Volatility Index VRP (variance risk premium)
curl --request GET \
--url https://api.amberdata.com/markets/derivatives/analytics/volatility/variance-premium \
--header 'x-api-key: <api-key>'import requests
url = "https://api.amberdata.com/markets/derivatives/analytics/volatility/variance-premium"
headers = {"x-api-key": "<api-key>"}
response = requests.get(url, headers=headers)
print(response.text)const options = {method: 'GET', headers: {'x-api-key': '<api-key>'}};
fetch('https://api.amberdata.com/markets/derivatives/analytics/volatility/variance-premium', options)
.then(res => res.json())
.then(res => console.log(res))
.catch(err => console.error(err));<?php
$curl = curl_init();
curl_setopt_array($curl, [
CURLOPT_URL => "https://api.amberdata.com/markets/derivatives/analytics/volatility/variance-premium",
CURLOPT_RETURNTRANSFER => true,
CURLOPT_ENCODING => "",
CURLOPT_MAXREDIRS => 10,
CURLOPT_TIMEOUT => 30,
CURLOPT_HTTP_VERSION => CURL_HTTP_VERSION_1_1,
CURLOPT_CUSTOMREQUEST => "GET",
CURLOPT_HTTPHEADER => [
"x-api-key: <api-key>"
],
]);
$response = curl_exec($curl);
$err = curl_error($curl);
curl_close($curl);
if ($err) {
echo "cURL Error #:" . $err;
} else {
echo $response;
}package main
import (
"fmt"
"net/http"
"io"
)
func main() {
url := "https://api.amberdata.com/markets/derivatives/analytics/volatility/variance-premium"
req, _ := http.NewRequest("GET", url, nil)
req.Header.Add("x-api-key", "<api-key>")
res, _ := http.DefaultClient.Do(req)
defer res.Body.Close()
body, _ := io.ReadAll(res.Body)
fmt.Println(string(body))
}HttpResponse<String> response = Unirest.get("https://api.amberdata.com/markets/derivatives/analytics/volatility/variance-premium")
.header("x-api-key", "<api-key>")
.asString();require 'uri'
require 'net/http'
url = URI("https://api.amberdata.com/markets/derivatives/analytics/volatility/variance-premium")
http = Net::HTTP.new(url.host, url.port)
http.use_ssl = true
request = Net::HTTP::Get.new(url)
request["x-api-key"] = '<api-key>'
response = http.request(request)
puts response.read_body{
"status": 200,
"title": "OK",
"description": "Successful request",
"payload": {
"data": [
{
"timestamp": 1656806400000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 73.4,
"historicalVolatility30days": 95.5,
"vrp30": -22
},
{
"timestamp": 1656892800000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 71.4,
"historicalVolatility30days": 96.5,
"vrp30": -25
},
{
"timestamp": 1656979200000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 71,
"historicalVolatility30days": 97.5,
"vrp30": -27
},
{
"timestamp": 1657065600000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 72,
"historicalVolatility30days": 97.2,
"vrp30": -25
},
{
"timestamp": 1657152000000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 68.5,
"historicalVolatility30days": 97.2,
"vrp30": -29
},
{
"timestamp": 1657238400000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 71.5,
"historicalVolatility30days": 97.5,
"vrp30": -26
},
{
"timestamp": 1657324800000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 71.7,
"historicalVolatility30days": 97.5,
"vrp30": -26
},
{
"timestamp": 1657411200000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 72.6,
"historicalVolatility30days": 97.4,
"vrp30": -25
},
{
"timestamp": 1657497600000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 72.6,
"historicalVolatility30days": 97.5,
"vrp30": -25
},
{
"timestamp": 1657584000000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 75,
"historicalVolatility30days": 96.7,
"vrp30": -22
},
{
"timestamp": 1657670400000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 94.3,
"historicalVolatility30days": 88.1,
"vrp30": 6
},
{
"timestamp": 1657756800000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 106,
"historicalVolatility30days": 85.9,
"vrp30": 20
},
{
"timestamp": 1657843200000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 103.1,
"historicalVolatility30days": 82.2,
"vrp30": 21
},
{
"timestamp": 1657929600000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 89.2,
"historicalVolatility30days": 78.4,
"vrp30": 11
},
{
"timestamp": 1658016000000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 119.7,
"historicalVolatility30days": 78.1,
"vrp30": 42
},
{
"timestamp": 1658102400000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 108.7,
"historicalVolatility30days": 72.5,
"vrp30": 36
},
{
"timestamp": 1658275200000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 110,
"historicalVolatility30days": 68.2,
"vrp30": 42
},
{
"timestamp": 1658188800000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 115,
