Volatility

Volatility skew

Returns cross-moneyness volatility skew options-volatility-landscape per expiration tenor. One row per (coin, expiration_bucket, timestamp) for 4 tenors: DTE_7, DTE_30, DTE_60, DTE_LONG. Contains the trader-standard skew metrics (25-delta risk reversal, butterfly, put/call skew), deep OTM tail metrics, smile shape options-volatility-landscape, normalized metrics for cross-asset comparison, skew momentum with 1h/24h/6h lookbacks, and regime classifications. These are the numbers every vol desk checks before putting on a trade. Source: ORIA cohort_iv_skew pipeline (v3.3, operational since January 2026).

GET/v1/vol/skewproalpha

Query Parameters

coinstringrequired

Underlying asset. Required.

e.g.BTCETHSOL

expiration_bucketstringoptional

Filter: DTE_7, DTE_30, DTE_60, DTE_LONG. Default: all tenors.

e.g.DTE_7DTE_30

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, max 5000.

e.g.100

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 (BTC, ETH, SOL, XRP, AVAX, TRX).
`expiration_bucket`	`string`	pro	Tenor bucket: DTE_7 (weekly), DTE_30 (monthly), DTE_60 (quarterly), DTE_LONG (> 60 days).
`atm_iv_pct`	`float`	pro	ATM implied volatility (pct) for this tenor. Liquidity-weighted from the ATM cohort. The anchor for all skew calculations.
`atm_option_count`	`integer`	alpha	Number of options in the ATM cohort. Low count = less reliable skew.
`atm_liquidity_weight`	`float`	alpha	Total liquidity weight at ATM. Higher = more reliable anchor.
`near_below_iv_pct`	`float`	pro	NEAR_BELOW cohort IV (~25-delta puts). The put wing anchor.
`below_iv_pct`	`float`	pro	BELOW cohort IV (~15-delta puts).
`far_below_iv_pct`	`float`	pro	FAR_BELOW cohort IV (~10-delta puts). Deep OTM crash protection.
`near_above_iv_pct`	`float`	pro	NEAR_ABOVE cohort IV (~25-delta calls). The call wing anchor.
`above_iv_pct`	`float`	pro	ABOVE cohort IV (~15-delta calls).
`far_above_iv_pct`	`float`	pro	FAR_ABOVE cohort IV (~10-delta calls). Deep OTM upside.
`put_skew_25d_pct`	`float`	pro	How much are puts costing over ATM? The industry fear gauge. See detail ↓
`call_skew_25d_pct`	`float`	pro	How much are calls costing over ATM? Upside demand. See detail ↓
`risk_reversal_25d_pct`	`float`	pro	Directional sentiment from the options market. THE skew number. See detail ↓
`butterfly_25d_pct`	`float`	pro	How much are the wings worth vs ATM? Tail premium. See detail ↓
`deep_put_skew_pct`	`float`	pro	Crash protection premium: how expensive are far OTM puts? See detail ↓
`deep_call_skew_pct`	`float`	pro	Moonshot premium: how expensive are far OTM calls? See detail ↓
`deep_risk_reversal_pct`	`float`	pro	Tail asymmetry: are deep puts or deep calls more expensive? See detail ↓
`deep_butterfly_pct`	`float`	pro	Deep tail premium over ATM See detail ↓
`put_wing_steepness`	`float`	pro	How steeply does the put wing rise into the tail? See detail ↓
`call_wing_steepness`	`float`	pro	How steeply does the call wing rise? See detail ↓
`smile_asymmetry_pct`	`float`	pro	Is the smile tilted left (fear) or right (euphoria)? See detail ↓
`smile_convexity_pct`	`float`	pro	How curved is the overall smile? See detail ↓
`put_skew_normalized`	`float`	pro	Put skew adjusted for vol level: cross-asset comparable See detail ↓
`call_skew_normalized`	`float`	pro	Call skew normalized by ATM IV See detail ↓
`risk_reversal_normalized`	`float`	pro	Risk reversal normalized: the purest cross-asset sentiment comparison See detail ↓
`butterfly_normalized`	`float`	pro	Butterfly normalized by ATM IV See detail ↓
`deep_put_skew_normalized`	`float`	pro	Deep put skew normalized See detail ↓
`deep_butterfly_normalized`	`float`	pro	Deep butterfly normalized See detail ↓
`risk_reversal_change_1h_pct`	`float`	pro	Risk reversal change vs 1 hour ago. Fast-moving directional signal.
`risk_reversal_change_24h_pct`	`float`	pro	Risk reversal change vs 24 hours ago. Daily shift.
`put_skew_change_1h_pct`	`float`	pro	Put skew change vs 1 hour ago.
`put_skew_change_24h_pct`	`float`	pro	Put skew change vs 24 hours ago.
`put_skew_change_6h`	`float`	alpha	6-hour put skew change. Medium-term velocity. Feeds into the velocity regime classification.
`skew_momentum_direction`	`string`	pro	STEEPENING (put skew increasing), FLATTENING (decreasing), STABLE.
`skew_regime`	`string`	pro	Risk reversal regime: EXTREME_PUT, HIGH_PUT, MODERATE_PUT, NEUTRAL, MODERATE_CALL, HIGH_CALL, EXTREME_CALL.
`tail_premium_regime`	`string`	pro	Tail premium classification: EXTREME_TAIL, HIGH_TAIL, MODERATE_TAIL, LOW_TAIL.
`smile_type`	`string`	pro	Smile shape: STEEP_PUT (left-skewed), SYMMETRIC, STEEP_CALL (right-skewed).
`total_option_count`	`integer`	pro	Total options across all moneyness buckets for this tenor.
`data_quality_tier`	`string`	pro	COMPLETE (all buckets have data), PARTIAL, MINIMAL. Only trust skew from COMPLETE tiers.
`moneyness_coverage_count`	`integer`	alpha	How many of 7 moneyness buckets have data (0-7). Below 5 = skew is unreliable.
`avg_liquidity_score`	`float`	alpha	Average liquidity score across cohorts contributing to this tenor.
`has_atm_data`	`boolean`	alpha	TRUE if ATM cohort has data. Without this, all skew is NULL.
`has_near_below_data`	`boolean`	alpha	TRUE if NEAR_BELOW (25d put) cohort has data.
`has_near_above_data`	`boolean`	alpha	TRUE if NEAR_ABOVE (25d call) cohort has data.
`has_far_below_data`	`boolean`	alpha	TRUE if FAR_BELOW (deep OTM put) cohort has data.
`has_far_above_data`	`boolean`	alpha	TRUE if FAR_ABOVE (deep OTM call) cohort has data.
`tail_body_ratio`	`float`	alpha	Is the crash protection buying concentrated or broad? See detail ↓
`tail_body_regime`	`string`	alpha	TAIL_EVENT (ratio > 3.0, concentrated far-OTM buying), BROAD_PANIC (ratio < 1.0, spread across strikes), NORMAL.
`skew_velocity_regime`	`string`	alpha	Per-tenor velocity: RAPID_STEEPENING (> 3 std in 1h), FAST_STEEPENING (> 2 std in 1h), GRADUAL_STEEPENING (> 2 std in 6h), STABLE, and mirror flattening regimes. Feeds contagion detection on coin_surface.

