Forecast market volatility with implied volatility models and access real-time contract-level derivatives data, including trading volume, open interest, funding rates, and options Greeks.
If you need implied volatilities for expiry dates that are not listed, you can use the "implied volatility surface" endpoint to calculate this.
The IV Smile endpoint lets you calculate volatility on a minute-by-minute basis from options market prices. The endpoint returns a volatility curve for a specific expiry date.
You can get volatility estimates by providing the following information:
Strikes
Forward-log-moneyness
Deltas
The calculation methodology leverages space 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.
Short listed-maturities (e.g. 7 days time-to-maturity) are only available for individual exchanges.
https://{eu/us}.market-api.kaiko.io/v2/data/analytics.v2/implied_volatility_smileregion
Yes
Choose between eu and us.
base
Yes
The desired base as the underlying of the options. See supported assets above.
btc, eth
quote
Yes
The desired quote as the underlying of the options.
usd or usdc
usd
value_time
Yes
The time at which to compute implied volatilities The time t should be smaller than the expiry T
2022-09-20T16:15:00.000Z
expiry
Yes
The expiry for which the implied volatilities are to be computed Must be an existing expiry on the selected exchange and tradable at the time of the computation.
2022-12-30T08:00:00.000Z
strikes
Yes, if neither forward_log_moneynesses nor deltas parameters are used.
The strike prices for which the implied volatilities are to be computed. Strike prices can be existing or non-existing ones (space interpolation included)
Either strikes or forward_log_moneynesses or deltas should be filled.
singular: 10000
plural: 10000,15000,20000
forward_log_moneynesses
Yes, if neither strikes nor deltas parameters are used.
The forward log moneyness for which the implied volatilities are to be computed.
Either strikes, forward_log_moneynesses or deltas should be filled.
singular: 1
plural: -1,-0.5,0,0.5,1
deltas
Yes, if neither forward_log_moneynesses nor strikes parameters are used.
The delta levels (of a Call option) for which the implied volatilities are to be computed.
Either strikes, forward_log_moneynesses or deltas should be filled.
exchanges
No
The desired exchange as source of options data. See supported exchanges above.
drbt
value_time
The time in parameter
2022-09-20T16:15:00.000Z
expiry
The expiry in parameter
2022-12-30T00:00:00.000Z
time_to_expiry
The associated time to expiry in year
0.27580868156450355
implied_volatilities
The list of requested implied volatilities
[{"strike": 40000,
"forward_log_moneyness": 0.7348555803648208,
"implied_volatility": 0.7341747093260883,
"delta": 0.04334612697660922,
"gamma": 0.000012437991693543254},
{"strike": 20000,
"forward_log_moneyness": 0.041708399804875465,
"implied_volatility": 0.6670092468551713,
"delta": 0.5223606946028295,
"gamma": 0.00005929353471794603}, ... ]
delta
The first derivative of the price with regards to the underlying price.
2.8863019124747424e-7
gamma
The second derivative of the price with regards to the underlying price.
2.416523346501216e-10
current_spot
The underlying spot price at the value timestamp.
71717
interest_rate
The implied interest rate.
0.14954983972466698
Use this example to calculate IV using deltas.
curl --compressed -H 'Accept: application/json' -H 'X-Api-Key: <client-api-key>' \
'https://us.market-api.kaiko.io/v2/data/analytics.v2/implied_volatility_smile?base=btc"e=usd&value_time=2024-06-07T12:00:00.000Z&expiry=2024-06-28T00:00:00.000Z&exchanges=drbt&deltas=0.25,0.5,0.75'Use this example to calculate IV using forward log moneyness.
https://us.market-api.kaiko.io/v2/data/analytics.v2/implied_volatility_smile?base=btc"e=usd&exchanges=drbt,okex&value_time=2024-09-12T10:00:00.000Z&expiry=2024-09-27T08:00:00.000Z&forward_log_moneynesses=-1,-0.5,0,0.5,1Use this example to calculate IV using strikes.
