Greeks

Greeks snapshot

Returns our full 37-Greek surface per option, computed independently from Deribit using Black-Scholes with our own IV calculation, implied risk-free rate, and reliability scoring. One row per instrument per timestamp. Joins the blackscholes pricing table and the blackscholes_greeks table for a unified view: pricing, volatility, quality metrics, and all 37 Greeks from first through fourth order.

GET/v1/greeks/snapshotproalpha

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 of the underlying at snapshot time.
`strike`	`float`	pro	Strike price.
`expiration_timestamp`	`datetime`	pro	Option expiration time in UTC.
`days_to_expiry`	`integer`	pro	Calendar days to expiration.
`time_to_expiry`	`float`	pro	Time to expiry in years (fractional). Used in BS formula.
`contract_size`	`float`	pro	Contract multiplier. Joined from instruments.
`mark_price_usd`	`float`	pro	Deribit mark price converted to USD.
`theoretical_price_usd`	`float`	pro	Our Black-Scholes theoretical price in USD.
`mark_price_ccy`	`float`	pro	Deribit mark price in base currency (e.g. BTC).
`theoretical_price_ccy`	`float`	pro	Our theoretical price in base currency.
`price_deviation_pct`	`float`	pro	Percentage difference between mark and theoretical. Large deviations signal mispricing or model disagreement.
`bs_price`	`float`	pro	Raw BS price from the Greeks engine (may differ from theoretical_price_ccy due to rounding).
`mark_iv_pct`	`float`	pro	Deribit mark implied volatility as percentage.
`iv_pct`	`float`	pro	Our calculated implied volatility as percentage. May differ from Deribit mark_iv.
`implied_rfr_pct`	`float`	alpha	Implied risk-free rate as percentage, extracted from put-call parity. Proprietary computation.
`reliability_score`	`integer`	pro	Overall reliability score (0-100). Based on price validity, IV reliability, and liquidity.
`liquidity_score`	`integer`	pro	Liquidity score (0-100). Based on spread, depth, volume.
`is_valid_cp_pair`	`boolean`	alpha	True if call-put parity holds within tolerance. Used for implied risk-free rate extraction.
`is_reliable_iv`	`boolean`	alpha	True if implied volatility is reliable (price not too low, sufficient liquidity).
`volume_usd`	`float`	pro	Trading volume in USD.
`open_interest`	`float`	pro	Open interest in base currency contracts.
`fallback`	`string`	alpha	NULL if computed normally. Otherwise describes the fallback method used (e.g. rate interpolation). Diagnostic field.
`d1`	`float`	pro	Standardized log-distance to strike, adjusted for drift and vol See detail ↓
`d2`	`float`	pro	Risk-adjusted distance to strike (exercise probability) See detail ↓
`delta`	`float`	pro	How much does the option price move per $1 spot move? See detail ↓
`gamma`	`float`	pro	How fast does delta change as spot moves? See detail ↓
`theta`	`float`	pro	How much value does the option lose per day from time decay? See detail ↓
`vega`	`float`	pro	How sensitive is the price to a 1% change in implied vol? See detail ↓
`rho`	`float`	pro	How sensitive is the price to interest rate changes? See detail ↓
`elasticity`	`float`	pro	What is the leverage ratio of this option? See detail ↓
`dual_delta`	`float`	pro	How does the option price change with respect to strike? See detail ↓
`alpha`	`float`	pro	How much does gamma cost per unit of daily theta? See detail ↓
`dual_gamma`	`float`	pro	How sharp is the curvature at this strike? See detail ↓
`vanna`	`float`	pro	How does delta change when vol changes? (or: how does vega change when spot moves?) See detail ↓
`charm`	`float`	pro	How fast does delta decay over time? See detail ↓
`vomma`	`float`	pro	How does vega change when vol changes? See detail ↓
`veta`	`float`	pro	How does vega erode over time? See detail ↓
`thetanna`	`float`	alpha	Is time decay accelerating or decelerating? See detail ↓
`surface_vanna`	`float`	alpha	How does strike sensitivity change when vol shifts? See detail ↓
`surface_charm`	`float`	alpha	How does strike sensitivity change as time passes? See detail ↓
`speed`	`float`	pro	How fast does gamma change as spot moves? See detail ↓
`color`	`float`	pro	How fast does gamma decay over time? See detail ↓
`zomma`	`float`	pro	How does gamma change when vol changes? See detail ↓
`zomanna`	`float`	alpha	How does vanna change when vol changes? See detail ↓
`ultima`	`float`	pro	How does vomma change when vol changes? See detail ↓
`vannacay`	`float`	alpha	How does vanna decay over time? See detail ↓
`charisma`	`float`	alpha	How fast does charm accelerate? See detail ↓
`droplet`	`float`	alpha	How does surface_vanna evolve over time? See detail ↓
`flare`	`float`	alpha	How does dual_gamma change when vol changes? See detail ↓
`lightning`	`float`	alpha	Where are the fracture zones between strikes? See detail ↓
`halo`	`float`	alpha	Can a vol shock shift which strike is the dominant magnet? See detail ↓
`gammega`	`float`	alpha	How does gamma-vol coupling evolve across vol regimes? See detail ↓
`chronomma`	`float`	alpha	How does time-vol coupling accelerate? See detail ↓
`quatromma`	`float`	alpha	How extreme can vol-of-vol-of-vol get? See detail ↓
`quatrospeeda`	`float`	alpha	Fourth-order price convexity See detail ↓
`chronospeeda`	`float`	alpha	How does speed decay over time? See detail ↓
`volaspeeda`	`float`	alpha	How does speed change with vol? See detail ↓
`instability`	`float`	alpha	Fourth-order gamma-vol-time coupling See detail ↓
`echo`	`float`	alpha	Fourth-order vanna-vol-time coupling See detail ↓
`vannaccel`	`float`	alpha	Fourth-order vanna time acceleration See detail ↓
`aurora`	`float`	alpha	Fourth-order surface meta-stability See detail ↓

