Gauge market sentiment with Implied Volatility

Evaluate the market outlook for various dates using our Kaiko Derivatives Risk Indicators solution. IV provides one figure that accounts for options contracts with various strikes and expiries, enabling a more accurate view of the overall market sentiment. For example, if an IV curve is steep to the left, this suggests the prevailing market sentiment sees prices falling.

Here we see an IV smile across all expiries which means there is a high probability of price moves in either direction. There is a slight skew to the left on the shortest expiry (orange), suggesting higher demand on the short side.

How to build the request

With the Implied Volatility smile endpoint, you can use the following parameters. This example calculates just one expiry, but you can also run a script locally to request and combine expiries like the chart above. Contact our operations team for support with this.

Paramater	Value
base	btc
quote	usd
exchange	drbt
value_time	2024-09-25T10:20:09.224Z
expiry	2024-06-28T00:00:00.000Z
deltas	0.05

You can find specific asset codes from our instruments explorer or reference data.

Example request

Here's an example of an HTTP string request using the values above.

https://us.market-api.kaiko.io/v2/data/analytics.v2/implied_volatility_smile?base=btc&quote=usd&value_time=2024-09-09T14:00:00.000Z&expiry=2024-10-25T00:00:00.000Z&exchanges=drbt&strikes=30000,40000,50000,60000,70000,80000,90000,100000

When you receive your response, search for the following fields to find the data you need:

• implied_volatilities_strike

• implied_volatilities_implied_volatility