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Vanilla

Get current value and corresponding risks for given VANILLA options list

Supported exchanges and assets (baseCurrency/quoteCurrency)
DERIBIT: BTC/USD, ETH/USD, SOL/USDC, MATIC/USDC, XRP/USDC
OKX: BTC/USD, ETH/USD
BYBIT: BTC/USDC, ETH/USDC, SOL/USDC

HTTP Request

POST /api/v1/global/optionValuation/vanilla

The request body must contain an array of Instrument ranging in size from 1 to 50

Request body JSON model params

ParameterTypeRequiredDescription
instrumentIdStringYesUser defined unique instrument ID
baseCurrencyStringYesBase currency:
BTC,
ETH,
SOL,
MATIC,
XRP
quoteCurrencyStringYesQuote currency:
USD,
USDC
sourceStringYesExchange type:
DERIBIT,
OKX,
BYBIT
volatilityModelStringYesVolatility model:
SVI, SABR, VANNA_VOLGA
The model is calibrated to the Exchange given by the Exchange type
vanillaOptionTypeStringYesVanilla option types:
CALL,
PUT,
FORWARD
expirationTimestampNumYesInstrument expiration timestamp (in seconds)
Must be >= current timestamp
strikeNumNoRequired for option types:
CALL,
PUT.
Optional for
FORWARD -
if given then percentPrice and percentDelta calculated based on strike

Response body JSON model params

ParameterTypeDescription
instrumentIdStringUser defined unique instrument ID
observationTimestampNumInstrument observation timestamp (in seconds)
impliedVolatilityNumImplied volatility on strike of the option
spotPriceNumCurrent spot price
forwardPriceNumCurrent forward price
percentPriceNumOption price, percent of nominal
percentDeltaNumOption Delta, %
percentGammaNumOption Gamma, %
percentVegaNumOption Vega per 1% implied volatility move, %
percentThetaNum1-day option decay, %
percentVolgaNumOption Volga per 1% implied volatility move, %
percentVannaNumOption Vanna per 1% implied volatility move, %
Request Example
POST /api/v1/global/optionValuation/vanilla
body
[
{
"instrumentId": "BTC-USD-VANILLA-CALL-28JUN24-63000-SVI",
"baseCurrency": "BTC",
"quoteCurrency": "USD",
"source": "DERIBIT",
"volatilityModel": "SVI",
"vanillaOptionType": "CALL",
"expirationTimestamp": 1719502773,
"strike": 63000,
},
{
"instrumentId": "BTC-USD-VANILLA-CALL-28JUN24-3200-SVI",
"baseCurrency": "ETH",
"quoteCurrency": "USD",
"source": "DERIBIT",
"volatilityModel": "SVI",
"vanillaOptionType": "CALL",
"expirationTimestamp": 1719502773,
"strike": 3200,
}
]
Response Example
[
{
"instrumentId": "BTC-USD-VANILLA-CALL-28JUN24-63000-SVI",
"observationTimestamp": 1716202260,
"impliedVolatility": 0.5736396900582551,
"spotPrice": 67174.58,
"forwardPrice": 67992.36488009675,
"percentPrice": 0.11383663421369024,
"percentDelta": 0.6927726774444786,
"percentGamma": 2.7849962638074878E-5,
"percentVega": 0.0011368385629980085,
"percentTheta": -8.535722520691852E-4,
"percentVolga": 3.176002194242021E-6,
"percentVanna": -0.0019489464106318285
},
{
"instrumentId": "BTC-USD-VANILLA-CALL-28JUN24-3200-SVI",
"observationTimestamp": 1716202281,
"impliedVolatility": 0.6159422260980358,
"spotPrice": 3107.41,
"forwardPrice": 3140.2021725322447,
"percentPrice": 0.0709548392336831,
"percentDelta": 0.5019804470284969,
"percentGamma": 6.375600378934657E-4,
"percentVega": 0.0012905973031544567,
"percentTheta": -0.001040484928881105,
"percentVolga": -2.0210281140549104E-8,
"percentVanna": 0.001258444641032771
}
]