"historicalVolatility30days": 68.7,
"vrp30": 46
},
{
"timestamp": 1658361600000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 99.3,
"historicalVolatility30days": 67.6,
"vrp30": 32
},
{
"timestamp": 1658448000000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 98,
"historicalVolatility30days": 67.5,
"vrp30": 30
},
{
"timestamp": 1658534400000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 99.8,
"historicalVolatility30days": 66.9,
"vrp30": 33
},
{
"timestamp": 1658620800000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 91.5,
"historicalVolatility30days": 66.8,
"vrp30": 25
},
{
"timestamp": 1658707200000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 90.7,
"historicalVolatility30days": 67.8,
"vrp30": 23
},
{
"timestamp": 1658793600000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 86.7,
"historicalVolatility30days": 67.4,
"vrp30": 19
},
{
"timestamp": 1658966400000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 89.1,
"historicalVolatility30days": 70.2,
"vrp30": 19
},
{
"timestamp": 1658880000000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 90.3,
"historicalVolatility30days": 69.5,
"vrp30": 21
},
{
"timestamp": 1659052800000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 87.5,
"historicalVolatility30days": 70.5,
"vrp30": 17
},
{
"timestamp": 1659225600000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 94.1,
"historicalVolatility30days": 66.7,
"vrp30": 27
},
{
"timestamp": 1659139200000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 91.4,
"historicalVolatility30days": 69.3,
"vrp30": 22
},
{
"timestamp": 1659312000000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 93,
"historicalVolatility30days": 66.8,
"vrp30": 26
},
{
"timestamp": 1659398400000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 92.2,
"historicalVolatility30days": 66.5,
"vrp30": 26
},
{
"timestamp": 1659484800000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 92,
"historicalVolatility30days": 65.6,
"vrp30": 26
},
{
"timestamp": 1659571200000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 87,
"historicalVolatility30days": 64.3,
"vrp30": 23
},
{
"timestamp": 1659657600000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 86.1,
"historicalVolatility30days": 64.1,
"vrp30": 22
},
{
"timestamp": 1659744000000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 82.3,
"historicalVolatility30days": 62.1,
"vrp30": 20
},
{
"timestamp": 1659830400000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 81.4,
"historicalVolatility30days": 61,
"vrp30": 20
},
{
"timestamp": 1659916800000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 78.4,
"historicalVolatility30days": 61.5,
"vrp30": 17
},
{
"timestamp": 1660003200000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 73.6,
"historicalVolatility30days": 61.5,
"vrp30": 12
},
{
"timestamp": 1660089600000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 75.9,
"historicalVolatility30days": 62.2,
"vrp30": 14
},
{
"timestamp": 1660176000000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 80.5,
"historicalVolatility30days": 62.3,
"vrp30": 18
},
{
"timestamp": 1660262400000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 85.8,
"historicalVolatility30days": 60.8,
"vrp30": 25
},
{
"timestamp": 1660348800000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 80.9,
"historicalVolatility30days": 59.6,
"vrp30": 21
},
{
"timestamp": 1660521600000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 78.7,
"historicalVolatility30days": 59.7,
"vrp30": 19
},
{
"timestamp": 1660435200000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 81.3,
"historicalVolatility30days": 59.5,
"vrp30": 22
},
{
"timestamp": 1660608000000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 82,
"historicalVolatility30days": 59.2,
"vrp30": 23
},
{
"timestamp": 1660694400000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 81.3,
"historicalVolatility30days": 57.1,
"vrp30": 24
}
]
}
}{}Volatility
Volatility Index VRP (variance risk premium)
This endpoint returns the Deribit “DVol” index, shifted to align with historical realized volatility. Since option implied volatility is pricing future realized volatility, this endpoint helps users measure the accuracy of such expectation. When the VRP (variance risk premium) is positive, implied volatility was higher than future realized volatility, meaning options were over priced. Vice versa when VRP was negative. The Deribit DVol index has 30-days to maturity and the measured realized volatility uses a 30-day calculation window. Realized volatility is measured using the high/low “Parkinson” volatility method.
