Implied Volatility, Constant Maturity, Constant Delta

Overview

The implied volatility metrics at constant maturity and constant delta provides a standardized, continuous view of the implied volatility (IV) surface. These metrics are available for exchange-pairs.

In raw option markets, liquidity is fragmented across hundreds of discrete contracts, each with a unique strike price and expiration date. As time passes and market prices move, these discrete points shift, making it difficult to construct a consistent historical timeseries.

To solve this, we model the volatility surface, a three-dimensional representation of implied volatility as a function of moneyness (delta) and time to maturity (tenor).

By interpolating this surface, we generate constant maturity, constant delta metrics. These metrics act as standardized "slices" of the surface, allowing users to:

• Analyze the implied volatility smile: Compare how the market prices out-of-the-money (OTM) options versus at-the-money (ATM) options. For instance, users can assess tail risk by comparing 25-delta vs. 50-delta metrics.

• Analyze the term structure: Compare short-term volatility (gamma risk) against long-term volatility (vega risk) using constant tenors. For instance, users can assess the difference in market expectations between 7-day vs. 180-day IV.

Metrics

There are 260 implied volatility metrics across various combinations of option type, delta, and tenor. The metrics follow the naming convention: volatility_implied_[type]_delta_[delta]_[tenor]_expiration

The following dimensions and their values are:

• [type]: call, put

• [delta]: 05, 10, 15, 20, 25, 30, 35, 40, 45, 50

• [tenor]: 1d, 2d, 3d, 7d, 14d, 21d, 30d, 60d, 90d, 120d, 180d, 270d, 1y

Note: Delta is represented as an absolute value. A "delta 25 put" refers to a put with a mathematical delta of -0.25.

