< API Reference
GET
/allaccess/events/earnings?start_date={start_date}&symbol={symbol}&end_date={end_date}
Get implied earnings risk premium ahead of earnings announcements and solve for market implied post-earnings forward volatility for each stock. Gauge the market’s current expectations against more than ten years of historical earnings events analysis.

Example URI

Live (15 points)

https://api.livevol.com/v1/allaccess/events/earnings?start_date=2019-01-01&symbol=DAL&end_date=2019-06-30

Request Information

URI Parameters

Name Description Type Additional information
start_date

Start date in YYYY-MM-DD format. Optional.

string

Constraint: value should be less than or equal to end_date value

Date in yyyy-MM-dd format. (i.e. 2019-01-18)

Default value is: 2011-01-01

symbol

Symbol of the company

string

Required

end_date

End date in YYYY-MM-DD format. Optional.

string

Constraint: value should be greater than or equal to start_date value

Date in yyyy-MM-dd format. (i.e. 2019-01-18)

Default value is: 2100-01-01

Response Information

Resource Description

Collection of types:
HistoricalEarnings

Name Description Type Additional information SIP Provider
eps_actual

Actual amount of earnings per share

decimal number

None

None

stock_close_before

Stock close on ‘day_before’. For earnings occurring ‘BMO’ or ‘DMT’, stock_close_before will represent close on the day prior to the earnings date. For earnings occurring ‘AMC’, stock_close_before will represent the close on the earnings date.

decimal number

None

None

expiry1

Nearest expiry date after the earnings date.

string

Represented as 'YYYY-MM-DD'

None

expiry2

Second nearest expiry date after the earnings date.

string

Represented as 'YYYY-MM-DD'

None

expiry1_volatility_before

ATM volatility of nearest expiry prior to the earnings event.

decimal number

None

None

expiry2_volatility_before

ATM volatility of second nearest expiry prior to the earnings event.

decimal number

None

None

implied_earnings_move

Implied risk premium adjusted based on historical trend.

decimal number

None

None

implied_risk_premium

Implied risk premium derived from the volatilities of the nearest two expiries proceeding the earnings event.

decimal number

None

None

forward_volatility

Forward volatility (implied volatility proceeding the earnings event).

decimal number

None

None

stock_close_after

Stock close post earnings event. For earnings occurring ‘BMO’ or ‘DMT’, stock_close_after will represent close on the day of the earnings date. For earnings occurring ‘AMC’, stock_close_after will represent the close day after the earnings date.

decimal number

None

None

expiry1_volatility_after

ATM volatility of nearest expiry after the earnings event.

decimal number

None

None

expiry2_volatility_after

ATM volatility of the second nearest expiry after the earnings event.

decimal number

None

None

actual_move

Actual move represented as a percentage change of price prior to earnings event.

decimal number

None

None

actual_post_earnings_volatility

Actual post earnings volatility

decimal number

None

None

actual_currency

Currency code of actual earnings

string

None

None

date

Earnings date

string

Represented as 'YYYY-MM-DD'

None

fiscal_year

Reporting fiscal year

integer

None

None

fiscal_quarter

Reporting fiscal quarter (1, 2, 3 or 4). Note that this is the company’s financial quarter, not necessarily the calendar quarter. Companies which report semi-annual earnings will be represented as 1 (for first half of the year) and 3 (for latter half of the year).

integer

None

None

eps_estimate

Estimated earnings per share.

decimal number

None

None

time_of_day

Time of day for earnings event. ‘BMO’ Before Market Open, ‘DMT’ During Market Time, ‘AMC’ After Market Close

string

None

None

estimate_currency

Currency code of estimated earnings

string

None

None

day_before

Date used as a snapshot prior to earnings event. For earnings occurring ‘BMO’ or ‘DMT’, day_before will be the day prior to earnings date. For earnings occurring ‘AMC’, the day_before will be the same day as the earnings date.

string

Represented as 'YYYY-MM-DD'

None

day_after

Date used as a snapshot after the earnings event. For earnings occurring ‘BMO’ or ‘DMT’, day_after will be the same day as the earnings date. For earnings occurring ‘AMC’, day_after will be the day after the earnings date.

