Delta Surface Constant and Floating
Definition
Delta Surfaces represent a three-dimensional visualization of option delta values across different strike prices and expiration dates. 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 delta changes with respect to the underlying asset's price and time to expiration.
Amberdata offers two types of delta surface endpoints:
- Constant Maturity Delta Surface: Displays delta values for fixed time horizons, regardless of actual option expiration dates.
- Floating Delta Surface: Shows delta values for actual option expiration dates.
Details
For a target delta value, say ∆25, we identify the inside and outside deltas around the target. For example, ∆28 and ∆22 are identified, then the mark implied volatility is converted into variance, linearly interpolated, and then reconverted into volatility.
For constant maturity the same analysis is performed across maturities to target a constant “days-to-expiration” (DTE) value.
To provide a target delta or DTE value, both an inside and outside point must be present. If no outside point is present, then the target value is returned as null.
For example, if the smallest delta value on a given options chain is ∆7, there isn’t an outside point (less than ∆5) available to calculate the target ∆5 value. Therefore the value is returned as null.
Availability
| Exchange | Start Date (YYYY-MM-DD) | Granularity |
|---|---|---|
| Deribit | 2019-04-01 to 2021-09-01 | 1 hr |
| Deribit | 2021-09-01 | 1 min |
| Other (Lyra, Thalex , Bybit) | 2024-06-01 | 1 min |
| Okex | 2021-12-16 to 2024-05-01 | Daily |
| Okex | 2024-05-01 | 1 min |
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.
How can I use delta surfaces in my trading or risk management strategy?
- 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
Updated 4 months ago