arena_get_iv_snapshot

io.github.Schoasch/backtesting-arena · Verify this server

What is the options market pricing in? Latest Deribit volatility snapshot for BTC or ETH. Returns DVOL (30d vol index), constant-maturity ATM implied vol (30/60/90/180d via options chain), 30d realized vol, and `vol_risk_premium_30d`, which is the TRAILING spread: ATM implied vol (30d, from the options chain — not DVOL) minus the realised volatility of the PAST 30 days. It answers "are options priced expensively right now?". Set include_implied=true to additionally get the FORWARD premium in an `implied` block: DVOL(t) minus the realised volatility of the FOLLOWING 30 days, which answers the different question "did the expectation actually materialise?". These two are NOT interchangeable — measured across 1,037 paired days they carry OPPOSITE signs on 17.3% of days for BTC and 30.5% for ETH. The forward field is spelled out as `vol_risk_premium_forward_30d` so the two cannot be confused. The most recent 30 days carry premium_complete=false and no premium value at all, because their forward window has not closed yet; they are excluded from every aggregate. Descriptive context, not a trading signal. Source: Deribit DVOL Index. History: BTC from 2021-04-01, ETH from 2022-02-15. [Free tier]