Derived Fields

FieldTypeTiercollapse all

▶d1floatprocollapse

Standardized log-distance to strike, adjusted for drift and vol

The d1 parameter is the core building block of Black-Scholes. It represents how many standard deviations the current spot price is above the strike, adjusted for the expected drift (risk-free rate) and volatility over the remaining life of the option. N(d1) gives the delta of a call option.

Black-Scholes d1

d_1 = \frac{\ln(S/K) + (r + \sigma^2/2)\,T}{\sigma\sqrt{T}}

RangeTypically -4 to +4. Deep ITM: large positive. Deep OTM: large negative.

▶d2floatprocollapse

Risk-adjusted distance to strike (exercise probability)

The d2 parameter is d1 minus the total volatility over the life of the option. N(d2) gives the risk-neutral probability that the option will be exercised (finish in-the-money). The gap between d1 and d2 widens with higher volatility or longer time to expiry.

Black-Scholes d2

d_2 = d_1 - \sigma\sqrt{T}

RangeAlways less than d1. Same scale.

▶deltafloatprocollapse

How much does the option price move per $1 spot move?

The most fundamental Greek. Measures directional exposure. A delta of 0.6 means the option gains approximately $600 per $1,000 move in the underlying. In crypto, where 5-10% daily moves are common, delta determines how aggressively your position responds to price action.

Delta (call / put)

\Delta_{\text{call}} = N(d_1) \qquad \Delta_{\text{put}} = N(d_1) - 1

RangeCalls: 0 to 1. Puts: -1 to 0. ATM options: ~0.5 / -0.5.

▶gammafloatprocollapse

How fast does delta change as spot moves?

Measures convexity: how rapidly your directional exposure accelerates. High gamma means delta changes quickly, requiring frequent hedge rebalancing. During flash crashes, options with high gamma demand immediate attention. Gamma is highest for ATM, near-expiry options.

