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
Parameters
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).
Parameter | Required | Description | Example |
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| Yes | The desired base as the underlying of the options. See asset support above. |
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| Yes | The desired quote as the underlying of the options. See asset support above. |
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| Yes | The desired exchange as source of options data. See exchange support above. |
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| Yes | The time at which to compute implied volatilities The time t should be smaller than the lowest requested expiry. |
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| Yes, if the set of parameters ( | The expiries for which the implied volatilities are to be computed. Expiries can be listed or non-listed ones.
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| Yes, if | Minimum time-to-expiry on the time grid.
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| Yes, if | Maximum time-to-expiry on the time grid.
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| Yes, if | Step between two time-to-expiries in time grid.
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| Yes, if the set of parameters ( | The strike prices for which the implied volatilities are to be computed. Strike prices can be listed or non-listed ones.
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| Yes, if | Minimum forward log-moneyness on the space grid.
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| Yes, if | Maximum forward log-moneyness on the space grid.
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| Yes, if | Step between two forward log moneyness in space grid.
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| Yes, if | The delta levels (of a Call option) for which the implied volatilities are to be computed.
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| Yes, if | Minimum delta (of a Call option) on the space grid.
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| Yes, if | Maximum delta (of a Call option) on the space grid.
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| Yes, if | Step between two deltas (of a Call option) on the space grid.
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Fields
Field | Description | Example |
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complete_output | This indicates whether the output covers the entire requested range within the listed expiries, or only the valid subset. | True |
| The time in parameter |
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| The expiry at which the IV has been interpolated. |
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| The associated time-to-expiry (in year). |
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| The strike at which the IV has been computed. Not provided when the input is a delta list. |
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| The associated forward log-moneyness. Not provided when the input is a delta list. |
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| The calibrated and interpolated implied volatilities. |
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| The first derivative of the price (of a Call option) with regards to the underlying price |
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| The second derivative of the price with regards to the underlying price |
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| The implied interest rate. |
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| The underlying spot price at the value timestamp. |
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Request example
Response example
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