get https://api.amberdata.com/markets/derivatives/analytics/volatility/variance-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.
RESPONSE DATA
| Field | Type | Description |
|---|---|---|
| payload.metadata.api-version | string | Version of the API. |
| payload.data[index].timestamp | timestamp | This is the shifted Dvol exchange timestamp. Meaning today's Dvol timestamp is really estimating the realized volatility for T+30. |
| payload.data[index].exchange | string | The exchange. |
| payload.data[index].instrument | string | The currency. |
| payload.data[index].closeDvol | number | The close value for the Dvol index. |
| payload.data[index].historicalVolatility30days | number | This is the 30-day realized volatility calculation. |
| payload.data[index].vrp30 | number | This is the net difference between Dvol minus historicalVolatility30days. |