Metric	Description	Frequency	Coverage
volatility_implied_call_delta_05_1d_expiration	The annualized interpolated implied volatility of a call option with 5 delta expiring 1 day in the future.	1h, 1d	🔗
volatility_implied_call_delta_05_2d_expiration	The annualized interpolated implied volatility of a call option with 5 delta expiring 2 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_05_3d_expiration	The annualized interpolated implied volatility of a call option with 5 delta expiring 3 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_05_7d_expiration	The annualized interpolated implied volatility of a call option with 5 delta expiring 7 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_05_14d_expiration	The annualized interpolated implied volatility of a call option with 5 delta expiring 14 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_05_21d_expiration	The annualized interpolated implied volatility of a call option with 5 delta expiring 21 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_05_30d_expiration	The annualized interpolated implied volatility of a call option with 5 delta expiring 30 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_05_60d_expiration	The annualized interpolated implied volatility of a call option with 5 delta expiring 60 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_05_90d_expiration	The annualized interpolated implied volatility of a call option with 5 delta expiring 90 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_05_120d_expiration	The annualized interpolated implied volatility of a call option with 5 delta expiring 120 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_05_180d_expiration	The annualized interpolated implied volatility of a call option with 5 delta expiring 180 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_05_270d_expiration	The annualized interpolated implied volatility of a call option with 5 delta expiring 270 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_05_1y_expiration	The annualized interpolated implied volatility of a call option with 5 delta expiring 1 year in the future.	1h, 1d	🔗
volatility_implied_call_delta_10_1d_expiration	The annualized interpolated implied volatility of a call option with 10 delta expiring 1 day in the future.	1h, 1d	🔗
volatility_implied_call_delta_10_2d_expiration	The annualized interpolated implied volatility of a call option with 10 delta expiring 2 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_10_3d_expiration	The annualized interpolated implied volatility of a call option with 10 delta expiring 3 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_10_7d_expiration	The annualized interpolated implied volatility of a call option with 10 delta expiring 7 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_10_14d_expiration	The annualized interpolated implied volatility of a call option with 10 delta expiring 14 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_10_21d_expiration	The annualized interpolated implied volatility of a call option with 10 delta expiring 21 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_10_30d_expiration	The annualized interpolated implied volatility of a call option with 10 delta expiring 30 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_10_60d_expiration	The annualized interpolated implied volatility of a call option with 10 delta expiring 60 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_10_90d_expiration	The annualized interpolated implied volatility of a call option with 10 delta expiring 90 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_10_120d_expiration	The annualized interpolated implied volatility of a call option with 10 delta expiring 120 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_10_180d_expiration	The annualized interpolated implied volatility of a call option with 10 delta expiring 180 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_10_270d_expiration	The annualized interpolated implied volatility of a call option with 10 delta expiring 270 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_10_1y_expiration	The annualized interpolated implied volatility of a call option with 10 delta expiring 1 year in the future.	1h, 1d	🔗
volatility_implied_call_delta_15_1d_expiration	The annualized interpolated implied volatility of a call option with 15 delta expiring 1 day in the future.	1h, 1d	🔗
volatility_implied_call_delta_15_2d_expiration	The annualized interpolated implied volatility of a call option with 15 delta expiring 2 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_15_3d_expiration	The annualized interpolated implied volatility of a call option with 15 delta expiring 3 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_15_7d_expiration	The annualized interpolated implied volatility of a call option with 15 delta expiring 7 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_15_14d_expiration	The annualized interpolated implied volatility of a call option with 15 delta expiring 14 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_15_21d_expiration	The annualized interpolated implied volatility of a call option with 15 delta expiring 21 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_15_30d_expiration	The annualized interpolated implied volatility of a call option with 15 delta expiring 30 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_15_60d_expiration	The annualized interpolated implied volatility of a call option with 15 delta expiring 60 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_15_90d_expiration	The annualized interpolated implied volatility of a call option with 15 delta expiring 90 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_15_120d_expiration	The annualized interpolated implied volatility of a call option with 15 delta expiring 120 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_15_180d_expiration	The annualized interpolated implied volatility of a call option with 15 delta expiring 180 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_15_270d_expiration	The annualized interpolated implied volatility of a call option with 15 delta expiring 270 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_15_1y_expiration	The annualized interpolated implied volatility of a call option with 15 delta expiring 1 year in the future.	1h, 1d	🔗
volatility_implied_call_delta_20_1d_expiration	The annualized interpolated implied volatility of a call option with 20 delta expiring 1 day in the future.	1h, 1d	🔗
