GET
/market/scans/options/call-vertical-spread
OPTIONS
Call Vertical Spread option strategy market-wide scan

Example URI

Live

https://api.livevol.com/v1/live/market/scans/options/call-vertical-spread

Delayed

https://api.livevol.com/v1/delayed/market/scans/options/call-vertical-spread

Response Information

Resource Description

OptionStrategyResultOfCallVerticalSpreadParamsAndCallVerticalSpreadResult

Name Description Type Additional information SIP Provider
name

Name of the scan

string

None

None

description

Scan description

string

None

None

last_updated

Last updated

date

None

None

Parameters used during invocation

CallVerticalSpreadParams

None

None

CallVerticalSpreadParams

Name Description Type Additional information SIP Provider
low_strike

The maximum percentage above where stock is trading that a strike may be to be considered for the scan

decimal number

Default value is: 3

None

high_strike

The maximum percentage below where stock is trading that a strike may be to be considered for the scan

decimal number

Default value is: 4

None

spread_ask_price_max

The price below which a spread must be offered to be considered for the scan

decimal number

None

None

hv30_min

The minimum 30-Day Historical Volatility above which a stock must be moving to be considered for the scan

decimal number

Constraint: value should be less than or equal to hv30_max value

Range: inclusive between 0.01 and 1000

None

hv30_max

The maximum 30-Day Historical Volatility below which a stock must be moving to be considered for the scan

decimal number

Constraint: value should be greater than or equal to hv30_min value

Range: inclusive between 0.01 and 1000

None

high_low_stock_min

The minimum percentage of the stock's 52 week range above which a stock must be trading

decimal number

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

Range: inclusive between -1000 and 1000

None

high_low_stock_max

The maximum percentage of the stock's 52 week range below which a stock must be trading

decimal number

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

Range: inclusive between -1000 and 1000

None

time_frame

Time Frame (days), filters the time until expiration into one of three pre-defined time periods

string

Allowed values are [ short, middle, long ]

Default value is: middle

None

industry_codes

Selects a subset of several industry codes to include in the query (in a comma separated format)

string

None

None

symbols

Multiple Symbols in a comma separated format

string

None

None

stock_price_min

The minimum price above which a stock must be trading to be considered for the scan

decimal number

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

Default value is: 10

Range: inclusive between 0.01 and 1.79769313486232E+308

None

stock_price_max

The maximum price below which a stock must be trading to be considered for the scan

decimal number

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

Default value is: 50

Range: inclusive between 0.01 and 1.79769313486232E+308

None

Scan resultset

Collection of CallVerticalSpreadResult

None

None

CallVerticalSpreadResult

Name Description Type Additional information SIP Provider
stock_hi_lo_percent

Stock Hi-Lo percent

decimal number

None

None

low_strike_otm_percent

Low strike OTM percent

decimal number

None

None

high_strike_otm_percent

High strike OTM percent

decimal number

None

None

spread

Spread

string

None

None

spread_ask

Spread ask

decimal number

None

None

max_gain

Max gain

decimal number

None

None

max_gain_to_spread_ask_percent

Max gain to spread ask (percent)

decimal number

None

None

hv30

30-Day Historical Volatility

decimal number

None

None

industry_code

Industry code

integer

None

None

symbol

Symbol

string

None

None

stock_price

Stock price

decimal number

None

None

expiry

Expation date in YYYY-MM-DD format

string

None

None

Response Formats

application/json, text/json

Sample:
{
  "name": "call_vertical_spread",
  "description": null,
  "last_updated": "2021-06-14T10:37:38.911859-04:00",
  "inputs": {
    "low_strike": 3.0,
    "high_strike": 4.0,
    "spread_ask_price_max": null,
    "hv30_min": null,
    "hv30_max": null,
    "high_low_stock_min": null,
    "high_low_stock_max": null,
    "time_frame": "middle",
    "industry_codes": null,
    "symbols": null,
    "stock_price_min": 10.0,
    "stock_price_max": 50.0
  },
  "output": [
    {
      "stock_hi_lo_percent": 33.5309,
      "low_strike_otm_percent": 1.4292,
      "high_strike_otm_percent": 3.7344,
      "spread": "44/45 Call",
      "spread_ask": 0.34,
      "max_gain": 0.66,
      "max_gain_to_spread_ask_percent": 194.1176,
      "hv30": 16.2263,
      "industry_code": 59101010,
      "symbol": "SO",
      "stock_price": 43.38,
      "expiry": "2016-08-19"
    },
    {
      "stock_hi_lo_percent": 7.9137,
      "low_strike_otm_percent": 1.635,
      "high_strike_otm_percent": 3.8445,
      "spread": "46/47 Call",
      "spread_ask": 0.39,
      "max_gain": 0.61,
      "max_gain_to_spread_ask_percent": 156.4103,
      "hv30": 16.5485,
      "industry_code": 56201040,
      "symbol": "MRK",
      "stock_price": 45.26,
      "expiry": "2016-10-21"
    }
  ]
}

application/xml, text/xml

Sample:
<option_scan xmlns:i="http://www.w3.org/2001/XMLSchema-instance">
  <description i:nil="true" />
  <inputs>
    <industry_codes i:nil="true" />
    <stock_price_max>50</stock_price_max>
    <stock_price_min>10</stock_price_min>
    <symbols i:nil="true" />
    <time_frame>middle</time_frame>
    <high_low_stock_max i:nil="true" />
    <high_low_stock_min i:nil="true" />
    <hv30_max i:nil="true" />
    <hv30_min i:nil="true" />
    <high_strike>4</high_strike>
    <low_strike>3</low_strike>
    <spread_ask_price_max i:nil="true" />
  </inputs>
  <last_updated>2021-06-14T10:37:38.911859-04:00</last_updated>
  <name>call_vertical_spread</name>
  <output>
    <call_vertical_spread_result>
      <expiry>2016-08-19</expiry>
      <industry_code>59101010</industry_code>
      <stock_price>43.38</stock_price>
      <symbol>SO</symbol>
      <high_strike_otm_percent>3.7344</high_strike_otm_percent>
      <hv30>16.2263</hv30>
      <low_strike_otm_percent>1.4292</low_strike_otm_percent>
      <max_gain>0.66</max_gain>
      <max_gain_to_spread_ask_percent>194.1176</max_gain_to_spread_ask_percent>
      <spread>44/45 Call</spread>
      <spread_ask>0.34</spread_ask>
      <stock_hi_lo_percent>33.5309</stock_hi_lo_percent>
    </call_vertical_spread_result>
    <call_vertical_spread_result>
      <expiry>2016-10-21</expiry>
      <industry_code>56201040</industry_code>
      <stock_price>45.26</stock_price>
      <symbol>MRK</symbol>
      <high_strike_otm_percent>3.8445</high_strike_otm_percent>
      <hv30>16.5485</hv30>
      <low_strike_otm_percent>1.635</low_strike_otm_percent>
      <max_gain>0.61</max_gain>
      <max_gain_to_spread_ask_percent>156.4103</max_gain_to_spread_ask_percent>
      <spread>46/47 Call</spread>
      <spread_ask>0.39</spread_ask>
      <stock_hi_lo_percent>7.9137</stock_hi_lo_percent>
    </call_vertical_spread_result>
  </output>
</option_scan>