https://us.market-api.kaiko.io/v2/data/analytics.v2/implied_volatility_smile?base=btc"e=usd&exchanges=drbt&value_time=2024-09-12T10:00:00.000Z&expiry=2024-09-27T08:00:00.000Z&strikes=30000,50000,60000,70000,90000Use this example to calculate IV using deltas
##### 1. Import dependencies #####
import requests
import pandas as pd
##### 2. Choose the value of the query's parameters #####
# ---- Required parameters ---- #
base = "btc"
quote = "usd"
value_time = "2024-06-07T12:00:00.000Z"
expiry = "2024-06-28T00:00:00.000Z"
deltas = "0.25,0.5,0.75"
# ---- Optional parameters ---- #
exchanges = "drbt"
# ---- API key configuration ---- #
api_key = "YOUR_API_KEY"
##### 3. Get the data #####
# ---- Function to run an API call ---- #
# Get the data in a dataframe --------- #
def get_kaiko_data(api_key: str, base: str, quote: str, value_time: str, expiry: str, deltas: str, exchanges: str = None):
headers = {'Accept': 'application/json', 'X-Api-Key': api_key}
url = f'https://us.market-api.kaiko.io/v2/data/analytics.v2/implied_volatility_smile'
params = {
"base": base,
"quote": quote,
"value_time": value_time,
"expiry": expiry,
"deltas": deltas,
"exchanges": exchanges
}
try:
res = requests.get(url, headers=headers, params=params)
res.raise_for_status()
data = res.json()
if 'data' not in data:
print("No data returned.")
return pd.DataFrame()
df = pd.DataFrame(data['data'])
# Handle pagination with continuation token
while 'next_url' in data:
next_url = data['next_url']
if next_url is None:
break
res = requests.get(next_url, headers=headers)
res.raise_for_status()
data = res.json()
if 'data' in data:
df = pd.concat([df, pd.DataFrame(data['data'])], ignore_index=True)
return df
except requests.exceptions.RequestException as e:
print(f"API request error: {e}")
return pd.DataFrame()
# ---- Get the data ---- #
df = get_kaiko_data(api_key=api_key, base=base, quote=quote, value_time=value_time, expiry=expiry, deltas=deltas, exchanges=exchanges)
print (df)Use this example to calculate IV using forward log moneyness
##### 1. Import dependencies #####
import requests
import pandas as pd
##### 2. Choose the value of the query's parameters #####
# ---- Required parameters ---- #
base = "btc"
quote = "usd"
value_time = "2022-09-20T16:15:00.000Z"
expiry = "2022-12-30T08:00:00.000Z"
forward_log_moneynesses = "-1,-0.5,0,0.5,1"
# ---- Optional parameters ---- #
exchanges = "drbt"
# ---- API key configuration ---- #
api_key = "YOUR_API_KEY"
##### 3. Get the data #####
# ---- Function to run an API call ---- #
# Get the data in a dataframe --------- #
def get_kaiko_data(api_key: str, base: str, quote: str, value_time: str, expiry: str, forward_log_moneynesses: str, exchanges: str = None):
headers = {'Accept': 'application/json', 'X-Api-Key': api_key}
url = f'https://us.market-api.kaiko.io/v2/data/analytics.v2/implied_volatility_smile'
params = {
"base": base,
"quote": quote,
"value_time": value_time,
"expiry": expiry,
"forward_log_moneynesses": forward_log_moneynesses,
"exchanges": exchanges
}
try:
res = requests.get(url, headers=headers, params=params)
res.raise_for_status()
data = res.json()
if 'data' not in data:
print("No data returned.")
return pd.DataFrame()
df = pd.DataFrame(data['data'])
# Handle pagination with continuation token
while 'next_url' in data:
next_url = data['next_url']
if next_url is None:
break
res = requests.get(next_url, headers=headers)
res.raise_for_status()
data = res.json()
if 'data' in data:
df = pd.concat([df, pd.DataFrame(data['data'])], ignore_index=True)
return df
except requests.exceptions.RequestException as e:
print(f"API request error: {e}")
return pd.DataFrame()
# ---- Get the data ---- #
df = get_kaiko_data(api_key=api_key, base=base, quote=quote, value_time=value_time, expiry=expiry, forward_log_moneynesses=forward_log_moneynesses, exchanges=exchanges)
print (df)Use this example to calculate IV using forward log moneyness
##### 1. Import dependencies #####
import requests
import pandas as pd
##### 2. Choose the value of the query's parameters #####
# ---- Required parameters ---- #
base = "btc"
quote = "usd"
value_time = "2022-09-20T16:15:00.000Z"
expiry = "2022-12-30T08:00:00.000Z"
strikes = "10000,15000,20000"
# ---- Optional parameters ---- #
exchanges = "drbt"
# ---- API key configuration ---- #
api_key = "YOUR_API_KEY"
##### 3. Get the data #####
# ---- Function to run an API call ---- #
# Get the data in a dataframe --------- #
def get_kaiko_data(api_key: str, base: str, quote: str, value_time: str, expiry: str, strikes: str, exchanges: str = None):
headers = {'Accept': 'application/json', 'X-Api-Key': api_key}
url = f'https://us.market-api.kaiko.io/v2/data/analytics.v2/implied_volatility_smile'
params = {
"base": base,
"quote": quote,
"value_time": value_time,
"expiry": expiry,
"strikes": strikes,
"exchanges": exchanges
}
try:
res = requests.get(url, headers=headers, params=params)
res.raise_for_status()
data = res.json()
if 'data' not in data:
print("No data returned.")
