Greeks

Greek ratios

Returns 22 cross-Greek ratios per option across 5 analytical tiers: convexity dynamics, vol regime, cross-derivative intelligence, time decay, and efficiency. These ratios transform raw Greeks into predictive intelligence for regime change prediction and convexity analysis. All ratios are bounded to prevent overflow and calibrated through 6 rounds of empirical threshold tuning.

GET/v1/greeks/ratiosproalpha

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, 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. Aligned to 10-minute boundary.
`coin`	`string`	pro	Underlying asset.
`instrument_id`	`integer`	pro	Internal instrument PK.
`instrument_name`	`string`	pro	Deribit canonical name, e.g. BTC-28MAR26-80000-C.
`option_type`	`string`	pro	Call or put.
`underlying_price`	`float`	pro	Spot price at snapshot time.
`strike`	`float`	pro	Strike price.
`days_to_expiry`	`integer`	pro	Calendar days to expiration.
`iv`	`float`	pro	Implied volatility used for ratio computation.
`reliability_score`	`integer`	pro	Source data reliability (0-100).
`calculation_quality_score`	`integer`	pro	Ratio computation quality (0-100). Based on null count and bound saturation.
`null_ratio_count`	`integer`	pro	How many of the 22 ratios could not be computed (denominator too small).
`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 ↓
`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 ↓

Derived Fields

FieldTypeTiercollapse all

▶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.

▶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.

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 of all 22 ratios aggregated per cohort (28 cohorts per coin). Reveals whether signals are concentrated in specific moneyness/expiry zones 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.