Definition

The "Implied (VS) Realized Volatility" endpoint provides a comparison between the implied volatility and realized volatility of a crypto asset's underlying index price or spot value. This is a Deribit-only endpoint and is exclusive to the Deribit crypto derivatives exchange.

The endpoint calculates the close-to-close realized volatility using hourly data for both 7-day and 30-day realized volatility calculations. It then returns the at-the-money (ATM) implied volatility for select constant maturities: 7-DTE (days-to-expiration), 30-DTE, 60-DTE, 90-DTE, and 180-DTE.

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Details

1. Realized Volatility Calculation:

   • The endpoint uses the underlying index or spot price to calculate the close-to-close realized volatility on an hourly basis.
   • Both 7-day and 30-day realized volatility metrics are provided.
   • Realized volatility represents the actual historical volatility observed in the market.

2. Implied Volatility Data:

   • The endpoint returns the at-the-money (ATM) implied volatility for specific constant maturities.
   • These constant maturities include 7-DTE, 30-DTE, 60-DTE, 90-DTE, and 180-DTE.
   • Implied volatility is the market's expectation of future volatility, as reflected in option prices.

The user can then compare the realized volatility and implied volatility of the market to determine the relative value of options.

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Availability

/Implied vs Realized

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