IV Surface
What is this endpoint for?
The IV surface endpoint lets you calculate volatility from options market prices. Feed the endpoint a set of maturity dates or timeframes for when options can be exercised, and you'll receive a volatility surface, which shows how volatility changes over different dates and prices.
You can get volatility estimates based on:
A specific set of strike prices
A forward-log-moneyness grid
A specific set of delta values
A delta grid
The calculation methodology leverages space and time interpolation.
Currently supported assets and exchanges:
BTC, ETH, SOL, MATIC, XRP on Deribit.
BTC, ETH on OKX.
BTC, ETH on Deribit & OKX (aggregated).
If you need data from other exchanges, we can add them on request.
Endpoint
https://us.market-api.kaiko.io/v2/data/analytics.v2/implied_volatility_surfaceParameters
Short listed-maturities (e.g. 7 days time-to-maturity) are only available for individual exchange.
Time extrapolation is not permitted. I.e. the shortest requested expiry should be after the exchange’s shortest expiry, and the furthest requested expiry must be before the exchange’s latest expiry. If these conditions are not met, only a partial surface will be returned within the available expiry range. The completeness of the output is indicated in the
complete_outputfield.Strikes and forward-log-moneynesses are only available when retrieving implied volatilities by strikes or forward-log-moneynesses (not by delta).
Fields
Request examples
Use this example to calculate IV Surface using Deltas.
https://us.market-api.kaiko.io/v2/data/analytics.v2/implied_volatility_surface?base=btc"e=usd&exchanges=drbt%2Cokex&value_time=2024-09-12T10%3A00%3A00.000Z&expiry_list=2024-09-20T08%3A00%3A00.000Z%2C2024-09-27T08%3A00%3A00.000Z%2C2024-10-04T08%3A00%3A00.000Z%2C2024-10-25T08%3A00%3A00.000Z%2C2024-11-08T08%3A00%3A00.000Z&delta_min=0.1&delta_max=0.9&delta_step=0.1Use this example to calculate IV Surface using forward log moneyness.
https://us.market-api.kaiko.io/v2/data/analytics.v2/implied_volatility_surface?base=btc"e=usd&exchanges=drbt&value_time=2024-09-12T10%3A00%3A00.000Z&tte_min=0.01&tte_max=1.&tte_step=0.02&f_log_m_min=-0.5&f_log_m_max=0.5&f_log_m_step=0.5Use this example to calculate IV Surface using strikes.
https://us.market-api.kaiko.io/v2/data/analytics.v2/implied_volatility_surface?base=btc"e=usd&exchanges=drbt&value_time=2024-09-12T10%3A00%3A00.000Z&tte_min=0.01&tte_max=1.&tte_step=0.02&strike_list=55000%2C56000%2C57000%2C58000%2C59000%2C60000Response examples
{
"query":{
"base":"btc",
"quote":"usd",
"exchanges":[
"drbt",
"okex"
],
"value_time":"2024-09-12T10:00:00.000Z",
"data_version":"v2",
"commodity":"analytics",
"request_time":"2024-09-12T17:12:07.699Z"
},
"time":"2024-09-12T17:12:07.699Z",
"timestamp":1726161128874,
"complete_output":true,
"data":[
{
"value_time":"2024-09-12T10:00:00.000Z",
"expiry":"2024-09-20T08:00:00.000Z",
"time_to_expiry":0.021689497716894976,
"implied_volatilities":[
{
"implied_volatility":0.55567045411767,
"delta":0.1,
"interest_rate":0.05222290146213202,
"current_spot":58033.01112255454
},
{
"implied_volatility":0.5304086533216835,
"delta":0.2,
"interest_rate":0.05222290146213202,
"current_spot":58033.01112255454
},
{
"implied_volatility":0.5204807466788227,
"delta":0.30000000000000004,
"interest_rate":0.05222290146213202,
"current_spot":58033.01112255454
},
{
"implied_volatility":0.5176080670107802,
"delta":0.4,
"interest_rate":0.05222290146213202,
"current_spot":58033.01112255454
},
{
"implied_volatility":0.5198235126846833,
"delta":0.5,
"interest_rate":0.05222290146213202,
"current_spot":58033.01112255454
},
{
"implied_volatility":0.5271474253673343,
"delta":0.6,
"interest_rate":0.05222290146213202,
"current_spot":58033.01112255454
},
{
"implied_volatility":0.5412722397557681,
"delta":0.7,
"interest_rate":0.05222290146213202,
"current_spot":58033.01112255454
},
{
"implied_volatility":0.5672860200574902,
"delta":0.7999999999999999,
