Advanced Risk Scenarios
HTTP Request
POST /api/v1/global/scenarios/advancedRiskScenarios
Returns Advanced Risk scenarios including instruments values and P&Ls for a list of vanilla options, forwards and perps
Advanced Risk Scenarios mimics DERIBIT approach for margin calculation - it takes into account higher vol of vol for short-end options.
Forward prices are shifted up and down as defined by user and volatility moves are defined by the following formulas:
volUp = MAX((volAtStrike * (1 + volRangeUp * (30 / daysToExpiry) ^ vegaPower), minVolForShockUp)
volDown = MAX((volAtStrike * (1 + volRangeUp * (30 / daysToExpiry) ^ vegaPower), 0)
vegaPower = if (daysToExpiry < 30) => shortVegaPower. if (daysToExpiry > 30) => longVegaPower
We recommend to use the same baseCurrency/quoteCurrency and single source in request instruments array per each request
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
DERIBIT uses the following parameters for BTC-USD options margin calculation:
priceRangeSteps = 4
priceRange = 0.16
volRangeUp = 0.5
volRangeDown = 0.25
minVolForShockUp = 0.5
shortTermVegaPower = 0.3
longTermVegaPower = 0.13
The request body model must contain array of riskScenarioInstruments ranging in size from 1 to 100 and also riskScenarioParameters model
Request RiskScenarioInstrument JSON model parameters
| Parameter | Type | Required | Description |
|---|---|---|---|
| instrumentId | String | Yes | User defined unique instrument ID |
| size | Num | Yes | Position size (positive for LONG, negative for SHORT) |
| 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 |
| instrumentType | String | Yes | Instrument type:CALL,PUT,FORWARD,PERPETUAL,SPOT |
| inverse | Boolean | No | FORWARD/PERPETUAL:false for linear instruments, true for inverse instrumentsCALL/PUT:inverse = true forDERIBIT: BTC/USD, ETH/USD and OKX: BTC/USD, ETH/USDinverse = false forDERIBIT: SOL/USDC, XRP/USDCBYBIT: BTC/USDC, ETH/USDC, SOL/USDCbr/>Not required for instrumentType SPOT |
| volatilityModel | String | No | instrumentType: CALL/PUT SVI, SABR, VANNA_VOLGAVolatility model is calibrated to the Exchange given by the sourceNot required for instrumentType FORWARD/PERPETUAL/SPOT |
| expirationTimestamp | Num | No | instrumentType: CALL/PUT Instrument expiration timestamp (in seconds) Must be >= current timestampNot required for instrumentType SPOT |
| strike | Num | No | instrumentType: CALL/PUT Required. Option strike, must be > 0instrumentType: FORWARD/PERPETUALNot required, but if given, equals to forward strike price. instrumentType: SPOTNot required. |
Request RiskScenarioParameters JSON model parameters
| Parameter | Type | Description |
|---|---|---|
| priceRangeSteps | Num | Number of steps for the priceRangeExample: priceRange = 0.2, priceRangeSteps = 4 The scenarios output will generate 9 different price shifts (scenario) from -4 to 4 [-4, -3, -2, -1, 0, 1, 2, 3, 4]which corresponds to the following percentage forwardPrice shift [-0.2, -0.15, -0.1, -0.05, 0, 0.05, 0.1, 0.15, 0.2] |
| priceRange | Num | Max percent forwardPrice shift |
| volRangeUp | Num | See formula above |
| volRangeDown | Num | See formula above |
| minVolForShockUp | Num | See formula above |
| shortTermVegaPower | Num | See formula above |
| longTermVegaPower | Num | See formula above |
