Kaiko Derivatives Risk Indicators

Data descriptions

• Exchange provided metrics - risk information such as greeks and IV in real-time.

• IV calculation - Calculate volatility on a minute-by-minute basis from options market prices as smiles or surfaces.

• Token-level liquidation volumes - The volumes of liquidations for derivatives contracts for a given asset, expressed in USD value.

Data details

Data/channe	Historical data	Live?	Granularity	Exchange coverage	Asset coverage	Docs link
Exchange-provided metrics
• Stream	No	Yes	1m, 1h, 4h, 1d	Cefi derivative markets	All traded instruments.	Exchange-provided metrics
• REST API	Since July 2020	Yes	1m, 1h, 4h, 1d	Cefi derivative markets	All traded instruments.	Exchange-provided metrics
• AWS, Azure, Google Cloud Platform	Since July 2020	No	1m, 1h, 4h, 1d	Cefi derivative markets	All traded instruments.	Exchange-provided metrics
IV Calculation
• REST API	Since April 2021	Yes	1m	Cefi derivative markets	Deribit: BTC, ETH, SOL, MATIC, XRP OKX: BTC, ETH	Implied volatility calculation - smile Implied volatility calculation - surface
Token-level liquidation volumes	Since Jan 8th 2025	Yes	1h	Cefi derivative markets	All traded instruments.	Token-level liquidation volumes