volatility_implied_call_delta_20_2d_expiration	The annualized interpolated implied volatility of a call option with 20 delta expiring 2 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_20_3d_expiration	The annualized interpolated implied volatility of a call option with 20 delta expiring 3 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_20_7d_expiration	The annualized interpolated implied volatility of a call option with 20 delta expiring 7 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_20_14d_expiration	The annualized interpolated implied volatility of a call option with 20 delta expiring 14 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_20_21d_expiration	The annualized interpolated implied volatility of a call option with 20 delta expiring 21 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_20_30d_expiration	The annualized interpolated implied volatility of a call option with 20 delta expiring 30 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_20_60d_expiration	The annualized interpolated implied volatility of a call option with 20 delta expiring 60 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_20_90d_expiration	The annualized interpolated implied volatility of a call option with 20 delta expiring 90 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_20_120d_expiration	The annualized interpolated implied volatility of a call option with 20 delta expiring 120 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_20_180d_expiration	The annualized interpolated implied volatility of a call option with 20 delta expiring 180 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_20_270d_expiration	The annualized interpolated implied volatility of a call option with 20 delta expiring 270 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_20_1y_expiration	The annualized interpolated implied volatility of a call option with 20 delta expiring 1 year in the future.	1h, 1d	🔗
volatility_implied_call_delta_25_1d_expiration	The annualized interpolated implied volatility of a call option with 25 delta expiring 1 day in the future.	1h, 1d	🔗
volatility_implied_call_delta_25_2d_expiration	The annualized interpolated implied volatility of a call option with 25 delta expiring 2 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_25_3d_expiration	The annualized interpolated implied volatility of a call option with 25 delta expiring 3 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_25_7d_expiration	The annualized interpolated implied volatility of a call option with 25 delta expiring 7 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_25_14d_expiration	The annualized interpolated implied volatility of a call option with 25 delta expiring 14 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_25_21d_expiration	The annualized interpolated implied volatility of a call option with 25 delta expiring 21 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_25_30d_expiration	The annualized interpolated implied volatility of a call option with 25 delta expiring 30 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_25_60d_expiration	The annualized interpolated implied volatility of a call option with 25 delta expiring 60 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_25_90d_expiration	The annualized interpolated implied volatility of a call option with 25 delta expiring 90 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_25_120d_expiration	The annualized interpolated implied volatility of a call option with 25 delta expiring 120 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_25_180d_expiration	The annualized interpolated implied volatility of a call option with 25 delta expiring 180 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_25_270d_expiration	The annualized interpolated implied volatility of a call option with 25 delta expiring 270 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_25_1y_expiration	The annualized interpolated implied volatility of a call option with 25 delta expiring 1 year in the future.	1h, 1d	🔗
volatility_implied_call_delta_30_1d_expiration	The annualized interpolated implied volatility of a call option with 30 delta expiring 1 day in the future.	1h, 1d	🔗
volatility_implied_call_delta_30_2d_expiration	The annualized interpolated implied volatility of a call option with 30 delta expiring 2 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_30_3d_expiration	The annualized interpolated implied volatility of a call option with 30 delta expiring 3 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_30_7d_expiration	The annualized interpolated implied volatility of a call option with 30 delta expiring 7 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_30_14d_expiration	The annualized interpolated implied volatility of a call option with 30 delta expiring 14 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_30_21d_expiration	The annualized interpolated implied volatility of a call option with 30 delta expiring 21 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_30_30d_expiration	The annualized interpolated implied volatility of a call option with 30 delta expiring 30 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_30_60d_expiration	The annualized interpolated implied volatility of a call option with 30 delta expiring 60 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_30_90d_expiration	The annualized interpolated implied volatility of a call option with 30 delta expiring 90 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_30_120d_expiration	The annualized interpolated implied volatility of a call option with 30 delta expiring 120 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_30_180d_expiration	The annualized interpolated implied volatility of a call option with 30 delta expiring 180 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_30_270d_expiration	The annualized interpolated implied volatility of a call option with 30 delta expiring 270 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_30_1y_expiration	The annualized interpolated implied volatility of a call option with 30 delta expiring 1 year in the future.	1h, 1d	🔗
volatility_implied_call_delta_35_1d_expiration	The annualized interpolated implied volatility of a call option with 35 delta expiring 1 day in the future.	1h, 1d	🔗
volatility_implied_call_delta_35_2d_expiration	The annualized interpolated implied volatility of a call option with 35 delta expiring 2 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_35_3d_expiration	The annualized interpolated implied volatility of a call option with 35 delta expiring 3 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_35_7d_expiration	The annualized interpolated implied volatility of a call option with 35 delta expiring 7 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_35_14d_expiration	The annualized interpolated implied volatility of a call option with 35 delta expiring 14 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_35_21d_expiration	The annualized interpolated implied volatility of a call option with 35 delta expiring 21 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_35_30d_expiration	The annualized interpolated implied volatility of a call option with 35 delta expiring 30 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_35_60d_expiration	The annualized interpolated implied volatility of a call option with 35 delta expiring 60 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_35_90d_expiration	The annualized interpolated implied volatility of a call option with 35 delta expiring 90 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_35_120d_expiration	The annualized interpolated implied volatility of a call option with 35 delta expiring 120 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_35_180d_expiration	The annualized interpolated implied volatility of a call option with 35 delta expiring 180 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_35_270d_expiration	The annualized interpolated implied volatility of a call option with 35 delta expiring 270 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_35_1y_expiration	The annualized interpolated implied volatility of a call option with 35 delta expiring 1 year in the future.	1h, 1d	🔗
