Definition

The "Volatility Metrics" endpoint provides a 24-hour snapshot of key changes in the options volatility surface for ETFs and crypto-related equities between two specified timestamps. This data enables traders and analysts to quickly assess significant shifts in the options market landscape, such as changes in implied volatility levels or structural movements in the volatility surface, facilitating timely decision-making and strategy adjustments.

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Details

The "Volatility Metrics" endpoint provides key data points capturing changes in the options volatility surface for ETFs and crypto-related equities, including:

• Underlying Price Change:
  The difference in the price of the underlying ETF or equity between the two specified timestamps.
• At-the-Money (ATM) Volatility Change:
  The change in the implied volatility of at-the-money options, reflecting shifts in market expectations for future price movements.
• Risk-Reversal Change:
  The change in the volatility difference between out-of-the-money (OTM) call options and OTM put options with the same delta, offering insights into market sentiment and skew.
• Butterfly Value Change:
  The change in the implied volatility of a butterfly strategy involving a long ATM option, short two OTM options with the same delta, and long two OTM options with a higher delta, capturing shifts in volatility smile dynamics.

API Endpoints

/markets/derivatives/analytics/volatility/metrics/tradfi

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Availability

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Frequently Asked Questions