Gamma

\Gamma = \frac{\phi(d_1)}{S \, \sigma \sqrt{T}}

RangeAlways positive. BTC ATM near-expiry: 0.00001-0.0001. Peaks at ATM.

▶thetafloatprocollapse

How much value does the option lose per day from time decay?

The cost of holding an option position. In crypto 24/7 markets, theta works continuously without weekends or holidays. Negative for long options (value erodes), positive for short options (value accrues). Theta accelerates as expiry approaches.

Theta (daily, call)

\Theta_{\text{call}} = -\frac{S \, \phi(d_1) \, \sigma}{2\sqrt{T}} - r\,K\,e^{-rT}\,N(d_2)

RangeNegative for longs. BTC ATM: -$50 to -$500/day depending on DTE and spot.

▶vegafloatprocollapse

How sensitive is the price to a 1% change in implied vol?

In crypto, where IV can spike from 50% to 150% on regulatory news or exchange hacks, vega determines whether that vol move makes or breaks your position. Vega is highest for ATM, longer-dated options.

Vega

\nu = S \, \phi(d_1) \, \sqrt{T}

RangeAlways positive for long options. Higher for longer-dated, ATM.

▶rhofloatprocollapse

How sensitive is the price to interest rate changes?

Connects DeFi lending rates, staking yields, and funding rates to options pricing. Less critical for short-dated crypto options, but important for longer-dated analysis and for our implied risk-free rate extraction via put-call parity.

Rho (call / put)

\rho_{\text{call}} = K\,T\,e^{-rT}\,N(d_2) \qquad \rho_{\text{put}} = -K\,T\,e^{-rT}\,N(-d_2)

RangeCalls: positive. Puts: negative. Small magnitude for short-dated options.

▶elasticityfloatprocollapse

What is the leverage ratio of this option?

Percentage change in option price for a 1% change in spot. A leverage metric: elasticity of 7 means the option returns 7% for every 1% spot move. Higher for OTM options (cheap premium, high leverage). Allows standardized comparison across BTC ($87K) and altcoins.

Elasticity (Lambda)

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

RangeTypically 2-20. Deep OTM: can exceed 50. ATM: ~5-8.

▶dual_deltafloatprocollapse

How does the option price change with respect to strike?

The strike-axis sensitivity. Profiles option value along the strike dimension. Used in the GEX pinning engine: high dual_delta differentials between adjacent strikes signal mispricing opportunities.

Dual Delta (call / put)

\frac{\partial V}{\partial K}_{\text{call}} = -e^{-rT}\,N(d_2) \qquad \frac{\partial V}{\partial K}_{\text{put}} = e^{-rT}\,N(-d_2)

RangeCalls: negative (higher K = lower call value). Puts: positive.

▶alphafloatprocollapse

How much does gamma cost per unit of daily theta?

The gamma scalping efficiency metric. Lower alpha = cheaper gamma (less theta decay per unit of convexity). Compare across strikes and expiries to find the best gamma-scalping candidates. This is the ratio institutional traders optimize when constructing gamma books.

Alpha (Gamma Rent)

\alpha = \frac{|\Theta|}{\Gamma}

RangePositive. Lower = cheaper gamma. Typical BTC ATM: 50-300.

▶dual_gammafloatprocollapse

How sharp is the curvature at this strike?

Second derivative with respect to strike. High dual_gamma = strong pinning magnet. Hedge adjustments accelerate near this strike, creating the gravitational pull visible in GEX pinning analysis.

Dual Gamma

\frac{\partial^2 V}{\partial K^2} = \frac{e^{-rT}\,\phi(d_2)}{K\,\sigma\sqrt{T}}

RangeAlways positive. Peaks at ATM. Key input to GEX pinning engine.

▶vannafloatprocollapse

How does delta change when vol changes? (or: how does vega change when spot moves?)