"interest_rate":0.05222290146213202,
"current_spot":58033.01112255454
},
{
"implied_volatility":0.6234279466167519,
"delta":0.8999999999999999,
"interest_rate":0.05222290146213202,
"current_spot":58033.01112255454
}
]
},
{
"value_time":"2024-09-12T10:00:00.000Z",
"expiry":"2024-09-27T08:00:00.000Z",
"time_to_expiry":0.0408675799086758,
"implied_volatilities":[
{
"implied_volatility":0.5621097108504748,
"delta":0.1,
"interest_rate":0.052497499225334636,
"current_spot":58033.01112255454
},
{
"implied_volatility":0.5272061410113572,
"delta":0.2,
"interest_rate":0.052497499225334636,
"current_spot":58033.01112255454
},
{
"implied_volatility":0.5131506051610666,
"delta":0.30000000000000004,
"interest_rate":0.052497499225334636,
"current_spot":58033.01112255454
},
{
"implied_volatility":0.5082456534252546,
"delta":0.4,
"interest_rate":0.052497499225334636,
"current_spot":58033.01112255454
},
{
"implied_volatility":0.5095651826004636,
"delta":0.5,
"interest_rate":0.052497499225334636,
"current_spot":58033.01112255454
},
{
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{
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},
{
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"delta":0.7999999999999999,
"interest_rate":0.052497499225334636,
"current_spot":58033.01112255454
},
{
"implied_volatility":0.6167183766301421,
"delta":0.8999999999999999,
"interest_rate":0.052497499225334636,
"current_spot":58033.01112255454
}
]
},
{
"value_time":"2024-09-12T10:00:00.000Z",
"expiry":"2024-10-04T08:00:00.000Z",
"time_to_expiry":0.06004566210045662,
"implied_volatilities":[
{
"implied_volatility":0.5666208561497174,
"delta":0.1,
"interest_rate":0.06524195117082478,
"current_spot":58033.01112255454
},
{
"implied_volatility":0.5323692982650756,
"delta":0.2,
"interest_rate":0.06524195117082478,
"current_spot":58033.01112255454
},
{
"implied_volatility":0.5186955773995799,
"delta":0.30000000000000004,
"interest_rate":0.06524195117082478,
"current_spot":58033.01112255454
},
{
"implied_volatility":0.5138985541028067,
"delta":0.4,
"interest_rate":0.06524195117082478,
"current_spot":58033.01112255454
},
{
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"interest_rate":0.06524195117082478,
"current_spot":58033.01112255454
},
{
"implied_volatility":0.5216164561118771,
"delta":0.6,
"interest_rate":0.06524195117082478,
"current_spot":58033.01112255454
},
{
"implied_volatility":0.5349940736116142,
"delta":0.7,
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"current_spot":58033.01112255454
},
{
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},
{
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}
]
},
{
"value_time":"2024-09-12T10:00:00.000Z",
"expiry":"2024-10-25T08:00:00.000Z",
"time_to_expiry":0.11757990867579908,
"implied_volatilities":[
{
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{
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}
]
},
{
"value_time":"2024-09-12T10:00:00.000Z",
"expiry":"2024-11-08T08:00:00.000Z",
"time_to_expiry":0.15593607305936072,
"implied_volatilities":[
{
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"current_spot":58033.01112255454
},
{
"implied_volatility":0.6181620638701805,
"delta":0.2,
"interest_rate":0.06396819887540026,
"current_spot":58033.01112255454
},
{
"implied_volatility":0.5977210831388879,
"delta":0.30000000000000004,
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},
{
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"current_spot":58033.01112255454
},
{
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},
{
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},
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{
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}
]
}
],
"result":"success",
"access":{
"access_range":{
"start_timestamp":1262304000000,
"end_timestamp":1924991999000
},
"data_range":{
"start_timestamp":1262304000000,
"end_timestamp":1924991999000
}
}
}{
"query":{
"base":"btc",