return pd.DataFrame()
df = pd.DataFrame(data['data'])
# Handle pagination with continuation token
while 'next_url' in data:
next_url = data['next_url']
if next_url is None:
break
res = requests.get(next_url, headers=headers)
res.raise_for_status()
data = res.json()
if 'data' in data:
df = pd.concat([df, pd.DataFrame(data['data'])], ignore_index=True)
return df
except requests.exceptions.RequestException as e:
print(f"API request error: {e}")
return pd.DataFrame()
# ---- Get the data ---- #
df = get_kaiko_data(api_key=api_key, base=base, quote=quote, value_time=value_time, expiry=expiry, strikes=strikes, exchanges=exchanges)
print (df){
"query": {
"base": "btc",
"quote": "usd",
"exchanges": [
"drbt",
"okex"
],
"value_time": "2024-06-07T12:00:00.000Z",
"expiry": "2024-06-28T00:00:00.000Z",
"data_version": "v2",
"commodity": "analytics",
"request_time": "2024-06-24T12:30:09.700Z",
"sources": "false"
},
"time": "2024-06-24T12:30:10.147Z",
"data": [
{
"value_time": "2024-06-07T12:00:00.000Z",
"expiry": "2024-06-28T00:00:00.000Z",
"time_to_expiry": 0.056164383561643834,
"implied_volatilities": [
{
"strike": 72853.3324003775,
"forward_log_moneyness": 0.007321081822738051,
"implied_volatility": 0.5105897940662363,
"delta": 0.5,
"gamma": 0.000045971145294598765,
"current_spot": 71717,
"interest_rate": 0.14954983972466698
},
{
"strike": 79392.23132701412,
"forward_log_moneyness": 0.09327332815155387,
"implied_volatility": 0.5335098490669691,
"delta": 0.25,
"gamma": 0.00003504506121504308,
"current_spot": 71717,
"interest_rate": 0.14954983972466698
},
{
"strike": 67169.33106494324,
"forward_log_moneyness": -0.07391043269308284,
"implied_volatility": 0.5076566142080143,
"delta": 0.75,
"gamma": 0.000036829787686483384,
"current_spot": 71717,
"interest_rate": 0.14954983972466698
}
]
}
],
"exchanges": [
"drbt",
"okex"
]
}
{
"query": {
"base": "btc",
"quote": "usd",
"exchanges": [
"drbt",
"okex"
],
"value_time": "2024-09-12T10:00:00.000Z",
"expiry": "2024-09-27T08:00:00.000Z",
"data_version": "v2",
"commodity": "analytics",
"request_time": "2024-09-16T10:08:13.297Z",
"sources": "false"
},
"time": "2024-09-16T10:08:13.510Z",
"data": [
{
"value_time": "2024-09-12T10:00:00.000Z",
"expiry": "2024-09-27T00:00:00.000Z",
"time_to_expiry": 0.03995433789954338,
"implied_volatilities": [
{
"strike": 21393.433382294108,
"forward_log_moneyness": -1,
"implied_volatility": 1.333640363610205,
"delta": 0.9999487436462999,
"gamma": 1.3636212810241294E-8,
"current_spot": 58033.01112255454,
"interest_rate": 0.051859643540835755
},
{
"strike": 35271.80867069449,
"forward_log_moneyness": -0.5,
"implied_volatility": 0.9596570717413877,
"delta": 0.9965589532046168,
"gamma": 9.298329941261203E-7,
"current_spot": 58033.01112255454,
"interest_rate": 0.051859643540835755
},
{
"strike": 58153.381211439206,
"forward_log_moneyness": 0,
"implied_volatility": 0.5101368982713104,
"delta": 0.5203310896967671,
"gamma": 6.732894295644585E-5,
"current_spot": 58033.01112255454,
"interest_rate": 0.051859643540835755
},
{
"strike": 95878.71656643301,
"forward_log_moneyness": 0.5,
"implied_volatility": 0.8386751286583922,
"delta": 0.0018731164887705876,
"gamma": 6.140349526013891E-7,
"current_spot": 58033.01112255454,
"interest_rate": 0.051859643540835755
},
{
"strike": 158077.27941050686,
"forward_log_moneyness": 1,
"implied_volatility": 1.1585659255535645,
"delta": 1.3207614779298105E-5,
"gamma": 4.342680303635139E-9,
"current_spot": 58033.01112255454,
"interest_rate": 0.051859643540835755
}
]
}
]
}{
"query": {
"base": "btc",
"quote": "usd",