volatility_implied_call_delta_40_1d_expiration	The annualized interpolated implied volatility of a call option with 40 delta expiring 1 day in the future.	1h, 1d	🔗
volatility_implied_call_delta_40_2d_expiration	The annualized interpolated implied volatility of a call option with 40 delta expiring 2 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_40_3d_expiration	The annualized interpolated implied volatility of a call option with 40 delta expiring 3 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_40_7d_expiration	The annualized interpolated implied volatility of a call option with 40 delta expiring 7 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_40_14d_expiration	The annualized interpolated implied volatility of a call option with 40 delta expiring 14 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_40_21d_expiration	The annualized interpolated implied volatility of a call option with 40 delta expiring 21 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_40_30d_expiration	The annualized interpolated implied volatility of a call option with 40 delta expiring 30 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_40_60d_expiration	The annualized interpolated implied volatility of a call option with 40 delta expiring 60 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_40_90d_expiration	The annualized interpolated implied volatility of a call option with 40 delta expiring 90 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_40_120d_expiration	The annualized interpolated implied volatility of a call option with 40 delta expiring 120 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_40_180d_expiration	The annualized interpolated implied volatility of a call option with 40 delta expiring 180 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_40_270d_expiration	The annualized interpolated implied volatility of a call option with 40 delta expiring 270 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_40_1y_expiration	The annualized interpolated implied volatility of a call option with 40 delta expiring 1 year in the future.	1h, 1d	🔗
volatility_implied_call_delta_45_1d_expiration	The annualized interpolated implied volatility of a call option with 45 delta expiring 1 day in the future.	1h, 1d	🔗
volatility_implied_call_delta_45_2d_expiration	The annualized interpolated implied volatility of a call option with 45 delta expiring 2 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_45_3d_expiration	The annualized interpolated implied volatility of a call option with 45 delta expiring 3 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_45_7d_expiration	The annualized interpolated implied volatility of a call option with 45 delta expiring 7 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_45_14d_expiration	The annualized interpolated implied volatility of a call option with 45 delta expiring 14 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_45_21d_expiration	The annualized interpolated implied volatility of a call option with 45 delta expiring 21 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_45_30d_expiration	The annualized interpolated implied volatility of a call option with 45 delta expiring 30 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_45_60d_expiration	The annualized interpolated implied volatility of a call option with 45 delta expiring 60 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_45_90d_expiration	The annualized interpolated implied volatility of a call option with 45 delta expiring 90 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_45_120d_expiration	The annualized interpolated implied volatility of a call option with 45 delta expiring 120 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_45_180d_expiration	The annualized interpolated implied volatility of a call option with 45 delta expiring 180 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_45_270d_expiration	The annualized interpolated implied volatility of a call option with 45 delta expiring 270 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_45_1y_expiration	The annualized interpolated implied volatility of a call option with 45 delta expiring 1 year in the future.	1h, 1d	🔗
volatility_implied_call_delta_50_1d_expiration	The annualized interpolated implied volatility of a call option with 50 delta expiring 1 day in the future.	1h, 1d	🔗
volatility_implied_call_delta_50_2d_expiration	The annualized interpolated implied volatility of a call option with 50 delta expiring 2 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_50_3d_expiration	The annualized interpolated implied volatility of a call option with 50 delta expiring 3 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_50_7d_expiration	The annualized interpolated implied volatility of a call option with 50 delta expiring 7 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_50_14d_expiration	The annualized interpolated implied volatility of a call option with 50 delta expiring 14 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_50_21d_expiration	The annualized interpolated implied volatility of a call option with 50 delta expiring 21 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_50_30d_expiration	The annualized interpolated implied volatility of a call option with 50 delta expiring 30 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_50_60d_expiration	The annualized interpolated implied volatility of a call option with 50 delta expiring 60 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_50_90d_expiration	The annualized interpolated implied volatility of a call option with 50 delta expiring 90 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_50_120d_expiration	The annualized interpolated implied volatility of a call option with 50 delta expiring 120 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_50_180d_expiration	The annualized interpolated implied volatility of a call option with 50 delta expiring 180 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_50_270d_expiration	The annualized interpolated implied volatility of a call option with 50 delta expiring 270 days in the future.	1h, 1d	🔗
