CVOL End-of-Day API
The CME Group Volatility Index (CVOL) End-of-Day API is a REST API that provides access to daily and historical sets of CVOL end-of-day index levels and analytics.
Contents
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Onboarding
CVOL End-of-Day API uses OAuth authentication, an open protocol that supports secure authorization in a simple, standard method and decouples authentication from authorization. More details about OAuth API ID authorization and authentication are available in Client API Service Adoption using OAuth 2.0 Protocol.
To access the CVOL End-of-Day API, client API IDs must be entitled. Request access from the CME Group Market Data API self-service onboarding page or contact Global Account Management (GAM).
Testing and Certification
Certification for CVOL End-of-Day API is not required.
Availability
The CVOL End-of-Day API is available 24 hours a day, 7 days a week. Clients systems should consider all returned data to be accurate at the time of the request submission.
CVOL End-of-Day rates are published as below in UTC:
Trading Day | Non-Daylight Savings Time (UTC) | Daylight Savings Time (UTC) |
|---|---|---|
Monday | Tuesday 02:05 a.m. | Tuesday 01:05 a.m. |
Tuesday | Wednesday 02:05 a.m. | Wednesday 01:05 a.m. |
Wednesday | Thursday 02:05 a.m. | Thursday 01:05 a.m. |
Thursday | Friday 02:05 a.m. | Friday 01:05 a.m. |
Friday | Monday* 03:00 a.m. | Monday* 02:00 a.m. |
*Note: For Friday data, the rates are published on Monday or the Next Business Day if Monday is a holiday
Access CVOL End-of-Day API
To access the CVOL End-of-Day API endpoints in the Production environment, an OAuth API ID and access token are required.
CVOL End-of-Day API URLs
Below are the base URLs to access the CVOL End-of-Day API endpoints:
Environment | Base URL |
|---|---|
Production | https://markets.api.cmegroup.com/cvol-eod/v1 |
Message Specifications
The business message specifications for CVOL End-of-Day API are available below.
The Path value, prefixed with Base URL, will be a specific end point for the HTTPS GET request.
Each HTTPS GET call must have the header parameter "Authorization" with value "Bearer" pre-pended to the OAuth token (including a space separator).
example: "Bearer <Oauth Access token>"
Name | Path | Method | Description |
|---|---|---|---|
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| Gets the Latest CVOL Indices for the current date. By default returns the Latest CVOL Indices. Note clients will only get the indices that clients have entitlements for. Accepts the below requests/inputs:
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| Gets historical CVOL Indices based on a single date or range of dates provided by the customer. By default returns all historical CVOL Indices. Note clients will only get the indices that clients have entitlements for. Accepts the below requests/inputs:
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Response Metadata Fields
The following information describes the metadata JSON element on the response payload to client systems.
Field | Description | Usage |
|---|---|---|
pageSize | Maximum number of data elements in the JSON result set or page. | Defaults to 1000 with a maximum of 2000. Can be used as a query parameter to limit the number of elements returned per request. E.g. /history?pageSize=500 |
totalPages | Total number of pages in the full result set. |
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pageNumber | The current page in the set of pages. | If totalPages is greater than 1, pageNumber is used to navigate to the next page of the result set. E.g. /history?pageNumber=2 (retrieve the second page in the data set) |
totalElements | Value indicates the total Elements in the full data set. |
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type | Type of JSON data set. | Always set to value “page” |
elementsInReponse | Number of data elements in the JSON result set or page. |
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Contact Information
For production requests, contact the Global Command Center (GCC).
For other inquiries, contact Global Account Management (GAM).
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