string

Represented as 'YYYY-MM-DD'

None

Collection of earnings results

Collection of EarningsResult

None

None

EarningsResult

Name Description Type Additional information SIP Provider
earnings_date

Earnings date represented as YYYY-MM-DD

string

None

None

quote_date

Quote date represented as YYYY-MM-DD

string

None

None

underlying_price

Underlying Price

decimal number

None

None

root1

Root1

string

None

None

expiry1

Expiry1 date represented as YYYY-MM-DD

string

None

None

strike1

Strike1

decimal number

None

None

call_bid1

Call Bid1

decimal number

None

None

call_ask1

Call Ask1

decimal number

None

None

put_bid1

Put Bid1

decimal number

None

None

put_ask1

Put Ask1

decimal number

None

None

sigma1

Sigma1

decimal number

None

None

extrinsic1

Extrinsic1

decimal number

None

None

root2

Root2

string

None

None

expiry2

Expiry2 date represented as YYYY-MM-DD

string

None

None

strike2

Strike2

decimal number

None

None

call_bid2

Call Bid2

decimal number

None

None

call_ask2

Call Ask2

decimal number

None

None

put_bid2

Put Bid2

decimal number

None

None

put_ask2

Put Ask2

decimal number

None

None

sigma2

Sigma2

decimal number

None

None

extrinsic2

Extrinsic2

decimal number

None

None

open

Open

decimal number

None

None

high

High

decimal number

None

None

low

Low

decimal number

None

None

close

Close

decimal number

None

None

volume

Volume

integer

None

None

Populated only if there are multiple earnings events reported on the same earnings date.

Collection of EarningDetails

None

None

EarningDetails

Name Description Type Additional information SIP Provider
year

Earnings Year

integer

None

None

quarter

Earnings Quarter

integer

None

None

Report date type

ReportDateType

None

None

ReportDateType

Possible enumeration values:

Value Description

confirmed

not_confirmed

estimated

unknown

eps_actual

Actual earnings per share

decimal number

None

None

eps_estimate

Estimated earnings per share

decimal number

None

None

LiveEarnings
Name Description Type Additional information SIP Provider

Report date type

ReportDateType

None

None

ReportDateType

Possible enumeration values:

Value Description

confirmed

not_confirmed

estimated

unknown

weeklies

Option expirations – ‘W’ if weekly, null if otherwise

string

None

None

expiry1

Nearest expiry date after the earnings date.

string

Represented as 'YYYY-MM-DD'

None

expiry2

Second nearest expiry date after the earnings date.

string

Represented as 'YYYY-MM-DD'

None

expiry1_iv

Current ATM volatility of nearest expiry.

string

None

None

expiry2_iv

Current ATM volatility of the second nearest expiry.

string

None

None

current_implied_earnings_move

Implied risk premium adjusted based on historical trend.

decimal number

None

None

current_implied_risk_premium

Implied risk premium derived from the volatilities of the nearest two expiries proceeding the earnings event.

decimal number

None

None

forward_volatility

Forward volatility (implied volatility proceeding the earnings event).

decimal number

None

None

four_quarters_average

Average of the actual stock move (absolute value) for prior four earnings events.

decimal number

None

None

prev_qtr1

Actual stock move of most recent earnings (in most cases, prior quarter)

decimal number

None

None

prev_qtr2

Actual stock move of second most recent earnings.

decimal number

None

None

prev_qtr3

Actual stock move of third most recent earnings.

decimal number

None

None

prev_qtr4

Actual stock move of fourth most recent earnings.

decimal number

None

None

date

Earnings date

string

Represented as 'YYYY-MM-DD'

None

fiscal_year

Reporting fiscal year

integer

None

None

fiscal_quarter

Reporting fiscal quarter (1, 2, 3 or 4). Note that this is the company’s financial quarter, not necessarily the calendar quarter. Companies which report semi-annual earnings will be represented as 1 (for first half of the year) and 3 (for latter half of the year).

integer

None

None

eps_estimate

Estimated earnings per share.