The cross-derivative linking price and volatility. During crypto crashes, prices fall and vol spikes simultaneously. Vanna tells you how much your directional exposure (delta) shifts in that scenario. Essential for vol-spot correlation trading.

Vanna

\text{Vanna} = \frac{\partial^2 V}{\partial S \, \partial \sigma} = \frac{\partial \Delta}{\partial \sigma} = \frac{\partial \nu}{\partial S}

RangePositive or negative. Large magnitude during crash conditions.

ORIA uses this to

Used in cross-derivative ratio analysis. Key input for vol-regime and convexity scoring.

▶charmfloatprocollapse

How fast does delta decay over time?

Delta decay rate. Tells you how your directional exposure erodes as time passes. Critical near expiry in crypto 24/7 markets where time decay is continuous. Also known as delta bleed. Negative charm means delta is shrinking.

Charm (Delta Decay)

\text{Charm} = -\frac{\partial^2 V}{\partial S \, \partial t} = -\frac{\partial \Delta}{\partial t}

RangeTypically negative for long calls. Accelerates near expiry.

ORIA uses this to

Persistence Score input for GEX pinning. High charm relative to dual_gamma means the gamma magnet decays faster.

▶vommafloatprocollapse

How does vega change when vol changes?

Vol convexity. Tells you whether your vol exposure accelerates or decelerates as IV moves. Positive vomma means your vega increases as vol rises: a desirable property for long vol positions. Essential for managing positions through crypto volatility regime transitions.

Vomma (Volga)

\text{Vomma} = \frac{\partial^2 V}{\partial \sigma^2} = \frac{\partial \nu}{\partial \sigma}

RangePositive for OTM options, near-zero for ATM. Higher for longer-dated.

▶vetafloatprocollapse

How does vega erode over time?

Vega decay rate. Tells you how your vol sensitivity diminishes as time passes. Informs optimal timing for entering and exiting volatility trades.

Veta (Vega Decay)

\text{Veta} = -\frac{\partial^2 V}{\partial \sigma \, \partial t} = -\frac{\partial \nu}{\partial t}

RangeTypically negative (vega decays over time).

▶thetannafloatalphacollapse

Is time decay accelerating or decelerating?

Second derivative with respect to time. Positive means theta is decelerating (slowing down). Negative means theta is accelerating (speeding up). In crypto 24/7 markets, reveals time decay patterns unique to continuous trading.

Thetanna

\text{Thetanna} = \frac{\partial^2 V}{\partial t^2}

RangePositive or negative. Negative near expiry (theta accelerating).

▶surface_vannafloatalphacollapse

How does strike sensitivity change when vol shifts?

Strike-vol cross derivative. Reveals which strikes become more or less attractive during vol regime changes. When BTC IV spikes from 50% to 100%, positive surface_vanna indicates OTM options gaining relative value. Stability Score input for GEX pinning.

Surface Vanna

\text{Surface Vanna} = \frac{\partial^2 V}{\partial K \, \partial \sigma}

RangePositive or negative. Higher magnitude during vol transitions.

ORIA uses this to

Stability Score input for GEX pinning. High surface_vanna means the gamma magnet is fragile to IV changes.

▶surface_charmfloatalphacollapse

How does strike sensitivity change as time passes?

Strike-time cross derivative. Captures how strike preferences evolve as expiry approaches. Reveals optimal timing strategies for strike rotation. Persistence Score input for GEX pinning.

Surface Charm

\text{Surface Charm} = -\frac{\partial^2 V}{\partial K \, \partial t}

RangeTypically negative (strike sensitivity decays with time).

ORIA uses this to

Persistence Score input for GEX pinning. High surface_charm means gamma at this strike decays faster.

▶speedfloatprocollapse

How fast does gamma change as spot moves?

Gamma acceleration. Market makers use speed to adjust gamma exposure during parabolic price moves. Speed/gamma ratios above 0.08 indicate convexity intensification during price movements.