"exchanges": [
"drbt"
],
"value_time": "2024-09-12T10:00:00.000Z",
"expiry": "2024-09-27T08:00:00.000Z",
"data_version": "v2",
"commodity": "analytics",
"request_time": "2024-09-16T10:16:06.767Z",
"sources": "false"
},
"time": "2024-09-16T10:16:07.109Z",
"data": [
{
"value_time": "2024-09-12T10:00:00.000Z",
"expiry": "2024-09-27T08:00:00.000Z",
"time_to_expiry": 0.0408675799086758,
"implied_volatilities": [
{
"strike": 30000,
"forward_log_moneyness": -0.6621439523959698,
"implied_volatility": 1.0918347265102102,
"delta": 0.999065374274305,
"gamma": 2.470728795941105E-7,
"current_spot": 58026.01780838792,
"interest_rate": 0.0599458347465653
},
{
"strike": 50000,
"forward_log_moneyness": -0.15131832862997915,
"implied_volatility": 0.6151097548518855,
"delta": 0.8995619045026346,
"gamma": 2.4400231724112595E-5,
"current_spot": 58026.01780838792,
"interest_rate": 0.0599458347465653
},
{
"strike": 60000,
"forward_log_moneyness": 0.031003228163975546,
"implied_volatility": 0.5087453039141314,
"delta": 0.40128287640417803,
"gamma": 6.479219462479912E-5,
"current_spot": 58026.01780838792,
"interest_rate": 0.0599458347465653
},
{
"strike": 70000,
"forward_log_moneyness": 0.18515390799123382,
"implied_volatility": 0.5834792805075438,
"delta": 0.06542894780360681,
"gamma": 1.861991887220773E-5,
"current_spot": 58026.01780838792,
"interest_rate": 0.0599458347465653
},
{
"strike": 90000,
"forward_log_moneyness": 0.4364683362721398,
"implied_volatility": 0.7752384746098042,
"delta": 0.0033982150399509137,
"gamma": 1.125492902360329E-6,
"current_spot": 58026.01780838792,
"interest_rate": 0.0599458347465653
}
]
}
]
}
Shared in
Derivatives risk endpoint
This endpoint returns exchange-provided metrics such as open interest, funding rates, and option greeks.
https://{eu/us}.market-api.kaiko.io/v2/data/derivatives.v2/riskregion
Yes
Choose between eu and us.
exchange
Yes
Should be one of the exchanges currently supported
okex
instrument_class
Yes
future, perpetual-future, or option
future
instrument
Yes
btcusdt250117
interval
No
Interval period (can be one of 1m, 1h, 4h, and 1d). Default 1m
When you query data using aninterval greater than one minute, we'll return the data from the last minute of that time period. For example, if you query data for 09:00 with the interval set at 1h, we'll return data from 09:59 (since that's the last minute of the 09:00-10:00 hour period).
1h
page_size
No
10
sort
No
Return the data in ascending (asc) or descending (desc) order. Default desc
asc
start_time
No
Starting time in ISO 8601 (inclusive).
2025-01-01T00:00:00.000Z
end_time
No
Ending time in ISO 8601 (exclusive).
2025-01-04T00:00:00.000Z
timestamp
Timestamp at which the interval begins. In milliseconds.
1650441900000
24h_volume
The volume of the trades executed in the last 24 hours (can be in base_asset, quote_asset or the number of contracts)
5270648
open_interest
The total outstanding number of contracts (units in which open interest metrics are quoted vary by exchange)
1127623
funding_rate
The current funding rate.
-0.0000756735759807
predicted_funding_rate
The predicted funding rate for the next period.
-0.0000845044644161
timestamp
Timestamp at which the interval begins. In milliseconds.
1650441900000
24h_volume
The volume of the trades executed in the last 24 hours (can be in base_asset, quote_asset or the number of contracts)
5270648
open_interest
The total outstanding number of contracts (units in which open interest metrics are quoted vary by exchange)
1127623
time_to_expiry
The number of minutes remaining before expiry.