volatility_implied_call_delta_50_1y_expiration	The annualized interpolated implied volatility of a call option with 50 delta expiring 1 year in the future.	1h, 1d	🔗
volatility_implied_put_delta_05_1d_expiration	The annualized interpolated implied volatility of a put option with 5 delta expiring 1 day in the future.	1h, 1d	🔗
volatility_implied_put_delta_05_2d_expiration	The annualized interpolated implied volatility of a put option with 5 delta expiring 2 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_05_3d_expiration	The annualized interpolated implied volatility of a put option with 5 delta expiring 3 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_05_7d_expiration	The annualized interpolated implied volatility of a put option with 5 delta expiring 7 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_05_14d_expiration	The annualized interpolated implied volatility of a put option with 5 delta expiring 14 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_05_21d_expiration	The annualized interpolated implied volatility of a put option with 5 delta expiring 21 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_05_30d_expiration	The annualized interpolated implied volatility of a put option with 5 delta expiring 30 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_05_60d_expiration	The annualized interpolated implied volatility of a put option with 5 delta expiring 60 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_05_90d_expiration	The annualized interpolated implied volatility of a put option with 5 delta expiring 90 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_05_120d_expiration	The annualized interpolated implied volatility of a put option with 5 delta expiring 120 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_05_180d_expiration	The annualized interpolated implied volatility of a put option with 5 delta expiring 180 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_05_270d_expiration	The annualized interpolated implied volatility of a put option with 5 delta expiring 270 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_05_1y_expiration	The annualized interpolated implied volatility of a put option with 5 delta expiring 1 year in the future.	1h, 1d	🔗
volatility_implied_put_delta_10_1d_expiration	The annualized interpolated implied volatility of a put option with 10 delta expiring 1 day in the future.	1h, 1d	🔗
volatility_implied_put_delta_10_2d_expiration	The annualized interpolated implied volatility of a put option with 10 delta expiring 2 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_10_3d_expiration	The annualized interpolated implied volatility of a put option with 10 delta expiring 3 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_10_7d_expiration	The annualized interpolated implied volatility of a put option with 10 delta expiring 7 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_10_14d_expiration	The annualized interpolated implied volatility of a put option with 10 delta expiring 14 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_10_21d_expiration	The annualized interpolated implied volatility of a put option with 10 delta expiring 21 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_10_30d_expiration	The annualized interpolated implied volatility of a put option with 10 delta expiring 30 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_10_60d_expiration	The annualized interpolated implied volatility of a put option with 10 delta expiring 60 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_10_90d_expiration	The annualized interpolated implied volatility of a put option with 10 delta expiring 90 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_10_120d_expiration	The annualized interpolated implied volatility of a put option with 10 delta expiring 120 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_10_180d_expiration	The annualized interpolated implied volatility of a put option with 10 delta expiring 180 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_10_270d_expiration	The annualized interpolated implied volatility of a put option with 10 delta expiring 270 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_10_1y_expiration	The annualized interpolated implied volatility of a put option with 10 delta expiring 1 year in the future.	1h, 1d	🔗
volatility_implied_put_delta_15_1d_expiration	The annualized interpolated implied volatility of a put option with 15 delta expiring 1 day in the future.	1h, 1d	🔗
volatility_implied_put_delta_15_2d_expiration	The annualized interpolated implied volatility of a put option with 15 delta expiring 2 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_15_3d_expiration	The annualized interpolated implied volatility of a put option with 15 delta expiring 3 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_15_7d_expiration	The annualized interpolated implied volatility of a put option with 15 delta expiring 7 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_15_14d_expiration	The annualized interpolated implied volatility of a put option with 15 delta expiring 14 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_15_21d_expiration	The annualized interpolated implied volatility of a put option with 15 delta expiring 21 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_15_30d_expiration	The annualized interpolated implied volatility of a put option with 15 delta expiring 30 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_15_60d_expiration	The annualized interpolated implied volatility of a put option with 15 delta expiring 60 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_15_90d_expiration	The annualized interpolated implied volatility of a put option with 15 delta expiring 90 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_15_120d_expiration	The annualized interpolated implied volatility of a put option with 15 delta expiring 120 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_15_180d_expiration	The annualized interpolated implied volatility of a put option with 15 delta expiring 180 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_15_270d_expiration	The annualized interpolated implied volatility of a put option with 15 delta expiring 270 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_15_1y_expiration	The annualized interpolated implied volatility of a put option with 15 delta expiring 1 year in the future.	1h, 1d	🔗
volatility_implied_put_delta_20_1d_expiration	The annualized interpolated implied volatility of a put option with 20 delta expiring 1 day in the future.	1h, 1d	🔗
