Greeks

Greek ratios

Returns 35 cross-Greek ratios per option across 8 analytical tiers: emergency detection, convexity dynamics, vol regime, cross-derivative intelligence, time decay, surface dynamics, efficiency, and cross-order. These ratios turn raw Greeks into regime-change and convexity signals. All ratios are bounded to prevent overflow and calibrated through 6 rounds of empirical threshold tuning.

GET/v1/greeks/ratioscoreproalpha

Query Parameters

coinstringrequired

Underlying asset. Required.

e.g.BTCETHSOL

instrument_idintegeroptional

Filter by instrument_id (integer PK).

e.g.4812

option_typestringoptional

Filter: call or put.

e.g.callput

fromstringoptional

Start of time range, UTC. ISO 8601. Default: latest snapshot.

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

tostringoptional

End of time range, 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.

Field	Type	Tier	Description
`timestamp`	`datetime`	core	Snapshot time in UTC. Aligned to 10-minute boundary.
`coin`	`string`	core	Underlying asset.
`instrument_id`	`integer`	core	Internal instrument PK.
`instrument_name`	`string`	core	Deribit canonical name, e.g. BTC-28MAR26-80000-C.
`option_type`	`string`	core	Call or put.
`underlying_price`	`float`	core	Spot price at snapshot time.
`strike`	`float`	core	Strike price.
`days_to_expiry`	`integer`	core	Calendar days to expiration.
`iv`	`float`	core	Implied volatility used for ratio computation.
`reliability_score`	`integer`	core	Source data reliability (0-100).
`calculation_quality_score`	`integer`	core	Ratio computation quality (0-100). Based on null count and bound saturation.
`null_ratio_count`	`integer`	core	How many of the 35 ratios could not be computed (denominator too small).
`instability_vanna_ratio`	`float`	alpha	Is the gamma-volatility coupling breaking down? See detail ↓
`vannaccel_vanna_ratio`	`float`	alpha	How fast is the price-vol coupling accelerating? See detail ↓
`quatrospeeda_speed_ratio`	`float`	alpha	Is the pricing surface becoming hypersensitive to small spot moves? See detail ↓
`echo_vanna_ratio`	`float`	alpha	How sensitive is delta to volatility stress? See detail ↓
`speed_gamma_ratio`	`float`	pro	How fast is gamma accelerating relative to its current level? See detail ↓
`gamma_delta_ratio`	`float`	pro	How much convexity per unit of directional exposure? See detail ↓
`color_gamma_ratio`	`float`	pro	How fast is gamma decaying over time? See detail ↓
`vanna_gamma_ratio`	`float`	pro	How strong is the price-vol coupling relative to convexity? See detail ↓
`vomma_vega_ratio`	`float`	pro	Is vol exposure accelerating or decelerating? See detail ↓
`ultima_vomma_ratio`	`float`	pro	Is the vol regime approaching an extreme? See detail ↓
`chronomma_vomma_ratio`	`float`	alpha	Is time-vol coupling stable? See detail ↓
`volaspeeda_speed_ratio`	`float`	alpha	Is convexity stable across vol regimes? See detail ↓
`quatromma_vomma_ratio`	`float`	alpha	Is fourth-order vol behavior diverging from second-order? See detail ↓
`zomma_vanna_ratio`	`float`	alpha	How does gamma-vol sensitivity compare to delta-vol sensitivity? See detail ↓
`zomanna_vomma_ratio`	`float`	alpha	How does the vanna-vol relationship compare to vega-vol? See detail ↓
`gammega_vomma_ratio`	`float`	alpha	Is convexity stable under vol stress? See detail ↓
`vannacay_vanna_ratio`	`float`	alpha	How fast is vanna decaying relative to its current level? See detail ↓
`charm_delta_ratio`	`float`	alpha	How fast is directional exposure eroding? See detail ↓
`thetanna_theta_ratio`	`float`	alpha	Is time decay accelerating or decelerating? See detail ↓
`chronospeeda_speed_ratio`	`float`	alpha	How fast is gamma acceleration decaying over time? See detail ↓
`charisma_charm_ratio`	`float`	alpha	Is charm itself accelerating? See detail ↓
`surface_vanna_ratio`	`float`	alpha	How does vol sensitivity move across strikes rather than with spot? See detail ↓
`surface_charm_ratio`	`float`	alpha	Is time decay behaving differently across strikes? See detail ↓
`droplet_surface_ratio`	`float`	alpha	How fast is the strike-volatility relationship itself evolving? See detail ↓
`flare_surface_ratio`	`float`	alpha	How does strike-level convexity respond to a vol change? See detail ↓
`halo_vanna_ratio`	`float`	alpha	How does price-vol coupling vary from strike to strike? See detail ↓
`aurora_halo_ratio`	`float`	alpha	Is the whole spot-vol-strike structure changing with time? See detail ↓
`alpha_efficiency_ratio`	`float`	alpha	How efficient is gamma scalping on this option? See detail ↓
`alpha_precomputed_ratio`	`float`	alpha	Does our alpha Greek match the efficiency ratio? See detail ↓
`elasticity_delta_ratio`	`float`	alpha	How much leverage per unit of delta? See detail ↓
`rho_vega_ratio`	`float`	alpha	How do interest rate and vol sensitivities compare? See detail ↓
`veta_vega_ratio`	`float`	alpha	How fast is vega decaying relative to its current level? See detail ↓
`second_to_first_order_ratio`	`float`	alpha	How much of the risk has left the linear terms? See detail ↓
`third_to_second_order_ratio`	`float`	alpha	Is convexity itself unstable? See detail ↓
`fourth_to_third_order_ratio`	`float`	alpha	Has the expansion stopped converging? See detail ↓

