Greeks

Cohort Greeks

Returns liquidity-weighted Greek aggregates per cohort. The ORIA pipeline groups all active options into 28 cohorts (7 moneyness buckets x 4 expiration buckets) per coin. Each cohort reports weighted averages and sums for all 37 Greeks, plus composition metadata (option count, tier distribution, volume, OI). This is the "zoom out" view: instead of 916 individual BTC options, you see 28 cohort-level profiles that reveal where Greek exposure is concentrated.

GET/v1/greeks/cohortproalpha

Query Parameters

coinstringrequired

Underlying asset. Required.

e.g.BTCETH

cohort_namestringoptional

Filter by cohort, e.g. ATM_DTE_30.

e.g.ATM_DTE_30OTM_1_DTE_7

moneyness_bucketstringoptional

Filter by moneyness: DITM, ITM_2, ITM_1, ATM, OTM_1, OTM_2, DOTM.

e.g.ATMOTM_1

expiration_bucketstringoptional

Filter by expiry: DTE_7, DTE_30, DTE_90, DTE_180.

e.g.DTE_30DTE_90

fromstringoptional

Start UTC (ISO 8601). Default: latest snapshot.

e.g.2026-03-08T00:00:00Z

tostringoptional

End UTC (ISO 8601). Default: now.

e.g.2026-03-09T00:00:00Z

limitintegeroptional

Max rows. Default 500, max 5000.

e.g.1000

Response Schema

Fields marked pro require a Pro subscription. Fields marked alpha require Alpha.

Field	Type	Tier	Description
`timestamp`	`datetime`	pro	Snapshot time in UTC.
`coin`	`string`	pro	Underlying asset.
`moneyness_bucket`	`string`	pro	Moneyness classification: DITM, ITM_2, ITM_1, ATM, OTM_1, OTM_2, DOTM.
`expiration_bucket`	`string`	pro	Expiration classification: DTE_7, DTE_30, DTE_90, DTE_180.
`cohort_name`	`string`	pro	Composite key: moneyness_bucket + "_" + expiration_bucket.
`option_count`	`integer`	pro	Total options in this cohort.
`call_count`	`integer`	pro	Number of calls in cohort.
`put_count`	`integer`	pro	Number of puts in cohort.
`call_put_ratio`	`float`	pro	Call/put count ratio.
`tier_1_count`	`integer`	alpha	Top 5% options (highest liquidity weight).
`tier_2_count`	`integer`	alpha	Top 20% options.
`tier_3_count`	`integer`	alpha	Top 50% options.
`tier_4_count`	`integer`	alpha	Bottom 50% options.
`total_volume_usd`	`float`	pro	Total trading volume in USD across the cohort.
`total_open_interest`	`float`	pro	Total OI in base currency across the cohort.
`avg_bid_ask_spread_pct`	`float`	pro	Average bid-ask spread percentage.
`avg_reliability_score`	`float`	pro	Average reliability score (0-100).
`total_liquidity_weight`	`float`	alpha	Sum of liquidity weights (denominator for weighted averages).
`avg_liquidity_weight`	`float`	pro	Average liquidity weight per option.
`pct_with_liquidity_data`	`float`	pro	Percentage of options with liquidity score data.
`weighted_avg_delta`	`float`	pro	What is the cohort-level directional exposure? See detail ↓
`weighted_avg_gamma`	`float`	pro	What is the cohort-level convexity? See detail ↓
`weighted_avg_theta`	`float`	pro	What is the cohort-level time decay? See detail ↓
`weighted_avg_vega`	`float`	pro	Where is vol sensitivity concentrated? See detail ↓
`weighted_avg_rho`	`float`	pro	What is the cohort-level rate sensitivity? See detail ↓
`weighted_avg_elasticity`	`float`	pro	What is the cohort-level leverage? See detail ↓
`weighted_avg_dual_delta`	`float`	pro	What is the cohort-level strike sensitivity? See detail ↓
`weighted_avg_alpha`	`float`	pro	How expensive is gamma in this cohort? See detail ↓
`weighted_avg_dual_gamma`	`float`	pro	Cohort-level strike curvature See detail ↓
`weighted_avg_vanna`	`float`	pro	Cohort-level price-vol coupling See detail ↓
`weighted_avg_charm`	`float`	pro	Cohort-level delta decay rate See detail ↓
`weighted_avg_vomma`	`float`	pro	Cohort-level vol convexity See detail ↓
`weighted_avg_veta`	`float`	pro	Cohort-level vega decay See detail ↓
`weighted_avg_thetanna`	`float`	alpha	Cohort-level theta acceleration See detail ↓
`weighted_avg_surface_vanna`	`float`	alpha	Cohort-level strike-vol sensitivity See detail ↓
`weighted_avg_surface_charm`	`float`	alpha	Cohort-level strike-time sensitivity See detail ↓
`weighted_avg_speed`	`float`	alpha	Cohort-level gamma acceleration See detail ↓
`weighted_avg_color`	`float`	alpha	Cohort-level gamma decay See detail ↓
`weighted_avg_zomma`	`float`	alpha	Cohort-level gamma-vol coupling See detail ↓
`weighted_avg_zomanna`	`float`	alpha	Cohort-level vanna-vol coupling See detail ↓
`weighted_avg_ultima`	`float`	alpha	Cohort-level extreme vol detection See detail ↓
`weighted_avg_vannacay`	`float`	alpha	Cohort-level vanna decay See detail ↓
`weighted_avg_charisma`	`float`	alpha	Cohort-level charm acceleration See detail ↓
`weighted_avg_droplet`	`float`	alpha	Cohort-level surface temporal dynamics See detail ↓
`weighted_avg_flare`	`float`	alpha	Cohort-level dual gamma-vol See detail ↓
`weighted_avg_lightning`	`float`	alpha	Cohort-level fracture zones See detail ↓
`weighted_avg_halo`	`float`	alpha	Cohort-level cross-surface coupling See detail ↓
`weighted_avg_gammega`	`float`	alpha	Cohort gamma-vol regime coupling See detail ↓
`weighted_avg_chronomma`	`float`	alpha	Cohort time-vol coupling See detail ↓
`weighted_avg_quatromma`	`float`	alpha	Cohort extreme vol See detail ↓
`weighted_avg_quatrospeeda`	`float`	alpha	Cohort price hypersensitivity See detail ↓
`weighted_avg_chronospeeda`	`float`	alpha	Cohort speed decay See detail ↓
`weighted_avg_volaspeeda`	`float`	alpha	Cohort convexity stability See detail ↓
`weighted_avg_instability`	`float`	alpha	Cohort-level instability See detail ↓
`weighted_avg_echo`	`float`	alpha	Cohort echo See detail ↓
`weighted_avg_vannaccel`	`float`	alpha	Cohort vanna momentum See detail ↓
`weighted_avg_aurora`	`float`	alpha	Cohort meta-stability See detail ↓
`sum_delta`	`float`	pro	Total delta exposure in this cohort See detail ↓
`sum_gamma`	`float`	pro	Total gamma exposure in this cohort See detail ↓
`sum_vega`	`float`	pro	Total vega exposure in this cohort See detail ↓
`sum_theta`	`float`	pro	Total daily decay in this cohort See detail ↓
`sum_speed`	`float`	alpha	Total speed See detail ↓
`sum_zomma`	`float`	alpha	Total zomma See detail ↓
`sum_color`	`float`	alpha	Total color See detail ↓
`sum_ultima`	`float`	alpha	Total ultima See detail ↓
`sum_instability`	`float`	alpha	Total instability exposure See detail ↓
`sum_echo`	`float`	alpha	Total echo See detail ↓