volatility_implied_put_delta_20_2d_expiration	The annualized interpolated implied volatility of a put option with 20 delta expiring 2 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_20_3d_expiration	The annualized interpolated implied volatility of a put option with 20 delta expiring 3 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_20_7d_expiration	The annualized interpolated implied volatility of a put option with 20 delta expiring 7 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_20_14d_expiration	The annualized interpolated implied volatility of a put option with 20 delta expiring 14 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_20_21d_expiration	The annualized interpolated implied volatility of a put option with 20 delta expiring 21 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_20_30d_expiration	The annualized interpolated implied volatility of a put option with 20 delta expiring 30 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_20_60d_expiration	The annualized interpolated implied volatility of a put option with 20 delta expiring 60 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_20_90d_expiration	The annualized interpolated implied volatility of a put option with 20 delta expiring 90 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_20_120d_expiration	The annualized interpolated implied volatility of a put option with 20 delta expiring 120 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_20_180d_expiration	The annualized interpolated implied volatility of a put option with 20 delta expiring 180 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_20_270d_expiration	The annualized interpolated implied volatility of a put option with 20 delta expiring 270 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_20_1y_expiration	The annualized interpolated implied volatility of a put option with 20 delta expiring 1 year in the future.	1h, 1d	🔗
volatility_implied_put_delta_25_1d_expiration	The annualized interpolated implied volatility of a put option with 25 delta expiring 1 day in the future.	1h, 1d	🔗
volatility_implied_put_delta_25_2d_expiration	The annualized interpolated implied volatility of a put option with 25 delta expiring 2 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_25_3d_expiration	The annualized interpolated implied volatility of a put option with 25 delta expiring 3 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_25_7d_expiration	The annualized interpolated implied volatility of a put option with 25 delta expiring 7 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_25_14d_expiration	The annualized interpolated implied volatility of a put option with 25 delta expiring 14 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_25_21d_expiration	The annualized interpolated implied volatility of a put option with 25 delta expiring 21 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_25_30d_expiration	The annualized interpolated implied volatility of a put option with 25 delta expiring 30 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_25_60d_expiration	The annualized interpolated implied volatility of a put option with 25 delta expiring 60 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_25_90d_expiration	The annualized interpolated implied volatility of a put option with 25 delta expiring 90 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_25_120d_expiration	The annualized interpolated implied volatility of a put option with 25 delta expiring 120 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_25_180d_expiration	The annualized interpolated implied volatility of a put option with 25 delta expiring 180 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_25_270d_expiration	The annualized interpolated implied volatility of a put option with 25 delta expiring 270 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_25_1y_expiration	The annualized interpolated implied volatility of a put option with 25 delta expiring 1 year in the future.	1h, 1d	🔗
volatility_implied_put_delta_30_1d_expiration	The annualized interpolated implied volatility of a put option with 30 delta expiring 1 day in the future.	1h, 1d	🔗
volatility_implied_put_delta_30_2d_expiration	The annualized interpolated implied volatility of a put option with 30 delta expiring 2 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_30_3d_expiration	The annualized interpolated implied volatility of a put option with 30 delta expiring 3 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_30_7d_expiration	The annualized interpolated implied volatility of a put option with 30 delta expiring 7 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_30_14d_expiration	The annualized interpolated implied volatility of a put option with 30 delta expiring 14 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_30_21d_expiration	The annualized interpolated implied volatility of a put option with 30 delta expiring 21 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_30_30d_expiration	The annualized interpolated implied volatility of a put option with 30 delta expiring 30 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_30_60d_expiration	The annualized interpolated implied volatility of a put option with 30 delta expiring 60 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_30_90d_expiration	The annualized interpolated implied volatility of a put option with 30 delta expiring 90 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_30_120d_expiration	The annualized interpolated implied volatility of a put option with 30 delta expiring 120 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_30_180d_expiration	The annualized interpolated implied volatility of a put option with 30 delta expiring 180 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_30_270d_expiration	The annualized interpolated implied volatility of a put option with 30 delta expiring 270 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_30_1y_expiration	The annualized interpolated implied volatility of a put option with 30 delta expiring 1 year in the future.	1h, 1d	🔗
volatility_implied_put_delta_35_1d_expiration	The annualized interpolated implied volatility of a put option with 35 delta expiring 1 day in the future.	1h, 1d	🔗
volatility_implied_put_delta_35_2d_expiration	The annualized interpolated implied volatility of a put option with 35 delta expiring 2 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_35_3d_expiration	The annualized interpolated implied volatility of a put option with 35 delta expiring 3 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_35_7d_expiration	The annualized interpolated implied volatility of a put option with 35 delta expiring 7 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_35_14d_expiration	The annualized interpolated implied volatility of a put option with 35 delta expiring 14 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_35_21d_expiration	The annualized interpolated implied volatility of a put option with 35 delta expiring 21 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_35_30d_expiration	The annualized interpolated implied volatility of a put option with 35 delta expiring 30 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_35_60d_expiration	The annualized interpolated implied volatility of a put option with 35 delta expiring 60 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_35_90d_expiration	The annualized interpolated implied volatility of a put option with 35 delta expiring 90 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_35_120d_expiration	The annualized interpolated implied volatility of a put option with 35 delta expiring 120 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_35_180d_expiration	The annualized interpolated implied volatility of a put option with 35 delta expiring 180 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_35_270d_expiration	The annualized interpolated implied volatility of a put option with 35 delta expiring 270 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_35_1y_expiration	The annualized interpolated implied volatility of a put option with 35 delta expiring 1 year in the future.	1h, 1d	🔗
