Implied Volatility Surface (beta)
This feature is under active development and is subject to frequent changes
Stork is working with design partners to offer an implied volatility surface feed based on existing high-volume exchanges. Since it is typically not cost effective or computationally viable to compute the surface entirely on-chain, we are exploring the most appropriate ways to deliver the data in keeping with our commitment to low latency and decentralized delivery.
Sample Request Payload:
{"symbol":"BTC", "expiry":"2023-05-26", "strike":"28000"}
Sample Response:
{
"symbol": "BTC",
"expiration":"2023-05-26",
"strike":28000,
"volatility": 54.07,
"timestamp": 1675286326
"evm_timestamped_signatures": {
"r": Re,
"s": Se,
},
"stark_timestamped_signatures": {
"r": Rs,
"s": Ss,
}
}
In this implementation, a feed will provide a grid of quotes for requested expiration windows delivered over a websocket.
{"action":"subscribe", "assets": ["BTC"], "expirations":["2023-03-03"]}
{
"symbol": "BTC",
"timestamp": 1675286326
"surface": [
{
"expiration":"2023-03-03",
"strikes":[0.95, 1, 1.05],
"volatilities":[52.52, 53.10, 53.50],
"evm_timestamped_signatures":[
{"r": R1,"s": S1, "v": V1}, {"r": R2,"s": S2, "v": V2}, {"r": R3,"s": S3, "v": V3}
],
"stark_timestamped_signatures": [...]
}, ...
]
}
Last modified 4d ago