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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/cohortcoreproalpha

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 returned. Default 500. The effective ceiling is your tier row limit, see Tiers and Limits.

e.g.1000

Response Schema

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

FieldTypeTierDescription
timestampdatetimecoreSnapshot time in UTC.
coinstringcoreUnderlying asset.
moneyness_bucketstringcoreMoneyness classification: DITM, ITM_2, ITM_1, ATM, OTM_1, OTM_2, DOTM.
expiration_bucketstringcoreExpiration classification: DTE_7, DTE_30, DTE_90, DTE_180.
cohort_namestringcoreComposite key: moneyness_bucket + "_" + expiration_bucket.
option_countintegercoreTotal options in this cohort.
call_countintegercoreNumber of calls in cohort.
put_countintegercoreNumber of puts in cohort.
call_put_ratiofloatcoreCall/put count ratio.
tier_1_countintegeralphaTop 5% options (highest liquidity weight).
tier_2_countintegeralphaTop 20% options.
tier_3_countintegeralphaTop 50% options.
tier_4_countintegeralphaBottom 50% options.
total_volume_usdfloatcoreTotal trading volume in USD across the cohort.
total_open_interestfloatcoreTotal OI in base currency across the cohort.
avg_bid_ask_spread_pctfloatcoreAverage bid-ask spread percentage.
avg_reliability_scorefloatcoreAverage reliability score (0-100).
total_liquidity_weightfloatalphaSum of liquidity weights (denominator for weighted averages).
avg_liquidity_weightfloatcoreAverage liquidity weight per option.
pct_with_liquidity_datafloatcorePercentage of options with liquidity score data.
weighted_avg_deltafloatproWhat is the cohort-level directional exposure?
See detail ↓
weighted_avg_gammafloatproWhat is the cohort-level convexity?
See detail ↓
weighted_avg_thetafloatproWhat is the cohort-level time decay?
See detail ↓
weighted_avg_vegafloatproWhere is vol sensitivity concentrated?
See detail ↓
weighted_avg_rhofloatproWhat is the cohort-level rate sensitivity?
See detail ↓
weighted_avg_elasticityfloatproWhat is the cohort-level leverage?
See detail ↓
weighted_avg_dual_deltafloatproWhat is the cohort-level strike sensitivity?
See detail ↓
weighted_avg_alphafloatproHow expensive is gamma in this cohort?
See detail ↓
weighted_avg_dual_gammafloatproCohort-level strike curvature
See detail ↓
weighted_avg_vannafloatproCohort-level price-vol coupling
See detail ↓
weighted_avg_charmfloatproCohort-level delta decay rate
See detail ↓
weighted_avg_vommafloatproCohort-level vol convexity
See detail ↓
weighted_avg_vetafloatproCohort-level vega decay
See detail ↓
weighted_avg_thetannafloatalphaCohort-level theta acceleration
See detail ↓
weighted_avg_surface_vannafloatalphaCohort-level strike-vol sensitivity
See detail ↓
weighted_avg_surface_charmfloatalphaCohort-level strike-time sensitivity
See detail ↓
weighted_avg_speedfloatalphaCohort-level gamma acceleration
See detail ↓
weighted_avg_colorfloatalphaCohort-level gamma decay
See detail ↓
weighted_avg_zommafloatalphaCohort-level gamma-vol coupling
See detail ↓
weighted_avg_zomannafloatalphaCohort-level vanna-vol coupling
See detail ↓
weighted_avg_ultimafloatalphaCohort-level extreme vol detection
See detail ↓
weighted_avg_vannacayfloatalphaCohort-level vanna decay
See detail ↓
weighted_avg_charismafloatalphaCohort-level charm acceleration
See detail ↓
weighted_avg_dropletfloatalphaCohort-level surface temporal dynamics
See detail ↓
weighted_avg_flarefloatalphaCohort-level dual gamma-vol
See detail ↓
weighted_avg_lightningfloatalphaCohort-level fracture zones
See detail ↓
weighted_avg_halofloatalphaCohort-level cross-surface coupling
See detail ↓
weighted_avg_gammegafloatalphaCohort gamma-vol regime coupling
See detail ↓
weighted_avg_chronommafloatalphaCohort time-vol coupling
See detail ↓
weighted_avg_quatrommafloatalphaCohort extreme vol
See detail ↓
weighted_avg_quatrospeedafloatalphaCohort price hypersensitivity
See detail ↓
weighted_avg_chronospeedafloatalphaCohort speed decay
See detail ↓
weighted_avg_volaspeedafloatalphaCohort convexity stability
See detail ↓
weighted_avg_instabilityfloatalphaCohort-level instability
See detail ↓
weighted_avg_echofloatalphaCohort echo
See detail ↓
weighted_avg_vannaccelfloatalphaCohort vanna momentum
See detail ↓
weighted_avg_aurorafloatalphaCohort meta-stability
See detail ↓
sum_deltafloatproTotal delta exposure in this cohort
See detail ↓
sum_gammafloatproTotal gamma exposure in this cohort
See detail ↓
sum_vegafloatproTotal vega exposure in this cohort
See detail ↓
sum_thetafloatproTotal daily decay in this cohort
See detail ↓
sum_speedfloatalphaTotal speed
See detail ↓
sum_zommafloatalphaTotal zomma
See detail ↓
sum_colorfloatalphaTotal color
See detail ↓
sum_ultimafloatalphaTotal ultima
See detail ↓
sum_instabilityfloatalphaTotal instability exposure
See detail ↓
sum_echofloatalphaTotal 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