Response RiskScenarioInstrument JSON model parameters
| Parameter | Type | Description |
|---|---|---|
| instrumentId | String | User defined instrumentId |
| size | Num | User defined size |
| baseCurrency | String | User defined baseCurrency |
| quoteCurrency | String | User defined quoteCurrency |
| source | String | User defined source |
| instrumentType | String | User defined instrumentType |
| inverse | Boolean | User defined inverseNull for instrumentType SPOT |
| volatilityModel | String | User defined volatilityModelNull for instrumentType FORWARD/PERPETUAL/SPOT |
| expirationTimestamp | Num | Instrument expiration timestamp (in seconds) Null for instrumentType SPOT |
| observationTimestamp | Num | Instrument observation timestamp (in seconds) |
| strike | Num | Instrument strike Null for instrumentType SPOT |
| spotPrice | Num | Current spot price |
| forwardPrice | Num | Current forward price (or perpetual price for instrumentType = PERPETUAL)Null for instrumentType SPOT |
| instrumentPrice | Num | Current instrument price Null for instrumentType SPOT |
| volatility | Num | Current instrument implied volatility at strike Null for instrumentType FORWARD/PERPETUAL/SPOT |
| volUp | Num | Up shifted implied volatility. See formula above |
| volDown | Num | Down shifted implied volatility. See formula above |
Response RiskScenarioItem JSON model parameters
| Parameter | Type | Description |
|---|---|---|
| scenario | Num | Scenario number |
| spotPrice | Num | Scenario spot price |
| forwardPrice | Num | Scenario forward price |
| priceVolUp | Num | Instrument percent price, up shifted volatility |
| priceVolUnch | Num | Instrument percent price, current market volatility |
| priceVolDown | Num | Instrument percent price, down shifted volatility |
| basePlVolUp | Num | baseCurrency P&L, up shifted volatility |
| basePlVolUnch | Num | baseCurrency P&L, current market volatility |
| basePlVolDown | Num | baseCurrency P&L, down shifted volatility |
| quotePlVolUp | Num | quoteCurrency P&L, up shifted volatility |
| quotePlVolUnch | Num | quoteCurrency P&L, current market volatility |
| quotePlVolDown | Num | quoteCurrency P&L, down shifted volatility |
| baseValueVolUp | Num | base currency instrument value, up shifted volatility |
| baseValueVolUnch | Num | base currency instrument value, current market volatility |
| baseValueVolDown | Num | base currency instrument value, down shifted volatility |
| baseDeltaUp | Num | base currency delta, up shifted volatility |
| baseDeltaUnch | Num | base currency delta, current market volatility |
| baseDeltaDown | Num | base currency delta, down shifted volatility |
| baseGammaUp | Num | base currency gamma, up shifted volatility |
| baseGammaUnch | Num | base currency gamma, current market volatility |
| baseGammaDown | Num | base currency gamma, down shifted volatility |
| baseNetDeltaUp | Num | base currency net delta, up shifted volatility |
| baseNetDeltaUnch | Num | base currency net delta, current market volatility |
| baseNetDeltaDown | Num | base currency net delta, down shifted volatility |
| baseThetaUp | Num | base currency theta, up shifted volatility |
| baseThetaUnch | Num | base currency theta, current market volatility |