decimal number

None

None

time_of_day

Time of day for earnings event. ‘BMO’ Before Market Open, ‘DMT’ During Market Time, ‘AMC’ After Market Close

string

None

None

estimate_currency

Currency code of estimated earnings

string

None

None

day_before

Date used as a snapshot prior to earnings event. For earnings occurring ‘BMO’ or ‘DMT’, day_before will be the day prior to earnings date. For earnings occurring ‘AMC’, the day_before will be the same day as the earnings date.

string

Represented as 'YYYY-MM-DD'

None

day_after

Date used as a snapshot after the earnings event. For earnings occurring ‘BMO’ or ‘DMT’, day_after will be the same day as the earnings date. For earnings occurring ‘AMC’, day_after will be the day after the earnings date.

string

Represented as 'YYYY-MM-DD'

None

Collection of earnings results

Collection of EarningsResult

None

None

EarningsResult

Name Description Type Additional information SIP Provider
earnings_date

Earnings date represented as YYYY-MM-DD

string

None

None

quote_date

Quote date represented as YYYY-MM-DD

string

None

None

underlying_price

Underlying Price

decimal number

None

None

root1

Root1

string

None

None

expiry1

Expiry1 date represented as YYYY-MM-DD

string

None

None

strike1

Strike1

decimal number

None

None

call_bid1

Call Bid1

decimal number

None

None

call_ask1

Call Ask1

decimal number

None

None

put_bid1

Put Bid1

decimal number

None

None

put_ask1

Put Ask1

decimal number

None

None

sigma1

Sigma1

decimal number

None

None

extrinsic1

Extrinsic1

decimal number

None

None

root2

Root2

string

None

None

expiry2

Expiry2 date represented as YYYY-MM-DD

string

None

None

strike2

Strike2

decimal number

None

None

call_bid2

Call Bid2

decimal number

None

None

call_ask2

Call Ask2

decimal number

None

None

put_bid2

Put Bid2

decimal number

None

None

put_ask2

Put Ask2

decimal number

None

None

sigma2

Sigma2

decimal number

None

None

extrinsic2

Extrinsic2

decimal number

None

None

open

Open

decimal number

None

None

high

High

decimal number

None

None

low

Low

decimal number

None

None

close

Close

decimal number

None

None

volume

Volume

integer

None

None

Populated only if there are multiple earnings events reported on the same earnings date.

Collection of EarningDetails

None

None

EarningDetails

Name Description Type Additional information SIP Provider
year

Earnings Year

integer

None

None

quarter

Earnings Quarter

integer

None

None

Report date type

ReportDateType

None

None

ReportDateType

Possible enumeration values:

Value Description

confirmed

not_confirmed

estimated

unknown

eps_actual

Actual earnings per share

decimal number

None

None

eps_estimate

Estimated earnings per share

decimal number

None

None

Response Formats

application/json, text/json

Sample:
[
  {
    "eps_actual": 0.44,
    "stock_close_before": 0.44,
    "expiry1": "2016-05-15",
    "expiry2": "2016-05-15",
    "expiry1_volatility_before": 0.9134,
    "expiry2_volatility_before": 0.534,
    "implied_earnings_move": 0.0697,
    "implied_risk_premium": 0.0697,
    "forward_volatility": 0.331,
    "stock_close_after": 0.46,
    "expiry1_volatility_after": 0.9134,
    "expiry2_volatility_after": 0.534,
    "actual_move": 0.048,
    "actual_post_earnings_volatility": 0.331,
    "actual_currency": "USD",
    "date": "2016-05-16",
    "fiscal_year": 2016,
    "fiscal_quarter": 2,
    "eps_estimate": 0.388,
    "time_of_day": "AMC",
    "estimate_currency": "USD",
    "day_before": "2016-05-15",
    "day_after": "2016-05-17",
    "results": [
      {
        "earnings_date": "2015-01-27",
        "quote_date": "2015-01-21",
        "underlying_price": 109.54,
        "root1": "AAPL",
        "expiry1": "2015-02-20",
        "strike1": 110.0,
        "call_bid1": 4.0,
        "call_ask1": 4.05,
        "put_bid1": 4.5,
        "put_ask1": 4.65,
        "sigma1": 35.6723,
        "extrinsic1": 8.27,
        "root2": "AAPL",
        "expiry2": "2015-03-20",
        "strike2": 110.0,
        "call_bid2": 5.15,
        "call_ask2": 5.25,
        "put_bid2": 5.85,
        "put_ask2": 5.9,
        "sigma2": 32.5231,
        "extrinsic2": 10.62,
        "open": 10.62,
        "high": 10.62,
        "low": 10.62,
        "close": 10.62,
        "volume": 1062
      },
      {
        "earnings_date": "2015-01-27",
        "quote_date": "2015-01-22",
        "underlying_price": 112.4,
        "root1": "AAPL",
        "expiry1": "2015-02-20",
        "strike1": 110.0,
        "call_bid1": 5.1,
        "call_ask1": 5.15,
        "put_bid1": 3.1,
        "put_ask1": 3.3,
        "sigma1": 33.809,
        "extrinsic1": 6.05,
        "root2": "AAPL",
        "expiry2": "2015-03-20",
        "strike2": 110.0,
        "call_bid2": 6.2,
        "call_ask2": 6.3,
        "put_bid2": 4.4,
        "put_ask2": 4.5,
        "sigma2": 30.348,
        "extrinsic2": 8.3,
        "open": 8.3,
        "high": 8.3,
        "low": 8.3,
        "close": 8.3,
        "volume": 83
      }
    ],
    "earnings_details": [
      {
        "year": 2019,
        "quarter": 1,
        "report_date_type": "confirmed",
        "eps_actual": 2.18,
        "eps_estimate": 2.17168
      }
    ]
  },
  {
    "report_date_type": "estimated",
    "weeklies": "W",
    "expiry1": "",
    "expiry2": "",
    "expiry1_iv": "0.883822430990669",
    "expiry2_iv": "1.40113798074636",
    "current_implied_earnings_move": 0.0697,
    "current_implied_risk_premium": 0.0697,
    "forward_volatility": 1.7976931348623157E+308,
    "four_quarters_average": 0.0345,
    "prev_qtr1": 0.456,
    "prev_qtr2": 0.546,
    "prev_qtr3": 0.678,
    "prev_qtr4": 0.123,
    "date": "2016-05-16",
    "fiscal_year": 2016,
    "fiscal_quarter": 2,
    "eps_estimate": 0.388,
    "time_of_day": "AMC",
    "estimate_currency": "USD",
    "day_before": "2016-05-15",
    "day_after": "2016-05-17",
    "results": [
      {
        "earnings_date": "2015-01-27",
        "quote_date": "2015-01-21",
        "underlying_price": 109.54,
        "root1": "AAPL",
        "expiry1": "2015-02-20",
        "strike1": 110.0,
        "call_bid1": 4.0,
        "call_ask1": 4.05,
        "put_bid1": 4.5,
        "put_ask1": 4.65,
        "sigma1": 35.6723,
        "extrinsic1": 8.27,
        "root2": "AAPL",
        "expiry2": "2015-03-20",
        "strike2": 110.0,
        "call_bid2": 5.15,
        "call_ask2": 5.25,
        "put_bid2": 5.85,
        "put_ask2": 5.9,
        "sigma2": 32.5231,
        "extrinsic2": 10.62,
        "open": 10.62,
        "high": 10.62,
        "low": 10.62,
        "close": 10.62,
        "volume": 1062
      },
      {
        "earnings_date": "2015-01-27",
        "quote_date": "2015-01-22",
        "underlying_price": 112.4,
        "root1": "AAPL",
        "expiry1": "2015-02-20",
        "strike1": 110.0,
        "call_bid1": 5.1,
        "call_ask1": 5.15,
        "put_bid1": 3.1,
        "put_ask1": 3.3,
        "sigma1": 33.809,
        "extrinsic1": 6.05,
        "root2": "AAPL",
        "expiry2": "2015-03-20",
        "strike2": 110.0,
        "call_bid2": 6.2,
        "call_ask2": 6.3,
        "put_bid2": 4.4,
        "put_ask2": 4.5,
        "sigma2": 30.348,
        "extrinsic2": 8.3,
        "open": 8.3,
        "high": 8.3,
        "low": 8.3,
        "close": 8.3,
        "volume": 83
      }
    ],
    "earnings_details": [
      {
        "year": 2019,
        "quarter": 1,
        "report_date_type": "confirmed",
        "eps_actual": 2.18,
        "eps_estimate": 2.17168
      }
    ]
  }
]