41504
nearby
The soonest expiring contract with the same base & quote asset on the specified exchange
boolean value
quarterly_nearby
The soonest expiring quarterly contract with the same base & quote asset on the specified exchange
boolean value
timestamp
Timestamp at which the interval begins. In milliseconds.
1650441900000
24h_volume
The volume of the trades executed in the last 24 hours (can be in base_asset, quote_asset or the number of contracts)
5270648
open_interest
The total outstanding number of contracts (units in which open interest metrics are quoted vary by exchange)
1127623
time_to_expiry
The number of minutes remaining before expiry.
41504
nearby
The soonest expiring contract with the same base & quote asset on the specified exchange
boolean value
quarterly_nearby
The soonest expiring quarterly contract with the same base & quote asset on the specified exchange
boolean value
ask_iv
Implied volatility for the best ask.
57.5
bid_iv
Implied volatility for the best bid.
65.4
mark_iv
The implied volatility for the mark price.
69.42
delta
The delta value for the option.
0.8841
gamma
The gamma value for the option.
0.00003
rho
The rho value for the option.
21.26122
theta
The theta value for the option.
-26.18193
vega
The vega value for the option.
2.36321
curl --compressed -H 'Accept: application/json' -H 'X-Api-Key: <client-api-key>' \
'https://us.market-api.kaiko.io/v2/data/derivatives.v2/risk?exchange=okex&instrument_class=perpetual-future&instrument=btc-usdt&page_size=2'##### 1. Import dependencies #####
import requests
import pandas as pd
##### 2. Choose the value of the query's parameters #####
# ---- Required parameters ---- #
exchange = "okex"
instrument_class = "perpetual-future"
instrument = "btc-usdt"
# ---- Optional parameters ---- #
interval = "1h"
sort = "desc"
page_size = 100
start_time= None
end_time= None
# ---- API key configuration ---- #
api_key = "YOUR_API_KEY"
##### 3. Get the data #####
# ---- Function to run an API call ---- #
# Get the data in a dataframe --------- #
def get_kaiko_data(api_key: str, exchange: str, instrument_class: str, instrument: str, start_time: str, end_time: str, interval: str, sort: str, page_size: int):
headers = {'Accept': 'application/json', 'X-Api-Key': api_key}
url = f'https://us.market-api.kaiko.io/v2/data/derivatives.v2/risk'
params = {
"start_time": start_time,
"end_time": end_time,
"sort": sort,
"page_size": page_size,
"interval": interval,
"exchange": exchange,
"instrument_class": instrument_class,
"instrument": instrument
}
try:
res = requests.get(url, headers=headers, params=params)
res.raise_for_status()
data = res.json()
if 'data' not in data:
print("No data returned.")
return pd.DataFrame()
df = pd.DataFrame(data['data'])
# Handle pagination with continuation token
while 'next_url' in data:
next_url = data['next_url']
if next_url is None:
break
res = requests.get(next_url, headers=headers)
res.raise_for_status()
data = res.json()
if 'data' in data:
df = pd.concat([df, pd.DataFrame(data['data'])], ignore_index=True)
return df
except requests.exceptions.RequestException as e:
print(f"API request error: {e}")
return pd.DataFrame()
# ---- Get the data ---- #
df = get_kaiko_data(api_key=api_key, exchange=exchange, instrument_class=instrument_class, instrument=instrument, interval=interval, start_time=start_time, end_time=end_time, sort=sort, page_size=page_size)
print (df){
"query": {
"page_size": "2",
"exchange": "okex",
"instrument_class": "perpetual-future",
"instrument": "btc-usdt",
"sort": "desc",
"data_version": "v2",
"commodity": "derivatives",
"request_time": "2022-04-28T10:17:48.180Z"
},
"time": "2022-04-28T10:17:48.698Z",
"timestamp": 1651141068698,
"data": [
{
"timestamp": 1651141020000,
"24h_volume": "10428503",
"open_interest": "1084816",
"funding_rate": "-0.0001225804461251",
"predicted_funding_rate": "-0.0000652655998942"
},
{
"timestamp": 1651140960000,
"24h_volume": "10423219",
"open_interest": "1086823",
"funding_rate": "-0.0001225804461251",
"predicted_funding_rate": "-0.0000654154039082"
},
],
/* ... */
"access": {
"access_range": {
"start_timestamp": 1646006400,
"end_timestamp": null
},
"data_range": {
"start_timestamp": null,
"end_timestamp": null
}
}
}Instrument code.