Derived Fields

FieldTypeTiercollapse all

▶put_skew_25d_pctfloatprocollapse

How much are puts costing over ATM? The industry fear gauge.

25-delta equivalent put skew: NEAR_BELOW IV minus ATM IV. Positive means puts trade at a premium to ATM (crash protection is expensive). This is the number Imran Lakha checks first every morning.

25-delta put skew

\text{put\_skew\_25d} = \sigma_{\text{NEAR\_BELOW}} - \sigma_{\text{ATM}}

RangeTypically 2-15 pct points for BTC. Spikes to 30+ during crashes.

▶call_skew_25d_pctfloatprocollapse

How much are calls costing over ATM? Upside demand.

NEAR_ABOVE IV minus ATM IV. Usually negative or small (calls trade at discount to ATM). Positive call skew is unusual and signals euphoria or short squeeze expectations.

25-delta call skew

\text{call\_skew\_25d} = \sigma_{\text{NEAR\_ABOVE}} - \sigma_{\text{ATM}}

RangeTypically -3 to +3 pct points. Positive is unusual.

▶risk_reversal_25d_pctfloatprocollapse

Directional sentiment from the options market. THE skew number.

Call skew minus put skew. Negative means puts are more expensive than calls (bearish sentiment, crash protection demand dominates). Positive means calls are more expensive (bullish). This is the single most important directional signal from the options market.

Risk reversal (25-delta)

\text{risk\_reversal} = \text{call\_skew\_25d} - \text{put\_skew\_25d}

RangeTypically -15 to +5 for BTC. Below -10 = HIGH_PUT. Below -20 = EXTREME_PUT.

▶butterfly_25d_pctfloatprocollapse

How much are the wings worth vs ATM? Tail premium.

Average of put and call wing IV minus ATM IV. Measures total demand for both tails (crash protection + moonshot bets). High butterfly = the market expects a big move in either direction. Low butterfly = complacency.

Butterfly spread (25-delta)

\text{butterfly} = \frac{\sigma_{\text{NEAR\_BELOW}} + \sigma_{\text{NEAR\_ABOVE}}}{2} - \sigma_{\text{ATM}}

RangeTypically 1-8 pct points. Above 10 = extreme tail demand.