application/xml, text/xml

Sample:
<earnings_list xmlns:i="http://www.w3.org/2001/XMLSchema-instance">
  <earnings xmlns="" i:type="historical_earnings">
    <date>2016-05-16</date>
    <day_after>2016-05-17</day_after>
    <day_before>2016-05-15</day_before>
    <earnings_details>
      <earning_details>
        <eps_actual>2.18</eps_actual>
        <eps_estimate>2.17168</eps_estimate>
        <quarter>1</quarter>
        <report_date_type>confirmed</report_date_type>
        <year>2019</year>
      </earning_details>
    </earnings_details>
    <eps_estimate>0.388</eps_estimate>
    <estimate_currency>USD</estimate_currency>
    <fiscal_quarter>2</fiscal_quarter>
    <fiscal_year>2016</fiscal_year>
    <results>
      <earnings_result>
        <call_ask1>4.05</call_ask1>
        <call_ask2>5.25</call_ask2>
        <call_bid1>4</call_bid1>
        <call_bid2>5.15</call_bid2>
        <close>10.62</close>
        <earnings_date>2015-01-27</earnings_date>
        <expiry1>2015-02-20</expiry1>
        <expiry2>2015-03-20</expiry2>
        <extrinsic1>8.27</extrinsic1>
        <extrinsic2>10.62</extrinsic2>
        <high>10.62</high>
        <low>10.62</low>
        <open>10.62</open>
        <put_ask1>4.65</put_ask1>
        <put_ask2>5.9</put_ask2>
        <put_bid1>4.5</put_bid1>
        <put_bid2>5.85</put_bid2>
        <quote_date>2015-01-21</quote_date>
        <root1>AAPL</root1>
        <root2>AAPL</root2>
        <sigma1>35.6723</sigma1>
        <sigma2>32.5231</sigma2>
        <strike1>110</strike1>
        <strike2>110</strike2>
        <underlying_price>109.54</underlying_price>
        <volume>1062</volume>
      </earnings_result>
      <earnings_result>
        <call_ask1>5.15</call_ask1>
        <call_ask2>6.3</call_ask2>
        <call_bid1>5.1</call_bid1>
        <call_bid2>6.2</call_bid2>
        <close>8.3</close>
        <earnings_date>2015-01-27</earnings_date>
        <expiry1>2015-02-20</expiry1>
        <expiry2>2015-03-20</expiry2>
        <extrinsic1>6.05</extrinsic1>
        <extrinsic2>8.3</extrinsic2>
        <high>8.3</high>
        <low>8.3</low>
        <open>8.3</open>
        <put_ask1>3.3</put_ask1>
        <put_ask2>4.5</put_ask2>
        <put_bid1>3.1</put_bid1>
        <put_bid2>4.4</put_bid2>
        <quote_date>2015-01-22</quote_date>
        <root1>AAPL</root1>
        <root2>AAPL</root2>
        <sigma1>33.809</sigma1>
        <sigma2>30.348</sigma2>
        <strike1>110</strike1>
        <strike2>110</strike2>
        <underlying_price>112.4</underlying_price>
        <volume>83</volume>
      </earnings_result>
    </results>
    <time_of_day>AMC</time_of_day>
    <actual_currency>USD</actual_currency>
    <actual_move>0.048</actual_move>
    <actual_post_earnings_volatility>0.331</actual_post_earnings_volatility>
    <eps_actual>0.44</eps_actual>
    <expiry1>2016-05-15</expiry1>
    <expiry1_volatility_after>0.9134</expiry1_volatility_after>
    <expiry1_volatility_before>0.9134</expiry1_volatility_before>
    <expiry2>2016-05-15</expiry2>
    <expiry2_volatility_after>0.534</expiry2_volatility_after>
    <expiry2_volatility_before>0.534</expiry2_volatility_before>
    <forward_volatility>0.331</forward_volatility>
    <implied_earnings_move>0.0697</implied_earnings_move>
    <implied_risk_premium>0.0697</implied_risk_premium>
