Kaiko Acquires Amberdata in Landmark Digital Asset Data Consolidation.
Kaiko Implied Volatility Methodology.
Implied Volatility Methodology
This methodology discusses the calculation of Kaiko’s Implied Volatility metric, available as part of its Derivatives Risk Indicators subscriptions. The methodology ensures robust and accurate IV for crypto options despite challenges like low liquidity, missing quotes, and wide bid-ask spreads. The process runs every minute and includes four key steps.
Step one is data selection. Kaiko selects options prices from major exchanges such as Deribit and OKX, using both trade data and top-of-book order book data.
Step two is implied volatility computation. Kaiko converts options prices into implied volatilities using the Black-Scholes formula and the Newton-Raphson method, with forward prices derived from the call put parity relation.
Step three is smile calibration. For each expiry date, Kaiko calibrates a Jump Wings SVI parameterization to model the implied volatility smile, preventing arbitrage and applying outlier detection filters.
Step four is time interpolation. For the IV Surface, Kaiko performs time interpolation to calculate implied volatilities at any expiry date.
Kaiko offers both IV Smile and IV Surface calculations, available for BTC, ETH, SOL, MATIC, and XRP options on Deribit, OKX, Binance, and Bybit. Data is updated every minute and distributed via REST APIs.