| baseThetaDown | Num | base currency theta, down shifted volatility |
| baseVegaUp | Num | base currency vega, up shifted volatility |
| baseVegaUnch | Num | base currency vega, current market volatility |
| baseVegaDown | Num | base currency vega, down shifted volatility |
| baseVolgaUp | Num | base currency volga, up shifted volatility |
| baseVolgaUnch | Num | base currency volga, current market volatility |
| baseVolgaDown | Num | base currency volga, down shifted volatility |
| baseVannaUp | Num | base currency vanna, up shifted volatility |
| baseVannaUnch | Num | base currency vanna, current market volatility |
| baseVannaDown | Num | base currency vanna, down shifted volatility |
Request Example
POST /api/v1/global/advancedRiskScenarios
body
{
"riskScenarioInstruments": [
{
"instrumentId": "BTC-28MAR25-100000-C",
"size": -10.0,
"baseCurrency": "BTC",
"quoteCurrency": "USD",
"source": "DERIBIT",
"instrumentType": "CALL",
"inverse": "true",
"volatilityModel": "SVI",
"expirationTimestamp": 1743148800,
"strike": 100000
}
],
"riskScenarioParameters": {
"priceRangeSteps": 4,
"priceRange": 0.16,
"volRangeUp": 0.5,
"volRangeDown": 0.25,
"minVolForShockUp": 0.5,
"shortTermVegaPower": 0.3,
"longTermVegaPower": 0.13
}
}
Response Example
{
"riskScenarioInstrumentResults": [
{
"instrumentId": "BTC-28MAR25-100000-C",
"size": -10.0,
"baseCurrency": "BTC",
"quoteCurrency": "USD",
"source": "DERIBIT",
"instrumentType": "CALL",
"inverse": true,
"volatilityModel": "SVI",
"expirationTimestamp": 1743148800,
"observationTimestamp": 1725296113,
"strike": 100000.0,
"spotPrice": 58307.13,
"forwardPrice": 61182.75,
"instrumentPrice": 0.055277474881132035,
"volatility": 0.6702114120244624,
"volUp": 0.9309665686482242,
"volDown": 0.5398338337125815,
"riskScenarioItems": [
{
"scenario": -4,
"spotPrice": 48977.989199999996,
"forwardPrice": 51393.509999999995,
"priceVolUp": 0.08605429495822392,
"priceVolUnch": 0.030013833801738776,
"priceVolDown": 0.011825799081544618,
"basePlVolUp": -0.3077682007709188,
"basePlVolUnch": 0.2526364107939326,
"basePlVolDown": 0.4345167579958742,
"quotePlVolUp": -15073.867613461493,
"quotePlVolUnch": 12373.623399391994,
"quotePlVolDown": 21281.75708034094,
"baseValueVolUp": -0.8605429495822392,
"baseValueVolUnch": -0.30013833801738776,
"baseValueVolDown": -0.11825799081544618,
"baseDeltaUp": -2.7422367554940505,
"baseDeltaUnch": -1.427786427285371,
"baseDeltaDown": -0.7553280134401537,
"baseGammaUp": -9.255997272591333E-5,
"baseGammaUnch": -8.703538768970985E-5,
"baseGammaDown": -6.817939757071394E-5,
"baseNetDeltaUp": -1.8816938059118116,
"baseNetDeltaUnch": -1.1276480892679832,
"baseNetDeltaDown": -0.6370700226247075,
"baseThetaUp": 0.005647767481877852,
"baseThetaUnch": 0.0027523580161638765,
"baseThetaDown": 0.0013988101638628407,
"baseVegaUp": -0.025070475262316264,
"baseVegaUnch": -0.016971215576371837,
"baseVegaDown": -0.010708250523351254,
"baseVolgaUp": -2.1016945988169638E-4,
"baseVolgaUnch": -4.251508294718956E-4,
"baseVolgaDown": -5.245939315491508E-4,
"baseVannaUp": -0.0465485364372657,
"baseVannaUnch": -0.052912268552205884,
"baseVannaDown": -0.048560982835087585
},
{
"scenario": -3,
"spotPrice": 51310.274399999995,
"forwardPrice": 53840.82,
"priceVolUp": 0.09512095573541779,
"priceVolUnch": 0.035631759704263286,