▶deep_put_skew_pctfloatprocollapse

Crash protection premium: how expensive are far OTM puts?

FAR_BELOW IV minus ATM IV. This is the deep tail, beyond 25-delta. Spikes during genuine fear events. When deep_put_skew rises faster than put_skew_25d, institutions are buying specific crash protection (tail_body_ratio > 3 = TAIL_EVENT).

Deep OTM put skew

\text{deep\_put\_skew} = \sigma_{\text{FAR\_BELOW}} - \sigma_{\text{ATM}}

RangeTypically 5-25 pct points. Spikes to 40+ during panics.

▶deep_call_skew_pctfloatprocollapse

Moonshot premium: how expensive are far OTM calls?

FAR_ABOVE IV minus ATM IV. Moonshot premium. Spikes during euphoria or short squeeze fears.

Deep OTM call skew

\text{deep\_call\_skew} = \sigma_{\text{FAR\_ABOVE}} - \sigma_{\text{ATM}}

▶deep_risk_reversal_pctfloatprocollapse

Tail asymmetry: are deep puts or deep calls more expensive?

Deep call skew minus deep put skew. The extreme tail version of the risk reversal. More volatile than 25d RR, spikes harder during events.

Deep risk reversal

\text{deep\_RR} = \text{deep\_call\_skew} - \text{deep\_put\_skew}

▶deep_butterfly_pctfloatprocollapse

Deep tail premium over ATM

Average of far OTM put and call IV minus ATM. The deep-wing version of the butterfly. High values = market pricing extreme tails on both sides.

Deep butterfly spread

\text{deep\_butterfly} = \frac{\sigma_{\text{FAR\_BELOW}} + \sigma_{\text{FAR\_ABOVE}}}{2} - \sigma_{\text{ATM}}

▶put_wing_steepnessfloatprocollapse

How steeply does the put wing rise into the tail?

FAR_BELOW IV minus NEAR_BELOW IV. Measures how quickly IV accelerates as you go deeper OTM on the put side. Steeper = more crash premium concentrated in far OTM.

Put wing slope

\text{put\_wing\_steepness} = \sigma_{\text{FAR\_BELOW}} - \sigma_{\text{NEAR\_BELOW}}

▶call_wing_steepnessfloatprocollapse

How steeply does the call wing rise?

FAR_ABOVE IV minus NEAR_ABOVE IV. The call-side equivalent.

Call wing slope

\text{call\_wing\_steepness} = \sigma_{\text{FAR\_ABOVE}} - \sigma_{\text{NEAR\_ABOVE}}

▶smile_asymmetry_pctfloatprocollapse

Is the smile tilted left (fear) or right (euphoria)?

FAR_BELOW IV minus FAR_ABOVE IV. Positive = steeper put wing. The overall tilt of the volatility smile.

Smile asymmetry

\text{asymmetry} = \sigma_{\text{FAR\_BELOW}} - \sigma_{\text{FAR\_ABOVE}}

RangeTypically 0 to +20 for BTC. Negative is rare.

▶smile_convexity_pctfloatprocollapse

How curved is the overall smile?

Average of butterfly and deep butterfly. Total smile curvature. Higher = more pronounced smile.

Smile convexity

\text{convexity} = \frac{\text{butterfly\_25d} + \text{deep\_butterfly}}{2}

▶put_skew_normalizedfloatprocollapse

Put skew adjusted for vol level: cross-asset comparable

Put skew divided by ATM IV. Removes the regime effect: BTC put_skew = 5 at IV = 50 is the same normalized value (0.10) as ETH put_skew = 10 at IV = 100. Compare across coins and across time regardless of absolute vol level. Values above 0.10 indicate elevated fear.

Normalized put skew

\text{put\_skew\_norm} = \frac{\text{put\_skew\_25d}}{\sigma_{\text{ATM}}}

RangeTypically 0.02-0.20. Above 0.10 = elevated fear.

▶call_skew_normalizedfloatprocollapse

Call skew normalized by ATM IV

Call skew divided by ATM IV. Same normalization logic as put skew.

Normalized call skew

\text{call\_skew\_norm} = \frac{\text{call\_skew\_25d}}{\sigma_{\text{ATM}}}

▶risk_reversal_normalizedfloatprocollapse

Risk reversal normalized: the purest cross-asset sentiment comparison

Risk reversal divided by ATM IV. The definitive cross-asset sentiment comparison. Which coin has the most relative fear, controlling for its own vol level?

Normalized risk reversal

\text{RR\_norm} = \frac{\text{risk\_reversal\_25d}}{\sigma_{\text{ATM}}}

▶butterfly_normalizedfloatprocollapse

Butterfly normalized by ATM IV

Wing premium relative to the vol level.