See
One instrument returned per query.
Number of snapshots to return data for. (default: 100, min: 1, max: 1000). See
Information from this endpoint can be accessed through Google BigQuery. To get started, read our .
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.
https://{eu/us}.market-api.kaiko.io/v2/data/analytics.v2/implied_volatility_surfaceregion
Yes
Choose between eu and us.
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_output field.
Strikes and forward-log-moneynesses are only available when retrieving implied volatilities by strikes or forward-log-moneynesses (not by delta).
base
Yes
The desired base as the underlying of the options. See asset support above.
btc, eth
quote
Yes
The desired quote as the underlying of the options. See asset support above.
usd
exchanges
Yes
The desired exchange as source of options data. See exchange support above.
drbt
value_time
Yes
The time at which to compute implied volatilities The time t should be smaller than the lowest requested expiry.
2022-06-25T16:00:00.000Z
expiry_list
Yes, if the set of parameters (tte_min, tte_max, tte_step) is not used.
The expiries for which the implied volatilities are to be computed. Expiries can be listed or non-listed ones.
Expiries should be between minimum and maximum listed maturities on exchange. If not, a partial output will be returned.
Either expiry_list or (tte_min, tte_max, tte_step) should be filled.
expiry_list=2022-08-28T08:00:00.000Z, 2022-08-30T08:00:00.000Z
or tte_min=0.034288&tte_max=1&tte_step=0.02
tte_min
Yes, if expiry_list is not used. To be used along with tte_max, tte_step.
Minimum time-to-expiry on the time grid.
Strictly positive value allowed.
If the `tte_min` is below the time to expiry associated with the minimum listed maturity, partial output will be returned.
Either expiry_list or (tte_min, tte_max, tte_step) should be filled.
0.034288
tte_max
Yes, if expiry_list is not used. To be used along with tte_min, tte_step.
Maximum time-to-expiry on the time grid.
Strictly positive value above the `tte_min`.
If the `tte_max` is above the time to expiry associated with the maximum listed maturity, partial output will be returned.
Either expiry_list or (tte_min, tte_max,tte_step) should be filled.
1
tte_step
Yes, if expiry_list is not used. To be used along with tte_min, tte_max.
Step between two time-to-expiries in time grid.
Strictly positive value allowed.
Either expiry_list or (tte_min, tte_max, tte_step) should be filled.
0.02
strike_list
Yes, if the set of parameters (f_log_min, f_log_max, f_log_step) or deltas or the set of parameters (delta_min, delta_max, delta_step) are not used.
The strike prices for which the implied volatilities are to be computed. Strike prices can be listed or non-listed ones.
Strictly positives values allowed.
Either strike_list , (f_log_m_min, f_log_m_max, f_log_m_step), deltas or
(delta_min, delta_max, delta_step) should be filled.
strike_list=25000, 29150, 29155, 29160
or f_log_m_min=-1.5&f_log_m_max=1.5&f_log_m_step=0.05
f_log_m_min
Yes, if strike_list or deltas or the set of parameters (delta_min, delta_max, delta_step) are not used.
To be used along with f_log_m_max, f_log_m_step.
Minimum forward log-moneyness on the space grid.
Either strike_list , (f_log_m_min, f_log_m_max, f_log_m_step), deltas or
(delta_min, delta_max, delta_step) should be filled.
-1.5
f_log_m_max
Yes, if strike_list or deltas or the set of parameters (delta_min, delta_max, delta_step) are not used.
To be used along with f_log_m_min, f_log_m_step.
Maximum forward log-moneyness on the space grid.
Either strike_list , (f_log_m_min, f_log_m_max, f_log_m_step), deltas or
(delta_min, delta_max, delta_step) should be filled.
1
f_log_m_step
Yes, if strike_list or deltas or the set of parameters (delta_min, delta_max, delta_step) are not used.
To be used along with f_log_m_min, f_log_m_max.
Step between two forward log moneyness in space grid.
Either strike_list , (f_log_m_min, f_log_m_max, f_log_m_step), deltas or
(delta_min, delta_max, delta_step) should be filled.
0.02
deltas
Yes, if strike_list or the sets of parameters (delta_min, delta_max, delta_step) or (f_log_m_min, f_log_m_max, f_log_m_step) are not used.
The delta levels (of a Call option) for which the implied volatilities are to be computed.
