CME Group

Greeks and Implied Volatility API

REST API delivering CME-calculated option Greeks (delta, gamma, vega, theta, rho) and implied volatility surfaces for CME Group options markets. JSON payloads accessed via the Data Services self-service API portal.

GitHub

Documentation

📖
Documentation
https://www.cmegroup.com/market-data/market-data-api.html

Other Resources

🔗
Reference
https://cmegroupclientsite.atlassian.net/wiki/spaces/EPICSANDBOX/pages/871366660

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API entry from apis.yml

apis.yml Raw ↑ 
aid: cme-group:greeks-iv-api
name: Greeks and Implied Volatility API
tags:
- Greeks
- Implied Volatility
- Options
- REST
image: https://kinlane-images.s3.amazonaws.com/shared/apis-json/apis-json-logo.jpg
humanURL: https://www.cmegroup.com/market-data/market-data-api.html
baseURL: https://markets.api.cmegroup.com/greeks/v1
properties:
- url: https://cmegroupclientsite.atlassian.net/wiki/spaces/EPICSANDBOX/pages/871366660
  type: Reference
- url: https://www.cmegroup.com/market-data/market-data-api.html
  type: Documentation
description: REST API delivering CME-calculated option Greeks (delta, gamma, vega, theta, rho) and implied
  volatility surfaces for CME Group options markets. JSON payloads accessed via the Data Services self-service
  API portal.
x-features:
- name: Greeks
  description: Delta, gamma, vega, theta, and rho per option.
- name: Implied Volatility
  description: Implied volatility per strike and expiry.
x-useCases:
- name: Option Pricing
  description: Power option pricing and risk systems with CME-calculated Greeks.
- name: Risk Distribution
  description: Distribute volatility-surface data into trading and analytics systems.