Volatility
Delta Surface Constant and Floating
Definition
Delta Surfaces represent a three-dimensional visualization of the implied volatility surface across fixed delta points. The “Delta Surfaces” endpoints display the interpolated delta values for implied volatility (using the exchange “marks”). These surfaces are crucial for understanding how an option’s implied volatility changes with respect to different delta anchors. Amberdata offers two types of delta surface endpoints:- Constant Maturity Delta Surface: Displays the surface for fixed time horizons, regardless of actual option expiration dates.
- Floating Delta Surface: Displays the surface for actual expiration dates.
Details
For a given target delta value, such as ∆25, the inside and outside delta points closest to the target are identified. For example, if ∆28 and ∆22 are the nearest deltas around the target ∆25, the mark implied volatilities at these deltas are converted into variances, which are then linearly interpolated. The resulting interpolated variance is subsequently converted back into implied volatility. When targeting a constant maturity, the same interpolation process is applied across different maturities to achieve a specific “days-to-expiration” (DTE) value. In order to calculate a target delta or DTE, both an inside and outside point must be available. If an outside point does not exist, the target value is returned as null. For example, if the smallest delta available on an options chain is ∆7, and there is no delta less than ∆5 to serve as the outside point, the target ∆5 value cannot be calculated and thus returns null.API Endpoints
/Delta Surfaces Constant /Delta Surfaces FloatingAvailability
| Exchange | Start Date (YYYY-MM-DD) | Granularity |
|---|---|---|
| Binance | 2025-03-07 | Minutely |
| Deribit | 2019-04-01 to 2021-09-01 | Hourly |
| Deribit | 2021-09-01 | Minutely |
| Bybit, Lyra, Thalex | 2024-06-01 | Minutely |
| OKEx (OKX) | 2021-12-16 to 2024-05-01 | Daily |
| OKEx (OKX) | 2024-05-01 | Minutely |
Frequently Asked Questions
What’s the difference between floating and constant maturity delta surfaces?- Floating delta surfaces use actual option expiration dates, while constant maturity surfaces use fixed time horizons (e.g., 30, 60, 90 days). Constant maturity surfaces allow for easier comparison across different time periods.
- Delta surfaces can be used to identify relative value opportunities, manage portfolio risk, design option strategies with specific delta exposures, and improve pricing models. They provide a comprehensive view of how options with different strikes and expirations are being valued by the mark.