European Barrier
HTTP Request
POST /api/v1/global/optionValuation/euBarrier
Get current value and corresponding risks for given EUROPEAN BARRIER options list
Supported exchanges and assets (baseCurrency/quoteCurrency)
DERIBIT: BTC/USD, ETH/USD
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:BTC,ETH |
| quoteCurrency | String | Yes | Quote currency:USD |
| source | String | Yes | Exchange type:DERIBIT |
| volatilityModel | String | Yes | Volatility model:SVIThe model is calibrated to the Exchange given by Exchange type |
| europeanBarrierOptionType | String | Yes | European barrier option types:CALL,PUT,FORWARD,DIGITAL_CALL,DIGITAL_PUT |
| expirationTimestamp | Num | Yes | Instrument expiration timestamp (in seconds) Must be >= current timestamp |
| strike | Num | No | Must be > 0. Required for all europeanBarrierOptionType except DIGITAL_CALL,DIGITAL_PUT |
| barrierType | String | No | Barrier types:UP_AND_OUT,DOWN_AND_OUT,UP_AND_IN,DOWN_AND_IN. Required for all europeanBarrierOptionType except DIGITAL_CALL,DIGITAL_PUT |
| barrier | Num | Yes | Must be > 0 |
Response body JSON Parameters
| Parameter | Type | Description |
|---|---|---|
| instrumentId | String | User defined unique instrument ID |
| observationTimestamp | Num | Instrument observation timestamp (in seconds) |
| impliedVolatility | Num | Implied volatility on strike for option types:CALL,PUT,FORWARDVolatility on the barrier for option types: DIGITAL_CALL,DIGITAL_PUT |
| spotPrice | Num | Current spot price |
| forwardPrice | Num | Current forward price |
| percentPrice | Num | Option price, percent of nominal |
| percentDelta | Num | Option Delta, % |
| percentGamma | Num | Option Gamma, % |
| percentVega | Num | Option Vega per 1% implied volatility move, % |
| percentTheta | Num | 1-day option decay, % |
| percentVolga | Num | Option Volga per 1% implied volatility move, % |
| percentVanna | Num | Option Vanna per 1% implied volatility move, % |
Request Example
POST /api/v1/global/optionValuation/euBarrier
body
[
{
"instrumentId": "DERIBIT-BTC-USD-BARRIER-CALL-28JUN24-70000-75000-SVI",
"baseCurrency": "BTC",
"quoteCurrency": "USD",
"europeanBarrierOptionType": "CALL",
"source": "DERIBIT",
"expirationTimestamp": 1719502773,
"strike": 70000,
"barrierType": "UP_AND_OUT",
"barrier": 75000,
"volatilityModel": "SVI"
},
{
"instrumentId": "DERIBIT-ETH-USD-BARRIER-PUT-28JUN24-3500-4000-SVI",
"baseCurrency": "ETH",
"quoteCurrency": "USD",
"europeanBarrierOptionType": "PUT",
"source": "DERIBIT",
"expirationTimestamp": 1719502773,
"strike": 3500,
"barrierType": "UP_AND_OUT",
"barrier": 4000,
"volatilityModel": "SVI"
}
]
Response Example
[
{
"instrumentId": "DERIBIT-BTC-USD-BARRIER-CALL-28JUN24-70000-75000-SVI",
"observationTimestamp": 1716202415,
"impliedVolatility": 0.5811641911078598,
"spotPrice": 67161.37,
"forwardPrice": 67978.37725347222,
"percentPrice": 0.004666373880263312,
"percentDelta": 0.015489721330725195,
"percentGamma": -1.3525852309005692E-6,
"percentVega": -5.696954425035094E-5,
"percentTheta": 4.3407415925311295E-5,
"percentVolga": 1.2195183132957227E-6,
"percentVanna": -5.742390585929504E-4
},
{
"instrumentId": "DERIBIT-ETH-USD-BARRIER-PUT-28JUN24-3500-4000-SVI",
"observationTimestamp": 1716202414,
"impliedVolatility": 0.6403744383118731,
"spotPrice": 3106.35,
"forwardPrice": 3139.2653638516877,
"percentPrice": 0.15639405719865232,
"percentDelta": -0.6632996244279532,
"percentGamma": 5.612993887177411E-4,
"percentVega": 0.001180894668785087,
"percentTheta": -9.89846184669043E-4,
"percentVolga": 4.886154507875377E-6,
"percentVanna": 0.0035834998290214448
}
]