"priceVolDown": 0.015115853552403944,
"basePlVolUp": -0.3984348085428575,
"basePlVolUnch": 0.1964571517686875,
"basePlVolDown": 0.4016162132872809,
"quotePlVolUp": -20443.79935684548,
"quotePlVolUnch": 10080.2703650938,
"quotePlVolDown": 20607.038107259308,
"baseValueVolUp": -0.9512095573541779,
"baseValueVolUnch": -0.3563175970426329,
"baseValueVolDown": -0.15115853552403943,
"baseDeltaUp": -2.96783332555925,
"baseDeltaUnch": -1.646150441179236,
"baseDeltaDown": -0.9320992939294053,
"baseGammaUp": -9.174247136485808E-5,
"baseGammaUnch": -9.129152570527001E-5,
"baseGammaDown": -7.621114356927999E-5,
"baseNetDeltaUp": -2.016623768205072,
"baseNetDeltaUnch": -1.289832844136603,
"baseNetDeltaDown": -0.7809407584053658,
"baseThetaUp": 0.005864451671756312,
"baseThetaUnch": 0.0030244256161355942,
"baseThetaDown": 0.0016380512452652683,
"baseVegaUp": -0.02603233773974898,
"baseVegaUnch": -0.01864880180002073,
"baseVegaDown": -0.012539702353855585,
"baseVolgaUp": -1.8416948182728898E-4,
"baseVolgaUnch": -4.017742740404143E-4,
"baseVolgaDown": -5.301603781983424E-4,
"baseVannaUp": -0.04586619086453015,
"baseVannaUnch": -0.05473089409128591,
"baseVannaDown": -0.05333047648350537
},
{
"scenario": -2,
"spotPrice": 53642.5596,
"forwardPrice": 56288.130000000005,
"priceVolUp": 0.10437512210759878,
"priceVolUnch": 0.04173189669635165,
"priceVolDown": 0.01893025618399183,
"basePlVolUp": -0.49097647226466745,
"basePlVolUnch": 0.13545578184780388,
"basePlVolDown": 0.36347218697140204,
"quotePlVolUp": -26337.23467565517,
"quotePlVolUnch": 7266.194850935418,
"quotePlVolDown": 19497.57845255578,
"baseValueVolUp": -1.0437512210759878,
"baseValueVolUnch": -0.41731896696351645,
"baseValueVolDown": -0.1893025618399183,
"baseDeltaUp": -3.1910120717407513,
"baseDeltaUnch": -1.8740093556406832,
"baseDeltaDown": -1.127938139301112,
"baseGammaUp": -9.059395622010183E-5,
"baseGammaUnch": -9.479598715382457E-5,
"baseGammaDown": -8.37357265899654E-5,
"baseNetDeltaUp": -2.1472608506647637,
"baseNetDeltaUnch": -1.4566903886771665,
"baseNetDeltaDown": -0.9386355774611939,
"baseThetaUp": 0.006054264038507723,
"baseThetaUnch": 0.00328327720240649,
"baseThetaDown": 0.0018815898175474869,
"baseVegaUp": -0.02687491602584031,
"baseVegaUnch": -0.020244897237856246,
"baseVegaDown": -0.014404052579118172,
"baseVolgaUp": -1.5890721914453153E-4,
"baseVolgaUnch": -3.731214452471199E-4,
"baseVolgaDown": -5.231528141100241E-4,
"baseVannaUp": -0.044915880649118195,
"baseVannaUnch": -0.055876120874094215,
"baseVannaDown": -0.05737831261345913
},
{
"scenario": -1,
"spotPrice": 55974.8448,
"forwardPrice": 58735.439999999995,
"priceVolUp": 0.11378168295520187,
"priceVolUnch": 0.04828973156822784,
"priceVolDown": 0.02328008202688211,
"basePlVolUp": -0.5850420807406984,
"basePlVolUnch": 0.06987743312904193,
"basePlVolDown": 0.3199739285424992,
"quotePlVolUp": -32747.63967092966,
"quotePlVolUnch": 3911.3784744205004,
"quotePlVolDown": 17910.490990212682,
"baseValueVolUp": -1.1378168295520188,
"baseValueVolUnch": -0.48289731568227845,
"baseValueVolDown": -0.23280082026882112,
"baseDeltaUp": -3.4110329763816805,
"baseDeltaUnch": -2.109539216570796,
"baseDeltaDown": -1.3414242475772042,
"baseGammaUp": -8.917065693072929E-5,
"baseGammaUnch": -9.756425814543998E-5,
