Volatility
Volatility Metrics
Definition
The “Volatility Metrics” endpoint provides users with a quick 24-hour snapshot of the key changes in the options volatility surface between two given timestamps. This allows for a quick assessment of the important shifts in the options market landscape.Details
Volatility Metrics returns several important metrics that capture the changes in the options volatility surface, including: Underlying Price Change:- The change in the price of the underlying asset (e.g., BTC, ETH) between the two timestamps.
- The change in the implied volatility of the at-the-money options.
- The change in the volatility difference between out-of-the-money (OTM) call options and OTM put options with the same delta.
- The change in the implied volatility of an options strategy that involves a long position in the ATM option, a short position in two OTM options (one call, one put) with the same delta, and a long position in two OTM options (one call, one put) with a higher delta.
API Endpoints
/Volatility MetricsAvailability
| 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 |