Δˉ=∑wi⋅Δi∑wi\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

Γˉ=∑wi⋅Γi∑wi\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

Θˉ=∑wi⋅Θi∑wi\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

νˉ=∑wi⋅νi∑wi\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

ρˉ=∑wi⋅ρi∑wi\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

Λˉ=∑wi⋅Λi∑wi\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

∂V/∂K‾\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

αˉ=∑wi⋅αi∑wi\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

∂2V/∂K2‾\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

∂2V/∂S∂σ‾\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

−∂2V/∂S∂t‾\overline{-\partial^2 V/\partial S \partial t}
▶weighted_avg_vommafloatprocollapse

Cohort-level vol convexity

Liquidity-weighted average vomma.

Weighted avg vomma

∂2V/∂σ2‾\overline{\partial^2 V/\partial \sigma^2}
▶weighted_avg_vetafloatprocollapse

Cohort-level vega decay

Liquidity-weighted average veta.

Weighted avg veta

−∂2V/∂σ∂t‾\overline{-\partial^2 V/\partial \sigma \partial t}
▶weighted_avg_thetannafloatalphacollapse

Cohort-level theta acceleration

Liquidity-weighted average thetanna.

Weighted avg thetanna

∂2V/∂t2‾\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

∂2V/∂K∂σ‾\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

−∂2V/∂K∂t‾\overline{-\partial^2 V/\partial K \partial t}
▶weighted_avg_speedfloatalphacollapse

Cohort-level gamma acceleration

Liquidity-weighted average speed.

Weighted avg speed

∂3V/∂S3‾\overline{\partial^3 V/\partial S^3}
▶weighted_avg_colorfloatalphacollapse

Cohort-level gamma decay

Liquidity-weighted average color.

Weighted avg color

−∂3V/∂S2∂t‾\overline{-\partial^3 V/\partial S^2 \partial t}
▶weighted_avg_zommafloatalphacollapse

Cohort-level gamma-vol coupling

Liquidity-weighted average zomma.

Weighted avg zomma

∂3V/∂S2∂σ‾\overline{\partial^3 V/\partial S^2 \partial \sigma}
▶weighted_avg_zomannafloatalphacollapse

Cohort-level vanna-vol coupling

Liquidity-weighted average zomanna.

Weighted avg zomanna

∂3V/∂S∂σ2‾\overline{\partial^3 V/\partial S \partial \sigma^2}
▶weighted_avg_ultimafloatalphacollapse

Cohort-level extreme vol detection

Liquidity-weighted average ultima.

Weighted avg ultima

∂3V/∂σ3‾\overline{\partial^3 V/\partial \sigma^3}
▶weighted_avg_vannacayfloatalphacollapse

Cohort-level vanna decay

Liquidity-weighted average vannacay.