"baseGammaDown": -9.061251570018672E-5,
"baseNetDeltaUp": -2.273216146829662,
"baseNetDeltaUnch": -1.6266419008885173,
"baseNetDeltaDown": -1.108623427308383,
"baseThetaUp": 0.006218240337674793,
"baseThetaUnch": 0.003526076660154794,
"baseThetaDown": 0.0021246419626673183,
"baseVegaUp": -0.027602807845938285,
"baseVegaUnch": -0.02174201422448133,
"baseVegaDown": -0.016264679079710485,
"baseVolgaUp": -1.3474515244734625E-4,
"baseVolgaUnch": -3.406187512504E-4,
"baseVolgaDown": -5.047023664001974E-4,
"baseVannaUp": -0.0437380618992996,
"baseVannaUnch": -0.056369222587386025,
"baseVannaDown": -0.06059418005700489
},
{
"scenario": 0,
"spotPrice": 58307.13,
"forwardPrice": 61182.75,
"priceVolUp": 0.12330844776063818,
"priceVolUnch": 0.055277474881132035,
"priceVolDown": 0.028168326976571016,
"basePlVolUp": -0.6803097287950615,
"basePlVolUnch": -0.0,
"basePlVolDown": 0.2710914790456102,
"quotePlVolUp": -39666.90779711839,
"quotePlVolUnch": -0.0,
"quotePlVolDown": 15806.56611060467,
"baseValueVolUp": -1.2330844776063818,
"baseValueVolUnch": -0.5527747488113204,
"baseValueVolDown": -0.2816832697657102,
"baseDeltaUp": -3.627285682425978,
"baseDeltaUnch": -2.3509726438991327,
"baseDeltaDown": -1.5708355727368961,
"baseGammaUp": -8.75223649958947E-5,
"baseGammaUnch": -9.962640798476239E-5,
"baseGammaDown": -9.673549651993869E-5,
"baseNetDeltaUp": -2.394201204819596,
"baseNetDeltaUnch": -1.7981978950878124,
"baseNetDeltaDown": -1.289152302971186,
"baseThetaUp": 0.006357602181017775,
"baseThetaUnch": 0.0037506301680860117,
"baseThetaDown": 0.002362719680581064,
"baseVegaUp": -0.028221435942305903,
"baseVegaUnch": -0.02312662551747103,
"baseVegaDown": -0.018087225064369286,
"baseVolgaUp": -1.1195235769168586E-4,
"baseVolgaUnch": -3.056171452514479E-4,
"baseVolgaDown": -4.7640781284272865E-4,
"baseVannaUp": -0.04237025528579681,
"baseVannaUnch": -0.05624635576160669,
"baseVannaDown": -0.06290851192708737
},
{
"scenario": 1,
"spotPrice": 60639.415199999996,
"forwardPrice": 63630.060000000005,
"priceVolUp": 0.13292605585895456,
"priceVolUnch": 0.06266496876865303,
"priceVolDown": 0.03359046004535658,
"basePlVolUp": -0.7764858097782252,
"basePlVolUnch": -0.07387493887520996,
"basePlVolDown": 0.21687014835775453,
"quotePlVolUp": -47085.645416050014,
"quotePlVolUnch": -4479.733091328478,
"quotePlVolDown": 13150.878970751475,
"baseValueVolUp": -1.3292605585895456,
"baseValueVolUnch": -0.6266496876865303,
"baseValueVolDown": -0.33590460045356585,
"baseDeltaUp": -3.839274238752208,
"baseDeltaUnch": -2.5966296137623908,
"baseDeltaDown": -1.8142321644236081,
"baseGammaUp": -8.569284672888366E-5,
"baseGammaUnch": -1.0102318106037573E-4,
"baseGammaDown": -1.0203225441775905E-4,
"baseNetDeltaUp": -2.510013680162662,
"baseNetDeltaUnch": -1.9699799260758604,
"baseNetDeltaDown": -1.4783275639700422,
"baseThetaUp": 0.006473694700299702,
"baseThetaUnch": 0.003955342987411261,
"baseThetaDown": 0.002591774159528841,
"baseVegaUp": -0.02873677136327295,
"baseVegaUnch": -0.024388897855449027,
"baseVegaDown": -0.019840695840771926,
"baseVolgaUp": -9.071868743488034E-5,
"baseVolgaUnch": -2.693479954008737E-4,
"baseVolgaDown": -4.4016317011443136E-4,
"baseVannaUp": -0.04084680972383349,
"baseVannaUnch": -0.05555460824683872,
"baseVannaDown": -0.06429031005248304
},
{
