Definition
The Implied vs Realized Volatility features provide a comparison between the implied volatility and realized volatility of a crypto asset’s underlying index price or spot value. This is a Binance and Deribit-only endpoint and is exclusive to the crypto derivatives exchanges. The endpoint calculates the close-to-close realized volatility using hourly data for both 7-day and 30-day realized volatility calculations. It then returns the at-the-money (ATM) implied volatility for select constant maturities: 7-DTE (days-to-expiration), 30-DTE, 60-DTE, 90-DTE, and 180-DTE.Details
- Realized Volatility Calculation:
- The endpoint uses the underlying index or spot price to calculate the close-to-close realized volatility on an hourly basis.
- Both 7-day and 30-day realized volatility metrics are provided.
- Realized volatility represents the actual historical volatility observed in the market.
- Implied Volatility Data:
- The endpoint returns the at-the-money (ATM) implied volatility for specific constant maturities.
- These constant maturities include 7-DTE, 30-DTE, 60-DTE, 90-DTE, and 180-DTE.
- Implied volatility is the market’s expectation of future volatility, as reflected in option prices.
API Endpoints
/Implied vs RealizedAvailability
Exchange | Start Date (YYYY-MM-DD) | Granularity |
---|---|---|
Binance | 2025-03-08 | Minutely |
Deribit | 2019-04-01 | Minutely |