Derived Fields

FieldTypeTiercollapse all

▶instability_vanna_ratiofloatalphacollapse

Is the gamma-volatility coupling breaking down?

Instability measures how the gamma-vol relationship itself moves with time. Normalising it by vanna asks whether that decay is large relative to the price-vol coupling it is decaying from. A rising ratio means hedges derived from current vanna are losing validity faster than vanna suggests.

Instability / Vanna

\frac{\text{instability}}{\text{vanna}}, \quad \text{instability} = \frac{\partial^4 V}{\partial S^2 \partial \sigma \partial t}

RangeBounded to +/-1,000.

▶vannaccel_vanna_ratiofloatalphacollapse

How fast is the price-vol coupling accelerating?

Vannaccel is the second time derivative of vanna. Against vanna itself it gives the acceleration as a fraction of the current level, which is what tells you whether a coupling shift is settling or still building.

Vannaccel / Vanna

\frac{\text{vannaccel}}{\text{vanna}}, \quad \text{vannaccel} = \frac{\partial^4 V}{\partial S \partial \sigma \partial t^2}

RangeBounded to +/-10,000.

▶quatrospeeda_speed_ratiofloatalphacollapse

Is the pricing surface becoming hypersensitive to small spot moves?

Fourth-order price sensitivity over third-order. When the ratio grows, each successive order of the spot expansion is contributing more than the last, which is the signature of a surface where a small move no longer produces a small revaluation.

Quatrospeeda / Speed

\frac{\text{quatrospeeda}}{\text{speed}}, \quad \text{quatrospeeda} = \frac{\partial^4 V}{\partial S^4}

RangeBounded to +/-100.

▶echo_vanna_ratiofloatalphacollapse

How sensitive is delta to volatility stress?

Echo carries a second vol derivative where vanna carries one, so the ratio isolates the convex part of the delta response to volatility. High values mean a vol move of twice the size does considerably more than twice the damage to your delta.

Echo / Vanna

\frac{\text{echo}}{\text{vanna}}, \quad \text{echo} = \frac{\partial^4 V}{\partial S \partial \sigma^2 \partial t}

RangeBounded to +/-1,000.

▶speed_gamma_ratiofloatprocollapse

How fast is gamma accelerating relative to its current level?

Convexity acceleration. High values mean gamma is changing rapidly with spot, requiring more frequent hedge rebalancing. Speed/gamma above 0.08 indicates convexity intensification.

Speed / Gamma

\frac{\text{speed}}{\gamma}

RangeBounded to +/-10,000.

▶gamma_delta_ratiofloatprocollapse

How much convexity per unit of directional exposure?