Derived Fields

FieldTypeTiercollapse all

▶weighted_avg_deltafloatprocollapse

What is the cohort-level directional exposure?

Liquidity-weighted average delta across all options in this cohort. Tells you the aggregate directional tilt: positive = cohort is net long delta, negative = net short.

Liquidity-weighted avg delta

\bar{\Delta} = \frac{\sum w_i \cdot \Delta_i}{\sum w_i}

▶weighted_avg_gammafloatprocollapse

What is the cohort-level convexity?

Liquidity-weighted average gamma. Shows where convexity is concentrated: high gamma in ATM_DTE_7 vs low in DOTM_DTE_180.

Liquidity-weighted avg gamma

\bar{\Gamma} = \frac{\sum w_i \cdot \Gamma_i}{\sum w_i}

▶weighted_avg_thetafloatprocollapse

What is the cohort-level time decay?

Liquidity-weighted average theta. Reveals which cohorts bleed the most daily.

Liquidity-weighted avg theta

\bar{\Theta} = \frac{\sum w_i \cdot \Theta_i}{\sum w_i}

▶weighted_avg_vegafloatprocollapse

Where is vol sensitivity concentrated?

Liquidity-weighted average vega. Identifies which cohorts move most on IV changes.

Liquidity-weighted avg vega

\bar{\nu} = \frac{\sum w_i \cdot \nu_i}{\sum w_i}

▶weighted_avg_rhofloatprocollapse

What is the cohort-level rate sensitivity?

Liquidity-weighted average rho.

