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Definition

The “Term Structure Richness” endpoint is the relative level of the Contango or Backwardation shape. The metric represents the difference between the implied volatility of two options with the same delta, but different expiration dates. It also provides insight into the relative expensiveness or cheapness of options at different maturities within the volatility term structure.

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Details

The term structure richness calculation is as follows: Term Structure Richness = Average ATM IV Ratio of [7dte/30dte, 7dte/60dte, 7dte/90dte, 7dte/180dte, 30dte/60dte, 30dte/90dte, 30dte/180dte, 60dte/90dte, 60dte/180dte, 90dte/180dte] The term structure richness metric can be interpreted as:
  1. Les than 1.00 Value: “Contango” The longer-dated option is relatively more expensive (or “richer”) compared to the shorter-dated option.
  2. More than 1.00 Value: “Backwardation” The shorter-dated option is relatively more expensive (or “richer”) compared to the longer-dated option.
  3. 1.00 Value: The term structure is flat.
For example, a reading of 1.00 would be a perfectly flat term structure - as measured by our method - while readings below/above represent Contango/Backwardation respectively. Using the term structure levels enables us to quantify how extended the term structure pricing currently is at any point in time. The calculation uses a weighted average of the 7-dte, 30-dte, 60-dte, 90-dte, and 180-dte at-the-money volatilities.

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API Endpoints

/Term Structure Richness

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Availability

ExchangeStart Date (YYYY-MM-DD)Granularity
Deribit2019-04-01Hourly, Daily