Directional convexity coupling. Tells you whether the position is more "directional" (low ratio) or more "convex" (high ratio). High ratio = gamma-dominant, small spot moves cause large delta swings.

Gamma / Delta

\frac{\gamma}{\Delta}

RangeBounded to +/-10,000. Can be large for near-ATM options.

▶color_gamma_ratiofloatprocollapse

How fast is gamma decaying over time?

Time-convexity evolution. Color measures gamma decay rate. This ratio normalizes it to current gamma level. High values near expiry signal rapidly evaporating convexity.

Color / Gamma

\frac{\text{color}}{\gamma}

RangeBounded to +/-1,000.

▶vanna_gamma_ratiofloatprocollapse

How strong is the price-vol coupling relative to convexity?

Measures the relative importance of vol-spot correlation vs pure convexity. Can be astronomically large near expiry (BTC values regularly exceed 10,000). Wide bounds for a reason.

Vanna / Gamma

\frac{\text{vanna}}{\gamma}

RangeBounded to +/-500,000.

▶vomma_vega_ratiofloatprocollapse

Is vol exposure accelerating or decelerating?

Volatility sustainability. High ratio = vega accelerates as vol rises (desirable for long vol). Low or negative = vega decelerates (vol exposure is self-limiting).

Vomma / Vega

\frac{\text{vomma}}{\nu}

RangeBounded to +/-1,000.

▶ultima_vomma_ratiofloatprocollapse

Is the vol regime approaching an extreme?

Extreme vol detector. When ultima/vomma spikes, vol-of-vol is accelerating beyond what vomma alone can capture. Signals tail-risk hedge preparation.

Ultima / Vomma

\frac{\text{ultima}}{\text{vomma}}

RangeBounded to +/-1,000.

▶chronomma_vomma_ratiofloatalphacollapse

Is time-vol coupling stable?

Time-volatility regime indicator. Measures whether the vomma structure is stable over time or deteriorating.

Chronomma / Vomma

\frac{\text{chronomma}}{\text{vomma}}

RangeBounded to +/-10,000.

▶volaspeeda_speed_ratiofloatalphacollapse

Is convexity stable across vol regimes?

Vol-convexity regime stability. Measures whether gamma acceleration (speed) holds up as vol changes. Stable ratio = resilient convexity.

Volaspeeda / Speed

\frac{\text{volaspeeda}}{\text{speed}}

RangeBounded to +/-1,000.

▶quatromma_vomma_ratiofloatalphacollapse

Is fourth-order vol behavior diverging from second-order?

Fourth-order vol analysis. When quatromma/vomma diverges from ultima/vomma, the vol surface is entering uncharted mathematical territory.

Quatromma / Vomma

\frac{\text{quatromma}}{\text{vomma}}

RangeBounded to +/-1,000.

▶zomma_vanna_ratiofloatalphacollapse

How does gamma-vol sensitivity compare to delta-vol sensitivity?

Gamma-vol vs delta-vol coupling. Zomma/vanna above 2.1 indicates regime persistence; below 1.3 signals imminent transition.

Zomma / Vanna

\frac{\text{zomma}}{\text{vanna}}

RangeBounded to +/-1,000.

▶zomanna_vomma_ratiofloatalphacollapse

How does the vanna-vol relationship compare to vega-vol?

Cross-volatility relationship. Measures whether price-vol and pure-vol sensitivities are evolving in sync.

Zomanna / Vomma

\frac{\text{zomanna}}{\text{vomma}}

RangeBounded to +/-1,000.

▶gammega_vomma_ratiofloatalphacollapse

Is convexity stable under vol stress?

Convexity stability across vol regimes. When gammega/vomma exceeds 0.003 while quatromma/vomma stays below 0.001, convexity holds despite vol stress.

Gammega / Vomma

\frac{\text{gammega}}{\text{vomma}}

RangeBounded to +/-1,000.

▶vannacay_vanna_ratiofloatalphacollapse

How fast is vanna decaying relative to its current level?

Vanna temporal evolution. Tracks the persistence of the price-vol coupling. If decaying fast, hedges based on current vanna become stale quickly.