Only delta values between 0.01 and 0.99 are allowed.
Either strike_list , (f_log_m_min, f_log_m_max, f_log_m_step), deltas or
(delta_min, delta_max, delta_step) should be filled.
deltas=0.25,0.5,0.75
delta_min
Yes, if strike_list or deltas or the set of parameters (f_log_m_min, f_log_m_max, f_log_m_step) are not used. To be used along with delta_max, delta_step.
Minimum delta (of a Call option) on the space grid.
Only delta values between 0.01 and 0.99 are allowed.
Either strike_list , (f_log_m_min, f_log_m_max, f_log_m_step), deltas or
(delta_min, delta_max, delta_step) should be filled.
0.01
delta_max
Yes, if strike_list or deltas or the set of parameters (f_log_m_min, f_log_m_max, f_log_m_step) are not used. To be used along with delta_min, delta_step.
Maximum delta (of a Call option) on the space grid.
Only delta values between 0.01 and 0.99 are allowed.
Either strike_list , (f_log_m_min, f_log_m_max, f_log_m_step), deltas or
(delta_min, delta_max, delta_step) should be filled.
0.99
delta_step
Yes, if strike_list or deltas or the set of parameters (f_log_m_min, f_log_m_max, f_log_m_step) are not used. To be used along with delta_min, delta_max.
Step between two deltas (of a Call option) on the space grid.
Either strike_list , (f_log_m_min, f_log_m_max, f_log_m_step), deltas or
(delta_min, delta_max, delta_step) should be filled.
complete_output
This indicates whether the output covers the entire requested range within the listed expiries, or only the valid subset.
True
value_time
The time in parameter
2022-06-25T16:00:00Z
expiry
The expiry at which the IV has been interpolated.
2022-08-28T08:00:00Z
time_to_expiry
The associated time-to-expiry (in year).
0.17442922374429223
strike
The strike at which the IV has been computed. Not provided when the input is a delta list.
265.88827409960714
forward_log_moneyness
The associated forward log-moneyness. Not provided when the input is a delta list.
-1.5
implied_volatility
The calibrated and interpolated implied volatilities.
1.8088997727784055
delta
The first derivative of the price (of a Call option) with regards to the underlying price
-0.009058250602524742
gamma
The second derivative of the price with regards to the underlying price
0.000027152549142705487
interest_rate
The implied interest rate.
0.14954983972466698
current_spot
The underlying spot price at the value timestamp.
71717
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%2C60000{
"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
},
{
"implied_volatility":0.51677777797711,
"delta":0.6,
"interest_rate":0.052497499225334636,
"current_spot":58033.01112255454
},
{
"implied_volatility":0.5314642342464321,
"delta":0.7,
"interest_rate":0.052497499225334636,
"current_spot":58033.01112255454
},
{
"implied_volatility":0.5587288797341338,
"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
},
{
"implied_volatility":0.5150201900956664,
"delta":0.5,
"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,
"interest_rate":0.06524195117082478,
"current_spot":58033.01112255454
},
{
"implied_volatility":0.5595467577751186,
"delta":0.7999999999999999,
"interest_rate":0.06524195117082478,
"current_spot":58033.01112255454
},
{
"implied_volatility":0.6109550611499716,
"delta":0.8999999999999999,
"interest_rate":0.06524195117082478,
"current_spot":58033.01112255454
}
]
},
{
"value_time":"2024-09-12T10:00:00.000Z",
"expiry":"2024-10-25T08:00:00.000Z",
"time_to_expiry":0.11757990867579908,
"implied_volatilities":[
{
"implied_volatility":0.5922138420961504,
"delta":0.1,
"interest_rate":0.06444166091264596,
"current_spot":58033.0026110549
},
{
"implied_volatility":0.5520922097809197,
"delta":0.2,
"interest_rate":0.06444166091264596,
"current_spot":58033.0026110549
},
{
"implied_volatility":0.5329630080551225,
"delta":0.30000000000000004,
"interest_rate":0.06444166091264596,
"current_spot":58033.0026110549
},
{
"implied_volatility":0.5231218680220053,
"delta":0.4,
"interest_rate":0.06444166091264596,
"current_spot":58033.0026110549
},
{
"implied_volatility":0.5194493140150083,