"scenario": 2,
"spotPrice": 62971.7004,
"forwardPrice": 66077.37000000001,
"priceVolUp": 0.14260785169937526,
"priceVolUnch": 0.07042049095033132,
"priceVolDown": 0.03953515531389513,
"basePlVolUp": -0.8733037681824323,
"basePlVolUnch": -0.1514301606919928,
"basePlVolDown": 0.15742319567236907,
"quotePlVolUp": -54993.42324817518,
"quotePlVolUnch": -9535.814710620029,
"quotePlVolDown": 9913.206313891002,
"baseValueVolUp": -1.4260785169937527,
"baseValueVolUnch": -0.7042049095033132,
"baseValueVolDown": -0.39535155313895126,
"baseDeltaUp": -4.046602951375469,
"baseDeltaUnch": -2.844939353805056,
"baseDeltaDown": -2.0695354729448905,
"baseGammaUp": -8.372032495853953E-5,
"baseGammaUnch": -1.0180264099687988E-4,
"baseGammaDown": -1.0646139669429286E-4,
"baseNetDeltaUp": -2.620524434381716,
"baseNetDeltaUnch": -2.140734444301743,
"baseNetDeltaDown": -1.6741839198059394,
"baseThetaUp": 0.006567936803616374,
"baseThetaUnch": 0.004139163394286953,
"baseThetaDown": 0.0028082919087627795,
"baseVegaUp": -0.029155112650772922,
"baseVegaUnch": -0.02552234624192449,
"baseVegaDown": -0.021498194736223546,
"baseVolgaUp": -7.116784324446624E-5,
"baseVolgaUnch": -2.3289608615004442E-4,
"baseVolgaDown": -3.980007843190225E-4,
"baseVannaUp": -0.03919882764763466,
"baseVannaUnch": -0.05434848798137094,
"baseVannaDown": -0.06474312364420719
},
{
"scenario": 3,
"spotPrice": 65303.9856,
"forwardPrice": 68524.68000000001,
"priceVolUp": 0.15232973871655303,
"priceVolUnch": 0.0785114518559447,
"priceVolDown": 0.045985137129074566,
"basePlVolUp": -0.9705226383542099,
"basePlVolUnch": -0.23233976974812665,
"basePlVolDown": 0.0929233775205747,
"quotePlVolUp": -63378.996399557334,
"quotePlVolUnch": -15172.712977938978,
"quotePlVolDown": 6068.266907506973,
"baseValueVolUp": -1.5232973871655302,
"baseValueVolUnch": -0.785114518559447,
"baseValueVolDown": -0.45985137129074566,
"baseDeltaUp": -4.2489634526750795,
"baseDeltaUnch": -3.0944547180797244,
"baseDeltaDown": -2.334600020097137,
"baseGammaUp": -8.163798711654002E-5,
"baseGammaUnch": -1.0201737057001023E-4,
"baseGammaDown": -1.1000898275260852E-4,
"baseNetDeltaUp": -2.725666065509549,
"baseNetDeltaUnch": -2.3093401995202774,
"baseNetDeltaDown": -1.8747486488063911,
"baseThetaUp": 0.006641781976147519,
"baseThetaUnch": 0.004301519724787009,
"baseThetaDown": 0.003009348643402305,
"baseVegaUp": -0.029482911834631673,
"baseVegaUnch": -0.02652344576056395,
"baseVegaDown": -0.023037335600042792,
"baseVolgaUp": -5.3369116267971525E-5,
"baseVolgaUnch": -1.9718637462468616E-4,
"baseVolgaDown": -3.519584277893034E-4,
"baseVannaUp": -0.037454204254354605,
"baseVannaUnch": -0.05268691274417754,
"baseVannaDown": -0.06429990123196525
},
{
"scenario": 4,
"spotPrice": 67636.2708,
"forwardPrice": 70971.98999999999,
"priceVolUp": 0.16207002116923647,
"priceVolUnch": 0.0869049872105769,
"priceVolDown": 0.05291808211639485,
"basePlVolUp": -1.0679254628810444,
"basePlVolUnch": -0.31627512329444873,
"basePlVolDown": 0.02359392764737185,
"quotePlVolUp": -72230.49580163766,
"quotePlVolUnch": -21391.66988644672,
"quotePlVolDown": 1595.8052795932495,
"baseValueVolUp": -1.6207002116923648,
"baseValueVolUnch": -0.8690498721057691,
"baseValueVolDown": -0.5291808211639485,
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]
}