Vannacay / Vanna

\frac{\text{vannacay}}{\text{vanna}}

RangeBounded to +/-1,000.

▶charm_delta_ratiofloatalphacollapse

How fast is directional exposure eroding?

Time-directional coupling. Charm/delta tells you what fraction of your delta you lose per unit time. Critical for overnight hold decisions.

Charm / Delta

\frac{\text{charm}}{\Delta}

RangeBounded to +/-1,000.

▶thetanna_theta_ratiofloatalphacollapse

Is time decay accelerating or decelerating?

Time decay acceleration. Positive = theta is decelerating (good for short options). Negative = theta is accelerating (danger zone for sellers near expiry).

Thetanna / Theta

\frac{\text{thetanna}}{\theta}

RangeBounded to +/-1,000.

▶chronospeeda_speed_ratiofloatalphacollapse

How fast is gamma acceleration decaying over time?

Time-convexity evolution. Measures how quickly the speed signal deteriorates, informing gamma scalping exit timing.

Chronospeeda / Speed

\frac{\text{chronospeeda}}{\text{speed}}

RangeBounded to +/-1,000.

▶charisma_charm_ratiofloatalphacollapse

Is charm itself accelerating?

Charm acceleration. When this spikes, delta is about to change direction or magnitude suddenly. Second-order time-directional warning.

Charisma / Charm

\frac{\text{charisma}}{\text{charm}}

RangeBounded to +/-1,000.

▶surface_vanna_ratiofloatalphacollapse

How does vol sensitivity move across strikes rather than with spot?

Surface vanna differentiates by strike where ordinary vanna differentiates by spot. The ratio says how much of the vol response belongs to strike position rather than to where spot happens to be, which is what separates a surface repricing from a directional move.

Surface Vanna / Vanna

\frac{\text{surface vanna}}{\text{vanna}}, \quad \text{surface vanna} = \frac{\partial^2 V}{\partial K \partial \sigma}

RangeBounded to +/-5,000.

▶surface_charm_ratiofloatalphacollapse

Is time decay behaving differently across strikes?

The strike-space counterpart of charm, normalised by charm itself. When it moves, the decay profile is tilting across the strike ladder rather than uniformly, so a hedge calibrated at one strike stops holding at its neighbours.

Surface Charm / Charm

\frac{\text{surface charm}}{\text{charm}}, \quad \text{surface charm} = \frac{\partial^2 V}{\partial K \partial t}

RangeBounded to +/-5,000.

▶droplet_surface_ratiofloatalphacollapse

How fast is the strike-volatility relationship itself evolving?

Droplet adds a time derivative to surface vanna, so this ratio is the decay rate of strike-vol sensitivity expressed as a fraction of its current level. It tells you how long a strike-selection decision stays valid.

Droplet / Surface Vanna

\frac{\text{droplet}}{\text{surface vanna}}, \quad \text{droplet} = \frac{\partial^3 V}{\partial K \partial \sigma \partial t}

RangeBounded to +/-1,000.

▶flare_surface_ratiofloatalphacollapse

How does strike-level convexity respond to a vol change?

Flare is the vol sensitivity of dual gamma, the curvature of value across strikes. Measured against surface vanna it separates strikes whose curvature holds through a vol regime shift from those whose curvature does not.

Flare / Surface Vanna

\frac{\text{flare}}{\text{surface vanna}}, \quad \text{flare} = \frac{\partial^3 V}{\partial K^2 \partial \sigma}

RangeBounded to +/-1,000.

▶halo_vanna_ratiofloatalphacollapse

How does price-vol coupling vary from strike to strike?

Halo is vanna differentiated once more by strike, so this ratio measures the dispersion of the price-vol coupling across the ladder. Near zero the coupling is flat and one vanna hedge covers the book. Away from zero it does not.

Halo / Vanna

\frac{\text{halo}}{\text{vanna}}, \quad \text{halo} = \frac{\partial^3 V}{\partial S \partial \sigma \partial K}

RangeBounded to +/-5,000.

▶aurora_halo_ratiofloatalphacollapse

Is the whole spot-vol-strike structure changing with time?