volatility_implied_put_delta_40_1d_expiration	The annualized interpolated implied volatility of a put option with 40 delta expiring 1 day in the future.	1h, 1d	🔗
volatility_implied_put_delta_40_2d_expiration	The annualized interpolated implied volatility of a put option with 40 delta expiring 2 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_40_3d_expiration	The annualized interpolated implied volatility of a put option with 40 delta expiring 3 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_40_7d_expiration	The annualized interpolated implied volatility of a put option with 40 delta expiring 7 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_40_14d_expiration	The annualized interpolated implied volatility of a put option with 40 delta expiring 14 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_40_21d_expiration	The annualized interpolated implied volatility of a put option with 40 delta expiring 21 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_40_30d_expiration	The annualized interpolated implied volatility of a put option with 40 delta expiring 30 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_40_60d_expiration	The annualized interpolated implied volatility of a put option with 40 delta expiring 60 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_40_90d_expiration	The annualized interpolated implied volatility of a put option with 40 delta expiring 90 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_40_120d_expiration	The annualized interpolated implied volatility of a put option with 40 delta expiring 120 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_40_180d_expiration	The annualized interpolated implied volatility of a put option with 40 delta expiring 180 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_40_270d_expiration	The annualized interpolated implied volatility of a put option with 40 delta expiring 270 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_40_1y_expiration	The annualized interpolated implied volatility of a put option with 40 delta expiring 1 year in the future.	1h, 1d	🔗
volatility_implied_put_delta_45_1d_expiration	The annualized interpolated implied volatility of a put option with 45 delta expiring 1 day in the future.	1h, 1d	🔗
volatility_implied_put_delta_45_2d_expiration	The annualized interpolated implied volatility of a put option with 45 delta expiring 2 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_45_3d_expiration	The annualized interpolated implied volatility of a put option with 45 delta expiring 3 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_45_7d_expiration	The annualized interpolated implied volatility of a put option with 45 delta expiring 7 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_45_14d_expiration	The annualized interpolated implied volatility of a put option with 45 delta expiring 14 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_45_21d_expiration	The annualized interpolated implied volatility of a put option with 45 delta expiring 21 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_45_30d_expiration	The annualized interpolated implied volatility of a put option with 45 delta expiring 30 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_45_60d_expiration	The annualized interpolated implied volatility of a put option with 45 delta expiring 60 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_45_90d_expiration	The annualized interpolated implied volatility of a put option with 45 delta expiring 90 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_45_120d_expiration	The annualized interpolated implied volatility of a put option with 45 delta expiring 120 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_45_180d_expiration	The annualized interpolated implied volatility of a put option with 45 delta expiring 180 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_45_270d_expiration	The annualized interpolated implied volatility of a put option with 45 delta expiring 270 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_45_1y_expiration	The annualized interpolated implied volatility of a put option with 45 delta expiring 1 year in the future.	1h, 1d	🔗
volatility_implied_put_delta_50_1d_expiration	The annualized interpolated implied volatility of a put option with 50 delta expiring 1 day in the future.	1h, 1d	🔗
volatility_implied_put_delta_50_2d_expiration	The annualized interpolated implied volatility of a put option with 50 delta expiring 2 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_50_3d_expiration	The annualized interpolated implied volatility of a put option with 50 delta expiring 3 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_50_7d_expiration	The annualized interpolated implied volatility of a put option with 50 delta expiring 7 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_50_14d_expiration	The annualized interpolated implied volatility of a put option with 50 delta expiring 14 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_50_21d_expiration	The annualized interpolated implied volatility of a put option with 50 delta expiring 21 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_50_30d_expiration	The annualized interpolated implied volatility of a put option with 50 delta expiring 30 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_50_60d_expiration	The annualized interpolated implied volatility of a put option with 50 delta expiring 60 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_50_90d_expiration	The annualized interpolated implied volatility of a put option with 50 delta expiring 90 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_50_120d_expiration	The annualized interpolated implied volatility of a put option with 50 delta expiring 120 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_50_180d_expiration	The annualized interpolated implied volatility of a put option with 50 delta expiring 180 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_50_270d_expiration	The annualized interpolated implied volatility of a put option with 50 delta expiring 270 days in the future.	1h, 1d	🔗
volatility_implied_put_delta_50_1y_expiration	The annualized interpolated implied volatility of a put option with 50 delta expiring 1 year in the future.	1h, 1d	🔗

