the quota.

Use Cases

Build the surface - feed the per-expiry SVI parameters (a, b, rho, m, sigma) into a smooth SVI-fitted implied vol surface for any strike and tenor, and check arbitrage_flags before relying on it
Price the convexity premium - compare fair variance vs ATM IV to quantify the premium priced into the wings for variance-swap and dispersion trades
Scan for arbitrage - read the butterfly and calendar violation flags to catch mispriced strikes and surface inconsistencies in real time
Manage second-order risk - use the vanna, charm, volga, and speed greeks surfaces to map exposure across strikes and expiries for portfolio hedging
Calibrate your own models - pass the raw SVI coefficients into local-vol, stochastic-vol, or exotic pricers as a clean starting fit
Monitor surface stability - track day-over-day shifts in SVI parameters to detect regime changes before they show up in ATM IV

Complementary endpoints

Volatility - realized vol, IV-RV spreads, skew, and term structure context
SVI Parameters - the raw SVI coefficients on their own for custom models
Skew Term Structure - skew and term structure isolated across expiries
Dispersion - index-vs-constituent vol for dispersion and correlation trades

Start typing to search

Free

Basic

Growth

Alpha

Professional & Enterprise

Enterprise

Endpoint

Parameters

Request

Response

Response Fields

Fields of `svi_parameters[]`

Fields of `greeks_surfaces`

Errors

Use Cases

Related reading

Complementary endpoints

Ready to build with FlashAlpha?

Unlock DEX, VEX and CHEX with Basic

Go full-chain with Growth

Add history and vol surfaces with Alpha

How did you hear about us?

Endpoint

Parameters

Request

Response

Response Fields

Fields of svi_parameters[]

Fields of greeks_surfaces

Errors

Use Cases

Related

Related reading

Complementary endpoints

Ready to build with FlashAlpha?

Unlock DEX, VEX and CHEX with Basic

Go full-chain with Growth

Add history and vol surfaces with Alpha

Fields of `svi_parameters[]`

Fields of `greeks_surfaces`