Aurora is the fourth-order cross derivative in spot, vol, strike and time, the highest-order object in the set. Against halo it gives the time evolution of cross-strike coupling as a fraction of the coupling itself. Read it as a structural indicator, not a trade trigger.

Aurora / Halo

\frac{\text{aurora}}{\text{halo}}, \quad \text{aurora} = \frac{\partial^4 V}{\partial S \partial \sigma \partial K \partial t}

RangeBounds adapt to days to expiry: +/-100 under 7d, +/-1,500 from 7 to 30d, +/-5,000 beyond 30d.

▶alpha_efficiency_ratiofloatalphacollapse

How efficient is gamma scalping on this option?

Gamma trading efficiency: |theta| / gamma. Lower values = cheaper gamma (less daily theta bleed per unit of convexity). The primary metric for constructing gamma books. Requires gamma >= 0.001, otherwise NULL.

|Theta| / Gamma

\frac{|\theta|}{\gamma}

RangeUnbounded (gamma threshold: 0.001). Lower = better gamma value.

▶alpha_precomputed_ratiofloatalphacollapse

Does our alpha Greek match the efficiency ratio?

Verification: the alpha Greek from /v1/greeks/snapshot should equal alpha_efficiency_ratio. Discrepancies indicate computation issues. Diagnostic field.

Direct alpha verification

\alpha \text{ (from Greeks table)}

RangeShould equal alpha_efficiency_ratio.

▶elasticity_delta_ratiofloatalphacollapse

How much leverage per unit of delta?

Leverage efficiency. Elasticity/delta simplifies to S/V (spot/option price). A measure of how much "bang for your buck" you get. Extremely high for deep OTM.

Elasticity / Delta

\frac{\Lambda}{\Delta} = \frac{S}{V}

RangeBounded to +/-100,000. Can be very large for cheap OTM options.

▶rho_vega_ratiofloatalphacollapse

How do interest rate and vol sensitivities compare?

Interest-vol sensitivity balance. In crypto, this connects DeFi rates to vol exposure. When rho/vega shifts, the implied risk-free rate is moving relative to vol expectations.

Rho / Vega

\frac{\rho}{\nu}

RangeBounded to +/-1,000.

▶veta_vega_ratiofloatalphacollapse

How fast is vega decaying relative to its current level?

Vega time decay efficiency. Tells you what fraction of your vega you lose per unit time. Important for timing vol trades.

Veta / Vega

\frac{\text{veta}}{\nu}

RangeBounded to +/-1,000.

▶second_to_first_order_ratiofloatalphacollapse

How much of the risk has left the linear terms?

Summed second-order Greeks over summed first-order Greeks. Low values mean delta and vega still describe the position. As it rises, convexity is carrying risk that a first-order hedge does not see.

Second / first order

\frac{\sum |\text{2nd order}|}{\sum |\text{1st order}|}

RangeZero to 10,000.

▶third_to_second_order_ratiofloatalphacollapse

Is convexity itself unstable?

The same comparison one order up. When both this and the second-to-first ratio rise together, the expansion is not converging and each additional order matters more than the last.

Third / second order

\frac{\sum |\text{3rd order}|}{\sum |\text{2nd order}|}

RangeZero to 10,000.

▶fourth_to_third_order_ratiofloatalphacollapse

Has the expansion stopped converging?

The highest-order comparison available. Sustained values above the low end mean the fourth-order layer is no longer a correction term, and position risk should be measured by revaluation rather than by Greeks.

Fourth / third order

\frac{\sum |\text{4th order}|}{\sum |\text{3rd order}|}

RangeZero to 100,000.

Suggested Calculations

Not included in the API response. Compute these client-side from the fields above. Formulas and context provided.

FieldTypeInputsexpand all

▶cohort_aggregated_ratiosobjectclient-sideWhat do these ratios look like aggregated across a cohort of options?expand

What do these ratios look like aggregated across a cohort of options?

Liquidity-weighted averages, medians, and standard deviations for 15 of these ratios, aggregated per cohort (28 cohorts per coin). Shows whether a signal is concentrated in one moneyness or expiry zone, or broad-based.

Or use the pre-computed endpointalpha

Pre-aggregated per cohort at /v1/greeks/cohort with weighted averages, medians, and std for key ratios.