GET
/
analytics
/
volatility
/
variance-premium
Volatility Index VRP (variance risk premium)
curl --request GET \
--url https://api.amberdata.com/markets/derivatives/analytics/volatility/variance-premium \
--header 'x-api-key: <api-key>'import requests
url = "https://api.amberdata.com/markets/derivatives/analytics/volatility/variance-premium"
headers = {"x-api-key": "<api-key>"}
response = requests.get(url, headers=headers)
print(response.text)const options = {method: 'GET', headers: {'x-api-key': '<api-key>'}};
fetch('https://api.amberdata.com/markets/derivatives/analytics/volatility/variance-premium', options)
.then(res => res.json())
.then(res => console.log(res))
.catch(err => console.error(err));<?php
$curl = curl_init();
curl_setopt_array($curl, [
CURLOPT_URL => "https://api.amberdata.com/markets/derivatives/analytics/volatility/variance-premium",
CURLOPT_RETURNTRANSFER => true,
CURLOPT_ENCODING => "",
CURLOPT_MAXREDIRS => 10,
CURLOPT_TIMEOUT => 30,
CURLOPT_HTTP_VERSION => CURL_HTTP_VERSION_1_1,
CURLOPT_CUSTOMREQUEST => "GET",
CURLOPT_HTTPHEADER => [
"x-api-key: <api-key>"
],
]);
$response = curl_exec($curl);
$err = curl_error($curl);
curl_close($curl);
if ($err) {
echo "cURL Error #:" . $err;
} else {
echo $response;
}package main
import (
"fmt"
"net/http"
"io"
)
func main() {
url := "https://api.amberdata.com/markets/derivatives/analytics/volatility/variance-premium"
req, _ := http.NewRequest("GET", url, nil)
req.Header.Add("x-api-key", "<api-key>")
res, _ := http.DefaultClient.Do(req)
defer res.Body.Close()
body, _ := io.ReadAll(res.Body)
fmt.Println(string(body))
}HttpResponse<String> response = Unirest.get("https://api.amberdata.com/markets/derivatives/analytics/volatility/variance-premium")
.header("x-api-key", "<api-key>")
.asString();require 'uri'
require 'net/http'
url = URI("https://api.amberdata.com/markets/derivatives/analytics/volatility/variance-premium")
http = Net::HTTP.new(url.host, url.port)
http.use_ssl = true
request = Net::HTTP::Get.new(url)
request["x-api-key"] = '<api-key>'
response = http.request(request)
puts response.read_body{
"status": 200,
"title": "OK",
"description": "Successful request",
"payload": {
"data": [
{
"timestamp": 1656806400000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 73.4,
"historicalVolatility30days": 95.5,
"vrp30": -22
},
{
"timestamp": 1656892800000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 71.4,
"historicalVolatility30days": 96.5,
"vrp30": -25
},
{
"timestamp": 1656979200000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 71,
"historicalVolatility30days": 97.5,
"vrp30": -27
},
{
"timestamp": 1657065600000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 72,
"historicalVolatility30days": 97.2,
"vrp30": -25
},
{
"timestamp": 1657152000000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 68.5,
"historicalVolatility30days": 97.2,
"vrp30": -29
},
{
"timestamp": 1657238400000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 71.5,
"historicalVolatility30days": 97.5,
"vrp30": -26
},
{
"timestamp": 1657324800000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 71.7,
"historicalVolatility30days": 97.5,
"vrp30": -26
},
{
"timestamp": 1657411200000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 72.6,
"historicalVolatility30days": 97.4,
"vrp30": -25
},
{
"timestamp": 1657497600000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 72.6,
"historicalVolatility30days": 97.5,
"vrp30": -25
},
{
"timestamp": 1657584000000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 75,
"historicalVolatility30days": 96.7,
"vrp30": -22
},
{
"timestamp": 1657670400000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 94.3,
"historicalVolatility30days": 88.1,
"vrp30": 6
},
{
"timestamp": 1657756800000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 106,
"historicalVolatility30days": 85.9,
"vrp30": 20
},
{
"timestamp": 1657843200000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 103.1,
"historicalVolatility30days": 82.2,
"vrp30": 21
},
{
"timestamp": 1657929600000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 89.2,
"historicalVolatility30days": 78.4,
"vrp30": 11
},
{
"timestamp": 1658016000000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 119.7,
"historicalVolatility30days": 78.1,
"vrp30": 42
},
{
"timestamp": 1658102400000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 108.7,
"historicalVolatility30days": 72.5,
"vrp30": 36
},
{
"timestamp": 1658275200000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 110,
"historicalVolatility30days": 68.2,
