Implied vs Realized

Definition

The "Implied vs Realized Volatility" endpoint provides a comparison between the implied volatility and realized volatility of ETFs or crypto-related equities, focusing on the underlying index price or spot value. This analysis is vital for understanding the divergence between market expectations (implied volatility) and historical price movements (realized volatility).
The endpoint calculates close-to-close realized volatility using intraday data, typically for 7-day and 30-day periods. It also returns at-the-money (ATM) implied volatility for select constant maturities, such as 7, 30, 60, 90, and 180 days to expiration (DTE), offering insights across various time horizons.


Details

Realized Volatility Calculation:

  • The endpoint calculates close-to-close realized volatility using the underlying index or spot price for ETFs and crypto-related equities.
  • Metrics for 7-day and 30-day realized volatility are provided, capturing short-term historical price fluctuations.
  • Realized volatility represents the actual historical volatility observed in the market, offering insights into past price behavior.

Implied Volatility Data:

  • The endpoint returns at-the-money (ATM) implied volatility for specified constant maturities, providing a forward-looking perspective on expected market movement.
  • Constant maturities include 7, 30, 60, 90, and 180 days to expiration (DTE).
  • Implied volatility reflects the market's expectations for future price fluctuations, derived from option prices.

API Endpoints

/markets/derivatives/analytics/realized-volatility/implied-vs-realized/tradfi


Availability

Start DateGranularity
BITX, BITO, COIN, EETH, ETHU, MARA, MSTR, MSTU, SATO, IBIT2024-11-1130 m
BITX, BITO, COIN, EETH, ETHU, MARA, MSTR, MSTU, SATO, IBIT2021-01-015 m

Frequently Asked Questions