Data Sources and Methodology

Input data is sourced from our exchange-reported implied volatility derived from the option contract's mark price.

Since specific exchanges may offer multiple distinct option chains for the same asset (e.g., Bybit offers both BTC-USDT and BTC-USDC linear options), we calculate metrics at the exchange-pair level (e.g. bybit-btc-usdt and bybit-btc-usdc). This ensures that contracts from distinct option chains are never logically mixed.

Interpolation Methodology

To standardize implied volatility to constant maturities (e.g., exactly 30 days), we utilize linear interpolation of variance. Interpolating total variance ($\sigma^2 t$) is mathematically rigorous as it preserves the arbitrage-free properties of volatility over time.

For a target time to maturity $T_{target}$, we identify the two nearest available option contracts in the chain, one with expiry $T_1 < T_{target}$ and one with expiry $T_2 > T_{target}$.

We first calculate the Total Variance ($V$) for the surrounding points, where $\sigma$ is the implied volatility:

$$V_1 = \sigma_1^2 \cdot T_1$$

$$V_2 = \sigma_2^2 \cdot T_2$$

We then linearly interpolate the Total Variance to find $V_{target}$:

$$V_{target} = \frac{T_{target} - T_1}{T_2 - T_1}V_2 + \frac{T_2 - T_{target}}{T_2 - T_1}V_1$$

Finally, we convert the interpolated Total Variance back to an annualized Implied Volatility $\sigma_{target}$:

$$\sigma_{target} = \sqrt{\frac{V_{target}}{T_{target}}}$$

This methodology allows us to construct a smooth curve even when specific target dates (e.g., exactly 90 days out) do not align with listed expiration cycles.

Valid Calculation Ranges

Not all exchanges list options with expirations spanning the full range from 1 day to 1 year. To avoid extrapolation errors, we limit metric calculation to a valid range $[T_{target,min}, T_{target,max}]$ specific to each exchange-pair.

We restrict calculation to targets that fall within a 10-day buffer of the actual listed expirations ($T_{actual}$):

$$T_{target,min} = \max(S \mid S < T_{actual,min} - 10 \text{ days})$$

$$T_{target,max} = \min(S \mid S > T_{actual,max} + 10 \text{ days})$$

Where $S$ is the set of standard tenors ${1d, 2d, ..., 1y}$. If a requested tenor (e.g., 1y) falls outside these bounds for a specific exchange, the metric is returned as null.

Exception Handling

• Insufficient market data: The interpolation requires bracketing contracts (one shorter, one longer than the target tenor). If suitable contracts cannot be identified to bracket the target delta or tenor, the metric returns null for that timestamp.

• Gap filling: Ideally, input data is continuous. In rare instances where source data has gaps, we apply standard exception handling to maintain timeseries continuity by using the most recent available data.

Coverage

Coin Metrics CoverageCoin Metrics Coverage

API Endpoints

The metrics are served through the following endpoints:

• /timeseries/exchange-pair-metrics

Examples

Example for Exchange Asset Metrics

A sample of the volatility_implied_call_delta_25_30d_expiration metric for the exchange_asset deribit-btc-usd from our /timeseries/exchange-pair-metrics API endpoint is provided below. You can view this example in your browser here.

[
  {
    "exchange_pair": "deribit-btc-usd",
    "time": "2025-12-10T00:00:00.000000000Z",
    "volatility_implied_call_delta_25_30d_expiration": "0.432419083343269"
  },
  {
    "exchange_pair": "deribit-btc-usd",
    "time": "2025-12-11T00:00:00.000000000Z",
    "volatility_implied_call_delta_25_30d_expiration": "0.41659762354355"
  },
  {
    "exchange_pair": "deribit-btc-usd",
    "time": "2025-12-12T00:00:00.000000000Z",
    "volatility_implied_call_delta_25_30d_expiration": "0.412614514580369"
  }
]

Frequently Asked Questions

What units are the implied volatility metrics in?

The metrics are presented in raw units. For instance, a value of 0.5223685 should be interpreted as 52.23685%.