"vrp30": 42
},
{
"timestamp": 1658188800000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 115,
"historicalVolatility30days": 68.7,
"vrp30": 46
},
{
"timestamp": 1658361600000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 99.3,
"historicalVolatility30days": 67.6,
"vrp30": 32
},
{
"timestamp": 1658448000000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 98,
"historicalVolatility30days": 67.5,
"vrp30": 30
},
{
"timestamp": 1658534400000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 99.8,
"historicalVolatility30days": 66.9,
"vrp30": 33
},
{
"timestamp": 1658620800000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 91.5,
"historicalVolatility30days": 66.8,
"vrp30": 25
},
{
"timestamp": 1658707200000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 90.7,
"historicalVolatility30days": 67.8,
"vrp30": 23
},
{
"timestamp": 1658793600000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 86.7,
"historicalVolatility30days": 67.4,
"vrp30": 19
},
{
"timestamp": 1658966400000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 89.1,
"historicalVolatility30days": 70.2,
"vrp30": 19
},
{
"timestamp": 1658880000000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 90.3,
"historicalVolatility30days": 69.5,
"vrp30": 21
},
{
"timestamp": 1659052800000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 87.5,
"historicalVolatility30days": 70.5,
"vrp30": 17
},
{
"timestamp": 1659225600000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 94.1,
"historicalVolatility30days": 66.7,
"vrp30": 27
},
{
"timestamp": 1659139200000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 91.4,
"historicalVolatility30days": 69.3,
"vrp30": 22
},
{
"timestamp": 1659312000000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 93,
"historicalVolatility30days": 66.8,
"vrp30": 26
},
{
"timestamp": 1659398400000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 92.2,
"historicalVolatility30days": 66.5,
"vrp30": 26
},
{
"timestamp": 1659484800000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 92,
"historicalVolatility30days": 65.6,
"vrp30": 26
},
{
"timestamp": 1659571200000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 87,
"historicalVolatility30days": 64.3,
"vrp30": 23
},
{
"timestamp": 1659657600000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 86.1,
"historicalVolatility30days": 64.1,
"vrp30": 22
},
{
"timestamp": 1659744000000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 82.3,
"historicalVolatility30days": 62.1,
"vrp30": 20
},
{
"timestamp": 1659830400000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 81.4,
"historicalVolatility30days": 61,
"vrp30": 20
},
{
"timestamp": 1659916800000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 78.4,
"historicalVolatility30days": 61.5,
"vrp30": 17
},
{
"timestamp": 1660003200000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 73.6,
"historicalVolatility30days": 61.5,
"vrp30": 12
},
{
"timestamp": 1660089600000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 75.9,
"historicalVolatility30days": 62.2,
"vrp30": 14
},
{
"timestamp": 1660176000000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 80.5,
"historicalVolatility30days": 62.3,
"vrp30": 18
},
{
"timestamp": 1660262400000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 85.8,
"historicalVolatility30days": 60.8,
"vrp30": 25
},
{
"timestamp": 1660348800000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 80.9,
"historicalVolatility30days": 59.6,
"vrp30": 21
},
{
"timestamp": 1660521600000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 78.7,
"historicalVolatility30days": 59.7,
"vrp30": 19
},
{
"timestamp": 1660435200000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 81.3,
"historicalVolatility30days": 59.5,
"vrp30": 22
},
{
"timestamp": 1660608000000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 82,
"historicalVolatility30days": 59.2,
"vrp30": 23
},
{
"timestamp": 1660694400000,
"exchange": "deribit",
"instrument": "btc",
"closeDvol": 81.3,
"historicalVolatility30days": 57.1,
"vrp30": 24
}
]
}
}{}Authorizations
Query Parameters
[Optional] The underlying currency for which to retrieve the volatility index.
[Examples] BTC | SOL_USDC
Note: inverse options have underlying currencies formatted as (BTC, ETH) while linear option currency formats include the stable coin in the same (SOL_USDC)
[Optional] Time format of the timestamps in the return payload.
[Defaults] milliseconds | ms* | iso | iso8601 | hr | human_readable
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