Volatility
Level 1 Quotes
Definition
Level 1 Quotes refer to the best bid and ask prices and sizes for a given financial instrument at a particular point in time. In the context of options, Level 1 Quotes provide the most competitive prices at which an option can be bought or sold. The Level 1 Quotes endpoint displays the first observation of these option prices for every timestamp. This endpoint returns the “Level 1” option chain with associated volatilities, Greeks, and underlying prices. This is the core underlying options data for many analytics.Details
Level 1 Quotes are essential for traders and investors to gauge the current market for an option. They represent the most basic and crucial information about an option’s pricing and liquidity. Data fields include:- Bid price: The highest price a buyer is willing to pay for the option
- Ask price: The lowest price a seller is willing to accept for the option
- Bid size: The number of contracts available at the bid price
- Ask size: The number of contracts available at the ask price
- Option prices: The current market prices for the option
- Implied volatilities: A measure of the market’s expectation of future volatility
- Exchange “marks”: The prices set by the exchange, often used as a reference
- 24h volume: The total number of contracts traded in the last 24 hours
- Open interest: The total number of outstanding contracts
- Associated Greeks: Delta, Gamma, Theta, Vega, and Rho, derived from the option “marks”
API Endpoints
/Level 1 QuotesAvailability
| 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
How do Level 1 quotes for crypto options differ from those for traditional equity options?- The core concept is the same, but crypto options markets may be more volatile and less liquid than traditional equity options markets. This can lead to wider bid-ask spreads and more frequent price updates in Level 1 quotes for crypto options.