    <stock_close_after>0.46</stock_close_after>
    <stock_close_before>0.44</stock_close_before>
  </earnings>
  <earnings xmlns="" i:type="live_earnings">
    <date>2016-05-16</date>
    <day_after>2016-05-17</day_after>
    <day_before>2016-05-15</day_before>
    <earnings_details>
      <earning_details>
        <eps_actual>2.18</eps_actual>
        <eps_estimate>2.17168</eps_estimate>
        <quarter>1</quarter>
        <report_date_type>confirmed</report_date_type>
        <year>2019</year>
      </earning_details>
    </earnings_details>
    <eps_estimate>0.388</eps_estimate>
    <estimate_currency>USD</estimate_currency>
    <fiscal_quarter>2</fiscal_quarter>
    <fiscal_year>2016</fiscal_year>
    <results>
      <earnings_result>
        <call_ask1>4.05</call_ask1>
        <call_ask2>5.25</call_ask2>
        <call_bid1>4</call_bid1>
        <call_bid2>5.15</call_bid2>
        <close>10.62</close>
        <earnings_date>2015-01-27</earnings_date>
        <expiry1>2015-02-20</expiry1>
        <expiry2>2015-03-20</expiry2>
        <extrinsic1>8.27</extrinsic1>
        <extrinsic2>10.62</extrinsic2>
        <high>10.62</high>
        <low>10.62</low>
        <open>10.62</open>
        <put_ask1>4.65</put_ask1>
        <put_ask2>5.9</put_ask2>
        <put_bid1>4.5</put_bid1>
        <put_bid2>5.85</put_bid2>
        <quote_date>2015-01-21</quote_date>
        <root1>AAPL</root1>
        <root2>AAPL</root2>
        <sigma1>35.6723</sigma1>
        <sigma2>32.5231</sigma2>
        <strike1>110</strike1>
        <strike2>110</strike2>
        <underlying_price>109.54</underlying_price>
        <volume>1062</volume>
      </earnings_result>
      <earnings_result>
        <call_ask1>5.15</call_ask1>
        <call_ask2>6.3</call_ask2>
        <call_bid1>5.1</call_bid1>
        <call_bid2>6.2</call_bid2>
        <close>8.3</close>
        <earnings_date>2015-01-27</earnings_date>
        <expiry1>2015-02-20</expiry1>
        <expiry2>2015-03-20</expiry2>
        <extrinsic1>6.05</extrinsic1>
        <extrinsic2>8.3</extrinsic2>
        <high>8.3</high>
        <low>8.3</low>
        <open>8.3</open>
        <put_ask1>3.3</put_ask1>
        <put_ask2>4.5</put_ask2>
        <put_bid1>3.1</put_bid1>
        <put_bid2>4.4</put_bid2>
        <quote_date>2015-01-22</quote_date>
        <root1>AAPL</root1>
        <root2>AAPL</root2>
        <sigma1>33.809</sigma1>
        <sigma2>30.348</sigma2>
        <strike1>110</strike1>
        <strike2>110</strike2>
        <underlying_price>112.4</underlying_price>
        <volume>83</volume>
      </earnings_result>
    </results>
    <time_of_day>AMC</time_of_day>
    <current_implied_earnings_move>0.0697</current_implied_earnings_move>
    <current_implied_risk_premium>0.0697</current_implied_risk_premium>
    <expiry1></expiry1>
    <expiry1_iv>0.883822430990669</expiry1_iv>
    <expiry2></expiry2>
    <expiry2_iv>1.40113798074636</expiry2_iv>
    <forward_volatility>1.7976931348623157E+308</forward_volatility>
    <four_quarters_average>0.0345</four_quarters_average>
    <prev_qtr1>0.456</prev_qtr1>
    <prev_qtr2>0.546</prev_qtr2>
    <prev_qtr3>0.678</prev_qtr3>
    <prev_qtr4>0.123</prev_qtr4>
    <report_date_type>estimated</report_date_type>
    <weeklies>W</weeklies>
  </earnings>
</earnings_list>