Thermography

Greek time series

Per-strike Greek time series for selected strikes. Returns 10 Greeks + IV aggregated across all expirations at each strike, binned over the requested time range. Use after the volume heatmap to drill into Greek evolution at strikes with high activity. Source table: deribit_options_blackscholes_greeks.

GET/v1/thermography/greeksproalpha

Query Parameters

coinstringrequired

Underlying asset.

e.g.BTCETHSOL

strikesstringrequired

Comma-separated strike prices. Max 10.

e.g.100000,105000,110000

timeRangestringoptional

Lookback window. Default: 48H.

e.g.48H72H96H120H240H

limitintegeroptional

Max rows returned. Default 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	Time bin start in UTC.
`strike`	`float`	pro	Strike price.
`avg_call_delta`	`float`	pro	Average call delta at this strike.
`avg_put_delta`	`float`	pro	Average put delta at this strike.
`avg_gamma`	`float`	pro	Average gamma.
`avg_vega`	`float`	pro	Average vega.
`avg_theta`	`float`	pro	Average theta.
`avg_iv`	`float`	pro	Average implied volatility.
`avg_charm`	`float`	alpha	Average charm (delta decay).
`avg_vanna`	`float`	alpha	Average vanna (delta-vol cross).
`avg_vomma`	`float`	alpha	Average vomma (vega convexity).
`avg_speed`	`float`	alpha	Average speed (gamma-spot sensitivity).

Suggested Calculations

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

FieldTypeInputsexpand all

▶delta_velocityfloatclient-sideHow fast is delta changing at this strike?expand

How fast is delta changing at this strike?

First difference of avg_call_delta between consecutive time bins. Positive velocity means the strike is becoming more in-the-money (spot moving toward it). Rapid delta acceleration at a high-volume strike signals dealer hedging pressure is building.

Inputsavg_call_delta

Delta velocity (first difference)

\Delta\delta = \delta_{t} - \delta_{t-1}

▶gamma_vega_ratiofloatclient-sideSpot risk vs vol risk at this strikeexpand

Spot risk vs vol risk at this strike

Gamma / vega ratio. High values mean the strike is more sensitive to spot moves than vol moves (directional exposure). Low values mean vol moves dominate (vol trade). Track this ratio over time: a shift from vega-dominated to gamma-dominated at a high-volume strike means the market is transitioning from vol positioning to directional conviction.

Inputsavg_gammaavg_vega

Gamma-vega ratio

\text{ratio} = \frac{\gamma}{\nu}