Risk

Derivatives risk endpoint

What is this endpoint for?

This endpoint can be used to analyze risks related with derivatives, such as open interest, funding rates, and option greeks.

Endpoint

https://eu.market-api.kaiko.io/v2/data/derivatives.v2/risk

Parameters

Parameter	Required	Description	Example
exchange	Yes	Should be one of the exchanges currently supported	okex
instrument_class	Yes	future, perpetual-future, or option	future
instrument	Yes	Instrument code. See Instruments One instrument returned per query.	btcusd220624
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	Number of snapshots to return data for. (default: 100, min: 1, max: 1000). See Pagination	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).	2022-04-20T00:03:00.000Z
end_time	No	Ending time in ISO 8601 (exclusive).	2022-04-20T08:05:00.000Z

Fields

Field	Description	Example
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 oustanding number of contracts (units in which open interest metrics are quoted vary by exchange)	1127623
funding_rate	perpetual-future only. The current funding rate.	-0.0000756735759807
predicted_funding_rate	perpetual-future only. The predicted funding rate for the next period.	-0.0000845044644161
time_to_expiry	future & option only. The number of minutes remaining before expiry.	41504
nearby	future & option only. The soonest expiring contract with the same base & quote asset on the specified exchange	boolean value
quarterly_nearby	future & option only. The soonest expiring quarterly contract with the same base & quote asset on the specified exchange	boolean value
ask_iv	option only. Implied volatility for the best ask.	57.5
bid_iv	option only. Implied volatility for the best bid.	65.4
mark_iv	option only. The implied volatility for the mark price.	69.42
delta	option only. The delta value for the option.	0.8841
gamma	option only. The gamma value for the option.	0.00003
rho	option only. The rho value for the option.	21.26122
theta	option only. The theta value for the option.	-26.18193
vega	option only. The vega value for the option.	2.36321

Request example

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'

Response example

JSON

{
    "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
        }
    }
}