Definition

Delta Surfaces provide a three-dimensional visualization of delta values for ETFs and crypto-related equities options, mapped across various strike prices and expiration dates. These surfaces highlight how an option’s delta—its sensitivity to changes in the price of the underlying ETF or equity—varies with respect to the asset’s price and time to expiration. The data is calculated using interpolated implied volatility derived from exchange reference prices ("marks"), offering valuable insights into delta dynamics.

Two types of delta surfaces are available:

• Constant Maturity Delta Surface: Displays delta values for fixed time horizons, allowing standardized analysis regardless of actual expiration dates.
• Floating Delta Surface: Represents delta values corresponding to the actual expiration dates of the options.

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Details

For a target delta value, such as ∆25, the process involves identifying the nearest inside and outside deltas around the target. For instance, if ∆28 and ∆22 are the closest values, the mark implied volatility is converted into variance, linearly interpolated, and then reconverted into volatility to achieve the desired target value.

• Constant Maturity Analysis: This approach performs the same calculations across maturities to align with a specified constant "days-to-expiration" (DTE) value, ensuring consistency in time horizon comparisons.
• Target Delta or DTE Requirements: To calculate a target delta or DTE value, both an inside and an outside data point must be available. If no outside point exists, the target value is returned as null.

For example, if the smallest delta value in a given options chain is ∆7 and no value smaller than ∆5 exists, the target ∆5 value cannot be calculated and is therefore returned as null.

API Endpoints

/markets/derivatives/analytics/volatility/delta-surfaces/constant/tradfi

/markets/derivatives/analytics/volatility/delta-surfaces/floating/tradfi

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Availability

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Frequently Asked Questions