Coin Metrics has launched a set of new implied volatility metrics. The new metrics represent the implied volatility of a synthetic option, with strike price always at-the-money and with expiration date always a fixed number of days from calculation time.
Implied volatility is a property of options contracts, analogous to price, which fluctuates over time. The implied volatility represents the market’s view of how significantly the price of the underlying asset could change in the future. In standard models, for an option with a given strike price and time until expiration, the implied volatility is only a function of the option’s price and can serve as a proxy for that price.
Analysts may wish to track this value as a timeseries day-over-day, however this poses a problem because the options considered at-the-money change as the price of the underlying changes and the options with an expiration a fixed number of days from the calculation time change over time as well. This set of metrics normalizes these option parameters, allowing traders and analysts to see how the option market evolves over time using consistent parameters.
Where Can I Get the Data?
The new liquidity metrics are served through our /timeseries/exchange-asset-metrics endpoint.
Which Metrics Are Available?
We have released the following metrics:
- volatility_implied_atm_1d_expiration
- volatility_implied_atm_2d_expiration
- volatility_implied_atm_3d_expiration
- volatility_implied_atm_7d_expiration
- volatility_implied_atm_14d_expiration
- volatility_implied_atm_21d_expiration
- volatility_implied_atm_30d_expiration
- volatility_implied_atm_60d_expiration
- volatility_implied_atm_90d_expiration
- volatility_implied_atm_120d_expiration
- volatility_implied_atm_180d_expiration
- volatility_implied_atm_270d_expiration
- volatility_implied_atm_1y_expiration
How Are The Metrics Calculated?
For more information, please consult our implied volatility page in our Data Encyclopedia.
About CM Market Data Feed
CM Market Data Feed is a comprehensive data solution for institutional investors, traders, and researchers seeking to gain insights into the cryptocurrency markets. Our data is harmonized to a standardized format, making it easy to compare and analyze across multiple cryptocurrencies and exchanges. Additionally, we offer historical datasets that are hard to find elsewhere, providing users with a deep understanding of the evolution of the crypto markets.
Our market data collection systems are engineered to be resilient and robust, ensuring that users have access to accurate and reliable data at all times. We utilize a multifaceted approach to ensure high levels of data quality and data integrity to deliver the most accurate and complete data available.
The CM Market Data Feed includes a range of datasets such as price data, volume, and other key trading metrics, that enable users to utilize our resilient infrastructure to save on development costs, make informed investment decisions, and conduct research on the cryptocurrency markets. Customizable data feeds and flexible pricing options make the CM Market Data Feed a versatile and cost-effective solution for users of all sizes, from large financial institutions to crypto-native investment funds.
Coin Metrics is committed to providing the most accurate and reliable data in the industry. Please contact Coin Metrics through our website for more information on the CM Market Feed.
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