Comprehensive Derivatives Data

Infrastructure

Analytics

Insights

Gain access to in-depth, institutional-grade historical and real-time data across a wide range of derivative instruments and markets, with seamless connectivity to key derivatives digital asset exchanges.

Trusted and Precise Market Data Feeds

Live or historic datasets: our expertly curated volatility smile datasets are an invaluable resource. They span exchange-traded and constant-maturity volatility surfaces with minute-by-minute data since March 2019, boasting over 6 million volatility surfaces for BTC and ETH.

Our Data and Analytics Benefits

Systematic funds and directional traders seek data they can backtest with confidence, ensuring it accurately represents historical moves. Our data sets have supported the successful launch of systematic crypto funds who use the backtester to support optimal choices in vol strategies and basis trades.

Time series of implied vols (deltas, ATM, RR, FLY) for fast retrieval of datasets.

SVI and SABR calibration models, ideal for pricing Structured Products.

View data with exchange expiry or constant maturity expiry (tenors).

Altcoins vol surfaces, perp, spot and futures data across multiple exchanges.

Available via WebApp, Python API and Websocket API.

6m+ BTC/ETH vol surfaces since
March 2019.

Flexibility to choose delta or strike representation.

Robust vol surface calibration

Historic datasets from March 2019

Live, minutely calibrated

Key Features

Real-Time Updates

Receive continuous updates of precisely validated data, summarising over 1,000 traded instruments from the leading option venues.

Reliable Reporting

Price, trade, manage risk, and report derivatives with live implied volatility surfaces in a format designed for and recognised by market professionals.

Historical Modelling

Historical implied volatility surfaces, available from March 2019, verified and optimised for backtesting.

Time Series Functionality

Time series functionality for ultra-fast retrieval of data sets, enabling statistical analyses and insights from the extensive information available in the options market.

Flexible Analytics

Powerful cloud-based analytics delivered via multiple APIs, providing pricing for non-standard strikes and expiry dates, along with full
option Greeks.

Backtester Ready

Our historic data set is integrated with our backtester and has been extensively used by systematic funds to support optimal strategy selection.

Comprehensive Derivatives Data

Infrastructure

Analytics

Insights

Gain access to in-depth, institutional-grade historical and real-time data across a wide range of derivative instruments and markets, with seamless connectivity to key derivatives digital asset exchanges.

Trusted and Precise Market Data Feeds