The IV suite

Documentation Index

Fetch the complete documentation index at: https://docs.backquant.com/llms.txt

Use this file to discover all available pages before exploring further.

The implied-volatility (IV) endpoints in v2 give you every standard slice and aggregate of the IV surface. Each one answers a different question.

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At a glance

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Surface

The full strike × expiry grid of implied volatilities. Best rendered as a 3D surface or contour plot. Returns:

• x_grid — strikes
• y_grid — expiry tenors (DTE)
• z_grid — IV values at each (strike, expiry) cell
• min_iv / max_iv — for color scaling

Most useful when you can see the whole shape — local “wings” up means fat-tail pricing, “smirk” with low call-side IV means upside-skew positioning.

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Term structure

ATM implied vol per expiry, sorted by DTE. The shape tells you the market’s vol forecast across time:

• Upward-sloping (contango) — far-month vol higher than front-month. Normal for low-vol regimes; the market is pricing in eventual normalisation.
• Downward-sloping (backwardation) — front higher than back. Common during stress, expirations or regime breaks. The market is pricing in now being noisier than later.
• Hump near anchor expirations — higher IV at the upcoming monthly/quarterly than at adjacent weeklies, because of OPEX positioning.

Filter ?dte_max=60 to focus on the front of the curve, or pass ?historical_compare_days=30 to also receive the constant-maturity ATM IV from 30 days ago — useful for showing “term structure shifted right” in dashboards.

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Skew

/v2/options/iv/skew gives you per-expiry:

• skew_25d = 25Δ put IV − 25Δ call IV (positive = downside premium)
• skew_10d = 10Δ put IV − 10Δ call IV (tail skew)
• butterfly_25d = (25Δ put IV + 25Δ call IV) / 2 − ATM IV (smile curvature)

These are computed from real delta-bracketed options (interpolated to exact 25Δ / 10Δ), not strike proxies. Crypto skews are often more extreme than equities — skew_25d of +5–10 IV points on a near-term expiry is normal in jittery regimes, > 15 is signalling crash hedging. A flattening skew over time (positive going to zero) often precedes a local low. A steepening skew is fear bid.

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Curves and Smile

/v2/options/iv/curves returns the full merged-IV smile (OTM puts below spot, OTM calls above) for every active expiry, sorted by DTE. Best for plotting all smiles on a single chart for visual comparison. /v2/options/iv/smile returns the same data for one expiry. Lighter payload; use this if you only need the front month or a specific tenor.

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IV-RV history

/v2/options/iv/iv-rv returns the daily history of:

• iv — at-the-money implied volatility
• rv — realised volatility (typically 30d)
• spread — IV − RV

Use the spread to decide when implied vol is rich relative to what’s actually been realised. Sustained spread > 0 is a sell-vol signal; sustained spread < 0 is a buy-vol signal.

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VRP — the volatility risk premium

/v2/options/vrp is the same as iv-rv but normalised. The vol risk premium is the excess IV traders demand over realised — historically positive on average (vol writers earn a premium). Sharp drops below zero are usually short-vol unwinds and worth tracking.

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Filtering knobs across the suite

• ?days=30/90/365 on history endpoints (/iv-rv, /vrp) — window length
• ?exchanges=deribit,bybit,okx,binance — venue filter (term structure recomputes from filtered breakdown)
• ?dte_max=N — front-of-curve focus
• ?historical_compare_days=N — overlay today’s term structure with N days ago

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Related concepts