Vanilla

HTTP Request

POST /api/v1/global/optionValuation/vanilla

Get current value and corresponding risks for given VANILLA options list

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 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
amount	Num	Yes	Instrument nominal
vanillaOptionType	String	No	Vanilla option types: CALL, PUT, FORWARD
source	String	Yes	Exchange type: DERIBIT, OKX, BYBIT
inverse	Boolean	No	FORWARD/PERPETUAL: false for linear instruments, true for inverse instruments CALL/PUT: inverse = true for DERIBIT: BTC/USD, ETH/USD and OKX: BTC/USD, ETH/USD inverse = false for DERIBIT: SOL/USDC, XRP/USDC BYBIT: BTC/USDC, ETH/USDC, SOL/USDCbr/>Not required for instrumentType SPOT
priceMethod	String	Yes	Calculation method: DERIBIT, OKX, BYBIT, OTC Each method represent instrument valuation model used by exchange. As of now 'OTC' equals to 'DERIBIT'
expirationTimestamp	Num	Yes	Instrument expiration timestamp (in seconds) Must be >= current timestamp
strike	Num	No	Required for option types: CALL, PUT. Optional for FORWARD - if given then percentPrice and percentDelta calculated based on strike
volatilityModel	String	Yes	Volatility model: SVI, SABR, VANNA_VOLGA The model is calibrated to the Exchange given by the Exchange type

Response Parameters

Parameter	Type	Description
instrumentId	Num	User defined unique instrument ID
observationTimestamp	Num	Instrument observation timestamp (in seconds)
impliedVolatility	Num	Implied volatility on strike of the option
spotPrice	Num	Current spot price
forwardPrice	Num	Current forward price
valueBase	Num	Option price in base currency
deltaBase	Num	Option Delta, in base currency
gammaBase	Num	Option Gamma, in base currency
vegaBase	Num	Option Vega per 1% implied volatility move, in base currency
thetaBase	Num	1-day option decay, in base currency
volgaBase	Num	Option Volga per 1% implied volatility move, in base currency
vannaBase	Num	Option Vanna per 1% implied volatility move, in base currency
deltaDecayBase	Num	1-day change in Delta, in base currency
timeValueBase	Num	Option time value, in base currency
intrinsicValueBase	Num	Instrument intrinsic value, in base currency
carryBase	Num	1-day carry, in base currency
rhoBase	Num	'valueBase' change per 1% change in basis rate
totalThetaBase	Num	1-day change in 'valueBase'

Request Example

POST /api/v1/global/optionValuation/vanilla
body
[
   {
        "instrumentId": "BTC-USD-VANILLA-PUT-25MAR25-70000-SVI",
        "amount": 15,
        "inverse": true,
        "baseCurrency": "BTC",
        "quoteCurrency": "USD",
        "vanillaOptionType": "PUT",
        "source": "DERIBIT",
        "priceMethod": "DERIBIT",
        "expirationTimestamp": 1742878800,
        "strike": 70000,
        "volatilityModel": "SVI"
  }
]

Response Example

[
    {
        "instrumentId": "BTC-USD-VANILLA-PUT-25MAR25-70000-SVI",
        "observationTimestamp": 1730470689,
        "impliedVolatility": 0.534099468221255,
        "spotPrice": 71305.5,
        "forwardPrice": 74550.48140109889,
        "valueBase": 1.5105311965467203,
        "deltaBase": -5.41659976632393,
        "gammaBase": 2.3515984435012509E-4,
        "vegaBase": 0.0352376792353484,
        "thetaBase": -0.006552508976932825,
        "volgaBase": 4.803921277958619E-6,
        "vannaBase": -0.002154287994278328,
        "deltaDecayBase": 4.1417931962939303E-4,
        "timeValueBase": 1.5105311965467203,
        "intrinsicValueBase": 0.0,
        "carryBase": 0.0016790327133229138,
        "rhoBase": -0.02701979043407271,
        "totalThetaBase": -0.004418301526428817
    }
]