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Definition

The “Volatility Metrics” endpoint provides users with a quick 24-hour snapshot of the key changes in the options volatility surface between two given timestamps. This allows for a quick assessment of the important shifts in the options market landscape.

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Details

Volatility Metrics returns several important metrics that capture the changes in the options volatility surface, including: Underlying Price Change:
  • The change in the price of the underlying asset (e.g., BTC, ETH) between the two timestamps.
At-the-Money (ATM) Volatility Change:
  • The change in the implied volatility of the at-the-money options.
Risk-Reversal Change:
  • The change in the volatility difference between out-of-the-money (OTM) call options and OTM put options with the same delta.
Butterfly Value Change:
  • The change in the implied volatility of an options strategy that involves a long position in the ATM option, a short position in two OTM options (one call, one put) with the same delta, and a long position in two OTM options (one call, one put) with a higher delta.

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API Endpoints

/Volatility Metrics

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Availability