Weighted avg vannacay

−∂3V/∂S∂σ∂t‾\overline{-\partial^3 V/\partial S \partial \sigma \partial t}
▶weighted_avg_charismafloatalphacollapse

Cohort-level charm acceleration

Liquidity-weighted average charisma.

Weighted avg charisma

∂3V/∂S∂t2‾\overline{\partial^3 V/\partial S \partial t^2}
▶weighted_avg_dropletfloatalphacollapse

Cohort-level surface temporal dynamics

Liquidity-weighted average droplet.

Weighted avg droplet

−∂3V/∂K∂σ∂t‾\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

∂3V/∂K2∂σ‾\overline{\partial^3 V/\partial K^2 \partial \sigma}
▶weighted_avg_lightningfloatalphacollapse

Cohort-level fracture zones

Liquidity-weighted average lightning.

Weighted avg lightning

∂3V/∂K3‾\overline{\partial^3 V/\partial K^3}
▶weighted_avg_halofloatalphacollapse

Cohort-level cross-surface coupling

Liquidity-weighted average halo.

Weighted avg halo

∂3V/∂S∂σ∂K‾\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

∂4V/∂S2∂σ2‾\overline{\partial^4 V/\partial S^2 \partial \sigma^2}
▶weighted_avg_chronommafloatalphacollapse

Cohort time-vol coupling

Liquidity-weighted average chronomma.

Weighted avg chronomma

∂4V/∂t2∂σ2‾\overline{\partial^4 V/\partial t^2 \partial \sigma^2}
▶weighted_avg_quatrommafloatalphacollapse

Cohort extreme vol

Liquidity-weighted average quatromma.

Weighted avg quatromma

∂4V/∂σ4‾\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

∂4V/∂S4‾\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

−∂4V/∂S3∂t‾\overline{-\partial^4 V/\partial S^3 \partial t}
▶weighted_avg_volaspeedafloatalphacollapse

Cohort convexity stability

Liquidity-weighted average volaspeeda.

Weighted avg volaspeeda

∂4V/∂S3∂σ‾\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

−∂4V/∂S2∂σ∂t‾\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

−∂4V/∂S∂σ2∂t‾\overline{-\partial^4 V/\partial S \partial \sigma^2 \partial t}
▶weighted_avg_vannaccelfloatalphacollapse

Cohort vanna momentum

Liquidity-weighted average vannaccel.

Weighted avg vannaccel

∂4V/∂S∂σ∂t2‾\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

−∂4V/∂S∂σ∂K∂t‾\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

∑Δi\sum \Delta_i
▶sum_gammafloatprocollapse

Total gamma exposure in this cohort

Sum of gamma. Total convexity.

Sum gamma

∑Γi\sum \Gamma_i
▶sum_vegafloatprocollapse

Total vega exposure in this cohort

Sum of vega. Total vol sensitivity.

Sum vega

∑νi\sum \nu_i
▶sum_thetafloatprocollapse

Total daily decay in this cohort

Sum of theta. Total daily bleed.

Sum theta

∑Θi\sum \Theta_i
▶sum_speedfloatalphacollapse

Total speed

Sum of speed across cohort.

Sum speed

∑speedi\sum \text{speed}_i
▶sum_zommafloatalphacollapse

Total zomma

Sum of zomma across cohort.

Sum zomma

∑zommai\sum \text{zomma}_i
▶sum_colorfloatalphacollapse

Total color

Sum of color across cohort.

Sum color

∑colori\sum \text{color}_i
▶sum_ultimafloatalphacollapse

Total ultima

Sum of ultima across cohort.

Sum ultima

∑ultimai\sum \text{ultima}_i
▶sum_instabilityfloatalphacollapse

Total instability exposure

Sum of instability across cohort.

Sum instability

∑instabilityi\sum \text{instability}_i

ORIA uses this to

Internal scoring input.

▶sum_echofloatalphacollapse

Total echo

Sum of echo across cohort.

Sum echo

∑echoi\sum \text{echo}_i

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