"quote":"usd",
"exchanges":[
"drbt"
],
"value_time":"2024-09-12T10:00:00.000Z",
"data_version":"v2",
"commodity":"analytics",
"request_time":"2024-09-13T10:22:26.108Z"
},
"time":"2024-09-13T10:22:26.108Z",
"timestamp":1726222946604,
"complete_output":false,
"data":[
{
"value_time":"2024-09-12T10:00:00.000Z",
"expiry":"2024-09-16T01:36:00.000Z",
"time_to_expiry":0.01,
"implied_volatilities":[
{
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"forward_log_moneyness":-0.5,
"implied_volatility":1.219961822819801,
"delta":0.9999840518413259,
"gamma":9.862878922173833e-09,
"interest_rate":0.029882129261974883,
"current_spot":58026.01780838781
},
{
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"implied_volatility":0.47173352808037106,
"delta":0.5094088500573186,
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"current_spot":58026.01780838781
},
{
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"implied_volatility":0.9995009904225983,
"delta":3.662902785528388e-07,
"gamma":3.2466205143302194e-10,
"interest_rate":0.029882129261974883,
"current_spot":58026.01780838781
}
]
},
{
"value_time":"2024-09-12T10:00:00.000Z",
"expiry":"2024-09-23T08:48:00.000Z",
"time_to_expiry":0.03,
"implied_volatilities":[
{
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"forward_log_moneyness":-0.5,
"implied_volatility":1.0227076131194504,
"delta":0.998199924676951,
"gamma":5.605337511004371e-07,
"interest_rate":0.06064841675926235,
"current_spot":58026.01780838785
},
{
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},
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}
]
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{
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"expiry":"2024-09-30T16:00:00.000Z",
"time_to_expiry":0.05,
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{
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},
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},
{
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}
]
},
{
"value_time":"2024-09-12T10:00:00.000Z",
"expiry":"2024-10-15T06:24:00.000Z",
"time_to_expiry":0.09000000000000001,
"implied_volatilities":[
{
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}
]
},
{
"value_time":"2024-09-12T10:00:00.000Z",
"expiry":"2024-10-22T13:36:00.000Z",
"time_to_expiry":0.11000000000000001,
"implied_volatilities":[
{
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}
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},
{
"value_time":"2024-09-12T10:00:00.000Z",
"expiry":"2024-10-29T20:48:00.000Z",
"time_to_expiry":0.13,
"implied_volatilities":[
{
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"interest_rate":0.06829567333489632,
"current_spot":58026.01780838791
},
{
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"interest_rate":0.06829567333489632,
"current_spot":58026.01780838791
},
{
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"delta":0.031246311790620984,
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"interest_rate":0.06829567333489632,
"current_spot":58026.01780838791
}
]
},
{
"value_time":"2024-09-12T10:00:00.000Z",
"expiry":"2024-11-06T04:00:00.000Z",
"time_to_expiry":0.15,
"implied_volatilities":[
{
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"implied_volatility":0.7304703931953009,
"delta":0.9718561610549586,
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"interest_rate":0.06960254691331551,
"current_spot":58026.01780838791
},
{
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"delta":0.544410454345521,
"gamma":3.0625222152157556e-05,
"interest_rate":0.06960254691331551,
"current_spot":58026.01780838791
},
{
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"gamma":6.125288885966162e-06,
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}
]
},
{
"value_time":"2024-09-12T10:00:00.000Z",
"expiry":"2024-11-13T11:12:00.000Z",
"time_to_expiry":0.16999999999999998,
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