Liquidity-weighted avg rho

\bar{\rho} = \frac{\sum w_i \cdot \rho_i}{\sum w_i}

▶weighted_avg_elasticityfloatprocollapse

What is the cohort-level leverage?

Liquidity-weighted average elasticity.

Liquidity-weighted avg elasticity

\bar{\Lambda} = \frac{\sum w_i \cdot \Lambda_i}{\sum w_i}

▶weighted_avg_dual_deltafloatprocollapse

What is the cohort-level strike sensitivity?

Liquidity-weighted average dual delta.

Liquidity-weighted avg dual delta

\overline{\partial V/\partial K}

▶weighted_avg_alphafloatprocollapse

How expensive is gamma in this cohort?

Liquidity-weighted average alpha (gamma rent). Lower = cheaper gamma scalping opportunity in this moneyness/expiry zone.

Liquidity-weighted avg alpha

\bar{\alpha} = \frac{\sum w_i \cdot \alpha_i}{\sum w_i}

▶weighted_avg_dual_gammafloatprocollapse

Cohort-level strike curvature

Liquidity-weighted average dual gamma. High values indicate strong pinning potential in this cohort zone.

Weighted avg dual gamma

\overline{\partial^2 V/\partial K^2}

▶weighted_avg_vannafloatprocollapse

Cohort-level price-vol coupling

Liquidity-weighted average vanna. Key input to ORIA emergency scoring.

Weighted avg vanna

\overline{\partial^2 V/\partial S \partial \sigma}

ORIA uses this to

ORIA emergency scoring uses cohort-level vanna to assess system-wide vol-spot coupling stress.

▶weighted_avg_charmfloatprocollapse

Cohort-level delta decay rate

Liquidity-weighted average charm.

Weighted avg charm

\overline{-\partial^2 V/\partial S \partial t}

▶weighted_avg_vommafloatprocollapse

Cohort-level vol convexity

Liquidity-weighted average vomma.

Weighted avg vomma

\overline{\partial^2 V/\partial \sigma^2}

▶weighted_avg_vetafloatprocollapse

Cohort-level vega decay

Liquidity-weighted average veta.

Weighted avg veta

\overline{-\partial^2 V/\partial \sigma \partial t}

▶weighted_avg_thetannafloatalphacollapse

Cohort-level theta acceleration

Liquidity-weighted average thetanna.

Weighted avg thetanna

\overline{\partial^2 V/\partial t^2}

▶weighted_avg_surface_vannafloatalphacollapse

Cohort-level strike-vol sensitivity

Liquidity-weighted average surface vanna.

Weighted avg surface vanna

\overline{\partial^2 V/\partial K \partial \sigma}

▶weighted_avg_surface_charmfloatalphacollapse

Cohort-level strike-time sensitivity

Liquidity-weighted average surface charm.

Weighted avg surface charm

\overline{-\partial^2 V/\partial K \partial t}

▶weighted_avg_speedfloatalphacollapse

Cohort-level gamma acceleration

Liquidity-weighted average speed.

Weighted avg speed

\overline{\partial^3 V/\partial S^3}

▶weighted_avg_colorfloatalphacollapse

Cohort-level gamma decay

Liquidity-weighted average color.

Weighted avg color

\overline{-\partial^3 V/\partial S^2 \partial t}

▶weighted_avg_zommafloatalphacollapse

Cohort-level gamma-vol coupling

Liquidity-weighted average zomma.

Weighted avg zomma

\overline{\partial^3 V/\partial S^2 \partial \sigma}

▶weighted_avg_zomannafloatalphacollapse

Cohort-level vanna-vol coupling

Liquidity-weighted average zomanna.

Weighted avg zomanna

\overline{\partial^3 V/\partial S \partial \sigma^2}

▶weighted_avg_ultimafloatalphacollapse

Cohort-level extreme vol detection

Liquidity-weighted average ultima.

Weighted avg ultima

\overline{\partial^3 V/\partial \sigma^3}

▶weighted_avg_vannacayfloatalphacollapse

Cohort-level vanna decay

Liquidity-weighted average vannacay.

Weighted avg vannacay

\overline{-\partial^3 V/\partial S \partial \sigma \partial t}

▶weighted_avg_charismafloatalphacollapse

Cohort-level charm acceleration

Liquidity-weighted average charisma.

Weighted avg charisma

\overline{\partial^3 V/\partial S \partial t^2}

▶weighted_avg_dropletfloatalphacollapse

Cohort-level surface temporal dynamics

Liquidity-weighted average droplet.