Speed

\text{Speed} = \frac{\partial^3 V}{\partial S^3} = \frac{\partial \Gamma}{\partial S}

RangeSmall magnitude. Sign indicates gamma curvature direction.

▶colorfloatprocollapse

How fast does gamma decay over time?

Gamma decay rate. When color exceeds certain thresholds, gamma positions lose convexity at accelerating rates, signaling optimal exit timing 2-4 days before expiration.

Color (Gamma Decay)

\text{Color} = -\frac{\partial^3 V}{\partial S^2 \, \partial t} = -\frac{\partial \Gamma}{\partial t}

RangeSmall magnitude. Negative means gamma is decaying.

▶zommafloatprocollapse

How does gamma change when vol changes?

Convexity-vol coupling. Positive zomma above 0.15 signals gamma amplification during vol spikes, creating profit acceleration opportunities. Critical for maintaining appropriate gamma exposure during market transitions.

Zomma

\text{Zomma} = \frac{\partial^3 V}{\partial S^2 \, \partial \sigma} = \frac{\partial \Gamma}{\partial \sigma}

RangePositive or negative. Higher magnitude during regime shifts.

▶zomannafloatalphacollapse

How does vanna change when vol changes?

Second-order vol-spot coupling. Measures how the price-volatility relationship itself evolves across vol regimes. Useful for cross-asset portfolio construction (BTC vs ETH vs altcoin options with different vol profiles).

Zomanna

\text{Zomanna} = \frac{\partial^3 V}{\partial S \, \partial \sigma^2} = \frac{\partial \text{Vanna}}{\partial \sigma}

RangeSmall magnitude. Sign indicates vanna curvature in vol space.

▶ultimafloatprocollapse

How does vomma change when vol changes?

Third derivative with respect to vol. The extreme vol regime detector. Values exceeding 0.8 indicate extreme scenario preparation requirements. Essential for designing tail-risk hedges against black swan events.

Ultima

\text{Ultima} = \frac{\partial^3 V}{\partial \sigma^3} = \frac{\partial \text{Vomma}}{\partial \sigma}

RangeSmall magnitude. Matters during vol-of-vol events.

▶vannacayfloatalphacollapse

How does vanna decay over time?

Temporal evolution of the price-vol coupling. Important for complex multi-leg structures and structured products requiring precise exposure management.

Vannacay

\text{Vannacay} = -\frac{\partial^3 V}{\partial S \, \partial \sigma \, \partial t} = -\frac{\partial \text{Vanna}}{\partial t}

RangeSmall magnitude. Sign indicates vanna decay direction.

▶charismafloatalphacollapse

How fast does charm accelerate?

Delta-time acceleration. Identifies "delta time bombs" where directional exposure changes rapidly. Particularly valuable during high-stakes crypto expiration events.

Charisma

\text{Charisma} = \frac{\partial^3 V}{\partial S \, \partial t^2} = \frac{\partial \text{Charm}}{\partial t}

RangeSmall magnitude. Large values near expiry signal rapid delta shifts.

▶dropletfloatalphacollapse

How does surface_vanna evolve over time?

Temporal strike-vol coupling. During crypto stress events, predicts how strike selection effectiveness will evolve. If droplet is high, vol-sensitivity at a strike accelerates as expiry approaches. Persistence Score enhancer for GEX pinning.

Droplet (Surface Temporal Vanna)

\text{Droplet} = -\frac{\partial^3 V}{\partial K \, \partial \sigma \, \partial t}

RangeSmall magnitude. Sign indicates surface_vanna decay direction.

ORIA uses this to

Persistence Score enhancer for GEX pinning. High droplet means surface dynamics at this strike are time-sensitive.

▶flarefloatalphacollapse

How does dual_gamma change when vol changes?

Dual gamma-vol coupling. Reveals which strikes maintain optimal curvature during vol regime shifts. During exchange hacks or regulatory announcements, identifies which strikes to hedge. Stability Score enhancer for GEX pinning.

