Definition

Moneyness Surfaces provide a structured view of implied volatility relative to an option's moneyness, rather than its absolute strike price. This approach normalizes volatility analysis, making it easier to compare different expirations and market conditions.

Amberdata offers two types of moneyness surface endpoints:

• Constant Moneyness Surface: Displays implied volatility across fixed moneyness levels for constant days-to-expiration horizons, allowing for consistent historical analysis.
• Floating Moneyness Surface: Displays implied volatility across fixed moneyness levels for exchange listed expiration horizons, allowing for consistent historical analysis.

These surfaces help traders and analysts better understand volatility skews, risk exposure, and market dynamics in a standardized format.

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Details

Moneyness measures the relative position of an option’s strike price compared to the price of its underlying asset. In this case, the lognormal moneyness is computed using the corresponding futures price and a reference point. This normalization allows for a structured representation of the implied volatility surface across different expirations.

• Constant Moneyness Surface: Displays implied volatility across fixed moneyness levels for constant days-to-expiration horizons, allowing for consistent historical analysis.
• Floating Moneyness Surface: Displays implied volatility across fixed moneyness levels for exchange listed expiration horizons, allowing for consistent historical analysis.

By leveraging SVI calibration, the dataset ensures smooth and arbitrage-free volatility surfaces, which traders and quants can use for modeling risk, pricing options, and conducting quantitative research.

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Availability

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Frequently Asked Questions

How is lognormal moneyness calculated in this dataset?

• Lognormal moneyness is determined using the natural logarithm of the moneyness price divided by the futures price at a given reference point. This standardization helps normalize volatility structures across different expirations and market conditions.

Why is this dataset only available for BTC and ETH on Deribit?

• Currently, Deribit is the primary exchange offering deep liquidity and a robust options market for BTC and ETH. The SVI calibration process relies on high-quality data, which is best suited to markets with significant trading activity and available derivatives.