Weighted avg droplet

\overline{-\partial^3 V/\partial K \partial \sigma \partial t}

▶weighted_avg_flarefloatalphacollapse

Cohort-level dual gamma-vol

Liquidity-weighted average flare.

Weighted avg flare

\overline{\partial^3 V/\partial K^2 \partial \sigma}

▶weighted_avg_lightningfloatalphacollapse

Cohort-level fracture zones

Liquidity-weighted average lightning.

Weighted avg lightning

\overline{\partial^3 V/\partial K^3}

▶weighted_avg_halofloatalphacollapse

Cohort-level cross-surface coupling

Liquidity-weighted average halo.

Weighted avg halo

\overline{\partial^3 V/\partial S \partial \sigma \partial K}

▶weighted_avg_gammegafloatalphacollapse

Cohort gamma-vol regime coupling

Liquidity-weighted average gammega.

Weighted avg gammega

\overline{\partial^4 V/\partial S^2 \partial \sigma^2}

▶weighted_avg_chronommafloatalphacollapse

Cohort time-vol coupling

Liquidity-weighted average chronomma.

Weighted avg chronomma

\overline{\partial^4 V/\partial t^2 \partial \sigma^2}

▶weighted_avg_quatrommafloatalphacollapse

Cohort extreme vol

Liquidity-weighted average quatromma.

Weighted avg quatromma

\overline{\partial^4 V/\partial \sigma^4}

▶weighted_avg_quatrospeedafloatalphacollapse

Cohort price hypersensitivity

Liquidity-weighted average quatrospeeda. 4th-order price convexity at cohort level.

Weighted avg quatrospeeda

\overline{\partial^4 V/\partial S^4}

ORIA uses this to

Internal scoring input.

▶weighted_avg_chronospeedafloatalphacollapse

Cohort speed decay

Liquidity-weighted average chronospeeda.

Weighted avg chronospeeda

\overline{-\partial^4 V/\partial S^3 \partial t}

▶weighted_avg_volaspeedafloatalphacollapse

Cohort convexity stability

Liquidity-weighted average volaspeeda.

Weighted avg volaspeeda

\overline{\partial^4 V/\partial S^3 \partial \sigma}

▶weighted_avg_instabilityfloatalphacollapse

Cohort-level instability

Liquidity-weighted average instability. 4th-order gamma-vol-time coupling at cohort level.

Weighted avg instability

\overline{-\partial^4 V/\partial S^2 \partial \sigma \partial t}

ORIA uses this to

Internal scoring input.

▶weighted_avg_echofloatalphacollapse

Cohort echo

Liquidity-weighted average echo.

Weighted avg echo

\overline{-\partial^4 V/\partial S \partial \sigma^2 \partial t}

▶weighted_avg_vannaccelfloatalphacollapse

Cohort vanna momentum

Liquidity-weighted average vannaccel.

Weighted avg vannaccel

\overline{\partial^4 V/\partial S \partial \sigma \partial t^2}

▶weighted_avg_aurorafloatalphacollapse

Cohort meta-stability

Liquidity-weighted average aurora. When high across multiple cohorts, all surface predictions are unreliable.

Weighted avg aurora

\overline{-\partial^4 V/\partial S \partial \sigma \partial K \partial t}

▶sum_deltafloatprocollapse

Total delta exposure in this cohort

Sum of delta across all options. Net directional exposure.

Sum delta

\sum \Delta_i

▶sum_gammafloatprocollapse

Total gamma exposure in this cohort

Sum of gamma. Total convexity.

Sum gamma

\sum \Gamma_i

▶sum_vegafloatprocollapse

Total vega exposure in this cohort

Sum of vega. Total vol sensitivity.

Sum vega

\sum \nu_i

▶sum_thetafloatprocollapse

Total daily decay in this cohort

Sum of theta. Total daily bleed.

Sum theta

\sum \Theta_i

▶sum_speedfloatalphacollapse

Total speed

Sum of speed across cohort.

Sum speed

\sum \text{speed}_i

▶sum_zommafloatalphacollapse

Total zomma

Sum of zomma across cohort.

Sum zomma

\sum \text{zomma}_i

▶sum_colorfloatalphacollapse

Total color

Sum of color across cohort.

Sum color

\sum \text{color}_i

▶sum_ultimafloatalphacollapse

Total ultima

Sum of ultima across cohort.

Sum ultima

\sum \text{ultima}_i

▶sum_instabilityfloatalphacollapse

Total instability exposure

Sum of instability across cohort.

Sum instability

\sum \text{instability}_i

ORIA uses this to

Internal scoring input.

▶sum_echofloatalphacollapse

Total echo

Sum of echo across cohort.

Sum echo

\sum \text{echo}_i