Flare (Dual Gamma-Vol)

\text{Flare} = \frac{\partial^3 V}{\partial K^2 \, \partial \sigma}

RangeSmall magnitude. Higher during regime transitions.

ORIA uses this to

Stability Score enhancer for GEX pinning. If flare is high, a vol spike reshapes the curvature landscape.

▶lightningfloatalphacollapse

Where are the fracture zones between strikes?

Third strike derivative. Identifies structural break points in the strike surface. High lightning between two strikes means the surface has a discontinuity: price entering this zone behaves chaotically.

Lightning

\text{Lightning} = \frac{\partial^3 V}{\partial K^3}

RangeSmall magnitude. Large values signal fracture zones.

▶halofloatalphacollapse

Can a vol shock shift which strike is the dominant magnet?

Spot-vol-strike coupling. When halo is high, a simultaneous spot and vol move can migrate the GEX magnet to a different strike. Shift Risk input for pinning analysis.

Halo (Cross-Surface Coupling)

\text{Halo} = \frac{\partial^3 V}{\partial S \, \partial \sigma \, \partial K}

RangeSmall magnitude. Large values mean unstable magnet assignment.

ORIA uses this to

Shift Risk input for GEX pinning. Determines whether the magnetic strike can migrate under stress.

▶gammegafloatalphacollapse

How does gamma-vol coupling evolve across vol regimes?

Fourth-order spot-vol coupling. When gammega exceeds 0.003 while quatromma remains below 0.001, it signals stable convexity despite vol stress. Part of the Volatility Regime Intelligence Network.

Gammega

\text{Gammega} = \frac{\partial^4 V}{\partial S^2 \, \partial \sigma^2}

RangeVery small magnitude. Matters during extreme regime transitions.

▶chronommafloatalphacollapse

How does time-vol coupling accelerate?

Fourth-order time-vol interaction. Values above 0.0004 signal time-volatility coupling instability. Part of the Temporal Evolution Analytics Suite.

Chronomma

\text{Chronomma} = \frac{\partial^4 V}{\partial t^2 \, \partial \sigma^2}

RangeVery small magnitude.

▶quatrommafloatalphacollapse

How extreme can vol-of-vol-of-vol get?

Fourth derivative with respect to vol. The extreme tail vol detector. Captures behaviors beyond what vomma and ultima can measure. When quatromma diverges from vomma, the vol surface is entering uncharted territory.

Quatromma

\text{Quatromma} = \frac{\partial^4 V}{\partial \sigma^4}

RangeVery small magnitude. Non-zero during extreme vol events.

▶quatrospeedafloatalphacollapse

Fourth-order price convexity

Fourth derivative with respect to spot. Measures how rapidly speed (third-order) itself changes. Indicates pricing surface hypersensitivity.

Quatrospeeda

\text{Quatrospeeda} = \frac{\partial^4 V}{\partial S^4}

RangeVery small magnitude.

ORIA uses this to

Internal scoring input.

▶chronospeedafloatalphacollapse

How does speed decay over time?

Third-order time-spot coupling. Values above 0.0006 indicate gamma acceleration deterioration. Part of the Temporal Evolution Analytics Suite.

Chronospeeda

\text{Chronospeeda} = -\frac{\partial^4 V}{\partial S^3 \, \partial t}

RangeVery small magnitude.

▶volaspeedafloatalphacollapse

How does speed change with vol?

Third-order spot-vol coupling. Values exceeding 0.0012 indicate convexity stability across vol regimes. Part of the Convexity Intelligence Architecture.

Volaspeeda

\text{Volaspeeda} = \frac{\partial^4 V}{\partial S^3 \, \partial \sigma}

RangeVery small magnitude.

▶instabilityfloatalphacollapse

Fourth-order gamma-vol-time coupling

Measures how gamma-vol coupling changes over time. A 4th-order Greek spanning the price, volatility, and time dimensions.