"delta":0.5,
"interest_rate":0.06444166091264596,
"current_spot":58033.0026110549
},
{
"implied_volatility":0.5213876755567547,
"delta":0.6,
"interest_rate":0.06444166091264596,
"current_spot":58033.0026110549
},
{
"implied_volatility":0.5302377211015243,
"delta":0.7,
"interest_rate":0.06444166091264596,
"current_spot":58033.0026110549
},
{
"implied_volatility":0.550749699660159,
"delta":0.7999999999999999,
"interest_rate":0.06444166091264596,
"current_spot":58033.0026110549
},
{
"implied_volatility":0.6010333506232379,
"delta":0.8999999999999999,
"interest_rate":0.06444166091264596,
"current_spot":58033.0026110549
}
]
},
{
"value_time":"2024-09-12T10:00:00.000Z",
"expiry":"2024-11-08T08:00:00.000Z",
"time_to_expiry":0.15593607305936072,
"implied_volatilities":[
{
"implied_volatility":0.6624300907047234,
"delta":0.1,
"interest_rate":0.06396819887540026,
"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,
"interest_rate":0.06396819887540026,
"current_spot":58033.01112255454
},
{
"implied_volatility":0.5873014915704046,
"delta":0.4,
"interest_rate":0.06396819887540026,
"current_spot":58033.01112255454
},
{
"implied_volatility":0.5831399288267296,
"delta":0.5,
"interest_rate":0.06396819887540026,
"current_spot":58033.01112255454
},
{
"implied_volatility":0.5842407024308494,
"delta":0.6,
"interest_rate":0.06396819887540026,
"current_spot":58033.01112255454
},
{
"implied_volatility":0.5912675169813805,
"delta":0.7,
"interest_rate":0.06396819887540026,
"current_spot":58033.01112255454
},
{
"implied_volatility":0.6074281344387386,
"delta":0.7999999999999999,
"interest_rate":0.06396819887540026,
"current_spot":58033.01112255454
},
{
"implied_volatility":0.6449624313701908,
"delta":0.8999999999999999,
"interest_rate":0.06396819887540026,
"current_spot":58033.01112255454
}
]
}
],
"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":[
{
"strike":35205.07731688165,
"forward_log_moneyness":-0.5,
"implied_volatility":1.219961822819801,
"delta":0.9999840518413259,
"gamma":9.862878922173833e-09,
"interest_rate":0.029882129261974883,
"current_spot":58026.01780838781
},
{
"strike":58043.35980898536,
"forward_log_moneyness":0,
"implied_volatility":0.47173352808037106,
"delta":0.5094088500573186,
"gamma":0.00014570314379410554,
"interest_rate":0.029882129261974883,
"current_spot":58026.01780838781
},
{
"strike":95697.3219399751,
"forward_log_moneyness":0.5,
"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":[
{
"strike":35258.65197953432,
"forward_log_moneyness":-0.5,
"implied_volatility":1.0227076131194504,
"delta":0.998199924676951,
"gamma":5.605337511004371e-07,
"interest_rate":0.06064841675926235,
"current_spot":58026.01780838785
},
{
"strike":58131.68949487142,
"forward_log_moneyness":0,
"implied_volatility":0.5150355416768742,
"delta":0.517788278262302,
"gamma":7.69939568408782e-05,
"interest_rate":0.06064841675926235,
"current_spot":58026.01780838785
},
{
"strike":95842.95297192968,
"forward_log_moneyness":0.5,
"implied_volatility":0.8521845389437603,
"delta":0.00046039932852065535,
"gamma":1.922319739897016e-07,
"interest_rate":0.06064841675926235,
"current_spot":58026.01780838785
}
]
},
{
"value_time":"2024-09-12T10:00:00.000Z",
"expiry":"2024-09-30T16:00:00.000Z",
"time_to_expiry":0.05,
"implied_volatilities":[
{
"strike":35306.34125006645,
"forward_log_moneyness":-0.5,
"implied_volatility":0.9000176772559828,
"delta":0.9951324086246934,
"gamma":1.2089704742589137e-06,
"interest_rate":0.06342187503569374,
"current_spot":58026.01780838792
},
{
"strike":58210.3158095819,
"forward_log_moneyness":0,
"implied_volatility":0.51382233838562,
"delta":0.522905471292496,
"gamma":5.9740914598632886e-05,
"interest_rate":0.06342187503569374,
"current_spot":58026.01780838792
},
{
"strike":95972.58584942963,
"forward_log_moneyness":0.5,
"implied_volatility":0.7922110861857629,
"delta":0.0031285593939101575,
"gamma":9.243683297678397e-07,
"interest_rate":0.06342187503569374,
"current_spot":58026.01780838792
}
]
},
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