API Enterprise

Region-wide historic volatility for a single date. One request returns how much every covered instrument in the requested region has actually been moving, across six trailing windows in every row. Historic volatility — also called realized volatility — is the annualized standard deviation of daily logarithmic returns, quoted in percent.

Built for enterprise consumers: a single call replaces a per-ticker fan-out, the response is uncharged (no credits), and every row carries the full instrument-identity block so it can be joined straight onto your own security master.

The 5- and 10-day windows react within days of a move and are the ones to compare against short-dated implied volatility; the longer windows say whether that reading is unusual for the stock. Because a 5-day window holds only five returns it is expected to be spiky — that responsiveness is the point of it, not noise in the data.

Available Data Points:

• Date: The trading date the volatility readings are as of. (YYYY-MM-DD format).
• Date: The specific date for which the data is retrieved (YYYY-MM-DD format).
• Company: The name of the company issuing the security.
• Ticker: The ticker symbol associated with the security.
• Operating MIC: The operating Market Identifier Code of the security.
• MIC: The Market Identifier Code (MIC) for the traded security.
• ISIN: The International Securities Identification Number for the security.
• FIGI: The Financial Instrument Global Identifier.
• Share Class FIGI: The Financial Instrument Global Identifier for the share class.
• Ortex Company ID: Unique id for a company.
• Ortex Security ID: Unique id for a security issued by a company.
• Ortex Tradable item ID: Unique id for a listing of a security.
• Ortex Tradable item main indicator: Indicates if the trading item is the main trading item for the security.
• Tradable Item Currency: The currency of the tradable item.
• Exchange Country: The country location of the exchange.
• HV 5D: Annualized volatility over the trailing 5 trading days, in percent.
• HV 10D: Annualized volatility over the trailing 10 trading days, in percent.
• HV 20D: Annualized volatility over the trailing 20 trading days, in percent.
• HV 30D: Annualized volatility over the trailing 30 trading days, in percent.
• HV 60D: Annualized volatility over the trailing 60 trading days, in percent.
• HV 90D: Annualized volatility over the trailing 90 trading days, in percent.

Region and date

Use region to select the universe (a region name, an ISO-2 country code, or "ALL"; defaults to US) and date to select the snapshot day (defaults to the latest available). Each listing reports its most recent reading on or before that date, so an instrument that did not trade that day still appears rather than dropping out of the response.

Method

Each value is the sample standard deviation of the daily log returns in its window, annualized by the square root of 252 trading days and multiplied by 100. Prices are closing prices; which adjustments are applied to them before measuring is set by the price basis parameters below.

Price basis

Two parameters choose the price series the volatility is measured on. adjust_for_split defaults to true and should normally stay there: on an unadjusted series a 1:10 split is a -90% one-day return, which inside a 5-day window prints a volatility in the hundreds of percent for a week. adjust_for_dividend defaults to false, giving the price-return basis every volatility vendor quotes and the one that lines up with implied volatility, because options are struck on price rather than total return; set it to true for total-return volatility. Volatility is unchanged by scaling a whole price series, so each parameter changes the answer only for windows containing a split or an ex-dividend date respectively — elsewhere all four combinations agree.

Coverage

A window is null until the listing has enough closing prices to fill it, so a recently listed instrument reports its short windows before its long ones. A window spanning a gap in the price history is also null rather than being computed from fewer days than its name claims. Listings with no usable price history are absent from the response rather than present with every window null.

Try it out! You can test the API with the trial key TEST. Simply include it in your request headers; either here, or add the header "Ortex-Api-Key": "TEST" to your http request.

Trial key restrictions: Trial keys may be limited to a specific date range and set of regions. Requests outside the allowed regions or entirely outside the allowed date range are rejected; a date window that partially overlaps the allowed range is trimmed to it, reported in meta.restriction.

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