Derivatives Analytics

Quantitative data tailored to the cryptocurrency derivatives market

Implied Volatilities

One factor that affects option prices is the fluctuation (or volatility) of its underlying asset. Options traders display their anticipation of this volatility through option prices. This indicator, called implied volatility, can be extracted from market prices. The analysis of implied volatility and its dynamic is a key piece of information in the risk management of options trading.

Implied Volatility Smile

Volatility curve of a listed expiry date computed on a set of strike prices. Our methodology includes space interpolation and allows users to also compute consistent implied volatilities on non-listed strikes.

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Implied Volatility Surface

Volatility surface for a range of expiry dates and a range of strike prices. Our methodology includes space and time interpolation and allows users to also compute consistent implied volatilities on non-listed strikes or between two listed expiration dates.

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Data-driven methodology

To compute accurate and robust implied volatilities for the cryptocurrency market, improvements have been made to the common/standard methodologies. 

  • Volatilities are updated every hour to capture market changes
  • The methodology is designed to be efficient in case of liquidity issues (small trade volumes, missing quotes, large bid/ask spread) thanks to:
    • Robust statistics
    • Missing data analysis

This methodology is fully transparent and quantitative details are available in our research paper.

Implied Volatility Methodology

Coverage & Distribution

Distribution

  • REST API
  • Granularity 1h
  • Historical & Live IV
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Coverage

  • Available on BTC and ETH options.

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