Implied Volatility by Delta

HTTP Request

POST /api/v1/global/data/iV/byDelta

Get current implied volatility for target delta

Supported exchanges and assets (baseCurrency/quoteCurrency)
DERIBIT: BTC/USD, ETH/USD, SOL/USDC, XRP/USDC
OKX: BTC/USD, ETH/USD
BYBIT: BTC/USDC, ETH/USDC, SOL/USDC

The request body must contain an array of Instrument ranging in size from 1 to 50

Request body JSON Parameters

Parameter	Type	Required	Description
instrumentId	String	Yes	User defined unique instrument ID
baseCurrency	String	Yes	Base currency ticker: BTC, ETH, SOL, XRP
quoteCurrency	String	Yes	Quote currency ticker: USD, USDC
source	String	Yes	Exchange type: DERIBIT, OKX, BYBIT
volatilityModel	String	Yes	Volatility model: SVI, SABR, VANNA_VOLGA The model is calibrated to the Exchange given by the Exchange type
expirationTimestamp	Num	Yes	Instrument expiration timestamp (in seconds) Must be >= current timestamp
delta	Num	Yes	Target delta Must be > 0.01

Response body Json Parameters

Parameter	Type	Description
instrumentId	String	User defined unique instrument ID
baseCurrency	String	Base currency ticker
quoteCurrency	String	Quote currency ticker
source	String	Source
volatilityModel	String	User defined Volatility model
observationTimestamp	Num	Instrument observation timestamp (in seconds)
impliedVolatility	Num	Implied volatility for the target strike
spotPrice	Num	Current spot price
forwardPrice	Num	Current forward price

Request Example

POST /api/v1/global/data/iV/byStrike
body
    [
        {
            "instrumentId": "DERIBIT-BTC-USD-28JUL24-10-DELTA-SVI",
            "baseCurrencyTicker": "BTC",
            "quoteCurrencyTicker": "USD",
            "source": "DERIBIT",
            "volatilityModel": "SVI",
            "expirationTimestamp": 1722153600,
            "delta": 0.1
        },
        {
            "instrumentId": "DERIBIT-BTC-USD-28JUL24-25-DELTA-SABR",
            "baseCurrencyTicker": "BTC",
            "quoteCurrencyTicker": "USD",
            "source": "DERIBIT",
            "volatilityModel": "SABR",
            "expirationTimestamp": 1722153600,
            "delta": 0.25
        },
        {
            "instrumentId": "DERIBIT-BTC-USD-28JUL24-50-DELTA-VANNA_VOLGA",
            "baseCurrencyTicker": "BTC",
            "quoteCurrencyTicker": "USD",
            "source": "DERIBIT",
            "volatilityModel": "VANNA_VOLGA",
            "expirationTimestamp": 1722153600,
            "delta": 0.5
        }
    ]

Response Example

[
    {
        "instrumentId": "DERIBIT-BTC-USD-28JUL24-10-DELTA-SVI",
        "observationTimestamp": 1717433945,
        "impliedVolatility": 0.592830114450421,
        "spotPrice": 67739.71,
        "forwardPrice": 69248.02571428573
    },
    {
        "instrumentId": "DERIBIT-BTC-USD-28JUL24-25-DELTA-SABR",
        "observationTimestamp": 1717433945,
        "impliedVolatility": 0.5593964859158406,
        "spotPrice": 67739.71,
        "forwardPrice": 69248.02571428573
    },
    {
        "instrumentId": "DERIBIT-BTC-USD-28JUL24-50-DELTA-VANNA_VOLGA",
        "observationTimestamp": 1717433945,
        "impliedVolatility": 0.5401807571878332,
        "spotPrice": 67739.71,
        "forwardPrice": 69248.02571428573
    }
]