Instability

\text{Instability} = -\frac{\partial^4 V}{\partial S^2 \, \partial \sigma \, \partial t}

RangeVery small magnitude.

ORIA uses this to

Internal scoring input.

▶echofloatalphacollapse

Fourth-order vanna-vol-time coupling

Measures the rate at which vanna-vol coupling evolves over time. Spans price, vol-squared, and time dimensions.

Echo

\text{Echo} = -\frac{\partial^4 V}{\partial S \, \partial \sigma^2 \, \partial t}

RangeVery small magnitude.

ORIA uses this to

Internal scoring input.

▶vannaccelfloatalphacollapse

Fourth-order vanna time acceleration

Measures how the vanna-time relationship accelerates. A 4th-order Greek spanning price, vol, and time-squared.

Vannaccel

\text{Vannaccel} = \frac{\partial^4 V}{\partial S \, \partial \sigma \, \partial t^2}

RangeVery small magnitude.

ORIA uses this to

Internal scoring input.

▶aurorafloatalphacollapse

Fourth-order surface meta-stability

The only Greek spanning all four dimensions (spot, vol, strike, time). Measures overall surface evolution rate.

Aurora

\text{Aurora} = -\frac{\partial^4 V}{\partial S \, \partial \sigma \, \partial K \, \partial t}

RangeVery small magnitude.

ORIA uses this to

Internal scoring input.

Suggested Calculations

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

FieldTypeInputsexpand all

▶iv_premiumfloatclient-sideHow much does our IV differ from Deribit mark IV?expand

How much does our IV differ from Deribit mark IV?

Difference between our computed IV and Deribit mark IV. Positive = we compute higher IV. Persistent premiums indicate Deribit underpricing vol or our model detecting risk Deribit misses.

Inputsiv_pctmark_iv_pct

IV premium

\text{iv\_premium} = \text{iv\_pct} - \text{mark\_iv\_pct}

RangeTypically -2 to +2 pct points. Larger gaps signal illiquidity or model disagreement.

▶breakevenfloatclient-sideAt what price does this option break even at expiry?expand

At what price does this option break even at expiry?

The underlying price at which the option holder breaks even, accounting for the premium paid. For calls: strike + premium. For puts: strike - premium.

Inputsstriketheoretical_price_usdoption_type

Breakeven price at expiry

\text{breakeven} = \begin{cases} K + P_{\text{theo}} & \text{if call} \\ K - P_{\text{theo}} & \text{if put} \end{cases}

RangePositive. Calls: above strike. Puts: below strike.

▶gamma_theta_ratiofloatclient-sideHow much gamma do you get per dollar of daily theta?expand

How much gamma do you get per dollar of daily theta?

Inverse of the alpha field: gamma / |theta|. Higher = more convexity per unit of time decay. The gamma scalping attractiveness metric. Compare across strikes and expiries to find the cheapest gamma.

Inputsgammatheta

Gamma-to-theta ratio

\text{gamma\_theta} = \frac{\gamma}{|\theta|}

RangeZero or positive. Higher = cheaper gamma. Compare across instruments, not absolute.

▶moneynessfloatclient-sideHow far is this strike from spot?expand

How far is this strike from spot?

Simple moneyness ratio. Allows comparison across coins and price levels.

Inputsunderlying_pricestrike

Simple moneyness

\text{moneyness} = \frac{S}{K}

RangeTypically 0.5 to 2.0. ATM around 1.0.

▶greek_ratios_fullobjectclient-sideWhat are the 22 cross-Greek ratios for this option?expand

What are the 22 cross-Greek ratios for this option?

Five tiers of ratios: convexity dynamics (3), vol regime (6), cross-derivative (4), time decay (4), and efficiency (5). Used by ORIA for cohort-level scoring and behavioral classification.

Or use the pre-computed endpointalpha

All 22 ratios pre-computed per option per snapshot at /v1/greeks/ratios. Convexity + vol regime tiers available at Pro. Full 22 at Alpha.