Normalized butterfly

\text{butterfly\_norm} = \frac{\text{butterfly\_25d}}{\sigma_{\text{ATM}}}

▶deep_put_skew_normalizedfloatprocollapse

Deep put skew normalized

Deep OTM put premium relative to vol level.

Normalized deep put skew

\text{deep\_put\_norm} = \frac{\text{deep\_put\_skew}}{\sigma_{\text{ATM}}}

▶deep_butterfly_normalizedfloatprocollapse

Deep butterfly normalized

Deep tail premium relative to vol level.

Normalized deep butterfly

\text{deep\_bfly\_norm} = \frac{\text{deep\_butterfly}}{\sigma_{\text{ATM}}}

▶tail_body_ratiofloatalphacollapse

Is the crash protection buying concentrated or broad?

Deep put skew divided by 25-delta put skew. Above 3.0 = someone is specifically buying far OTM puts (tail event signature, often institutional). Below 1.0 = everyone is buying puts at all strikes (broad panic, often retail). The distinction matters: institutional tail buying is a better warning signal.

Tail-to-body ratio

\text{tail\_body\_ratio} = \frac{\text{deep\_put\_skew\_pct}}{\text{put\_skew\_25d\_pct}}

RangeTypically 1.0-3.0 (NORMAL). Above 3.0 = TAIL_EVENT. Below 1.0 = BROAD_PANIC.

Suggested Calculations

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

FieldTypeInputsexpand all

▶skew_direction_readstringclient-sideIs the market bullish or bearish? Read the skew.expand

Is the market bullish or bearish? Read the skew.

Risk reversal is the single most important number from the options market for directional sentiment. Negative = bearish (put premium dominates, traders are paying for downside protection). Positive = bullish (call premium dominates, traders are paying for upside). Beyond -5 = EXTREME_PUT fear. The skew_regime field classifies this for you, but understanding the raw number matters.

Inputsrisk_reversal_25d_pctskew_regime

▶skew_term_comparisonstringclient-sideIs the fear short-term or long-term? Compare across tenors.expand

Is the fear short-term or long-term? Compare across tenors.

Compare risk_reversal_25d_pct across DTE_7, DTE_30, DTE_60, DTE_LONG. If DTE_7 is deeply negative but DTE_60 is neutral, the market fears a near-term event but not structural damage. If ALL tenors are negative, the fear is structural. Front-loaded fear (DTE_7 >> DTE_60) often resolves at expiry. Back-loaded fear requires a catalyst to resolve.

Inputsrisk_reversal_25d_pctexpiration_bucket

▶butterfly_as_event_barometerfloatclient-sideHow much are traders paying for tail protection?expand

How much are traders paying for tail protection?

The butterfly measures wing demand vs body. Compare butterfly_25d_pct across tenors. High butterfly at DTE_7 = event hedging (specific date). High butterfly at DTE_LONG = structural tail fear. When butterfly spikes at one tenor but not others, there is likely a known event (FOMC, OPEX, CPI) near that expiry.

Inputsbutterfly_25d_pctexpiration_bucket

▶smile_shape_analysisstringclient-sideWhat shape is the volatility smile and what does it mean?expand

What shape is the volatility smile and what does it mean?

STEEP_PUT = left-skewed, crash fear. SYMMETRIC = balanced tail demand. STEEP_CALL = right-skewed, euphoria or short squeeze risk. The steepness numbers tell you how convex each wing is. Steep put wing + flat call wing = classic crash protection bid. Both wings steep = straddle-like demand for any large move.

Inputsput_wing_steepnesscall_wing_steepnesssmile_asymmetry_pctsmile_type

▶normalized_cross_coin_skewfloatclient-sideWhich coin has the most skew relative to its own vol level?expand

Which coin has the most skew relative to its own vol level?

Compare risk_reversal_normalized across coins. Raw put_skew = 5 in BTC (IV = 50) is the same implied fear as put_skew = 10 in ETH (IV = 100). Normalized skew removes the vol level and reveals pure relative sentiment. A coin with outsized normalized skew vs its peers is where the hedging demand is concentrated.

Inputsrisk_reversal_normalizedput_skew_normalizedcoin

▶velocity_contagion_screenstringclient-sideIs skew steepening across all tenors simultaneously?expand

Is skew steepening across all tenors simultaneously?

When skew_velocity_regime shows RAPID_STEEPENING or FAST_STEEPENING across 3+ tenors simultaneously, this is skew contagion: fear is spreading from front to back. This is the setup for a vol event. Single-tenor steepening is often noise or event-specific.

Inputsskew_velocity_regimeexpiration_bucket

Or use the pre-computed endpointalpha

Pre-computed as skew_contagion_score on /v1/vol/surface (coming soon).

▶tail_body_regime_alertstringclient-sideIs the crash protection buying concentrated or broad?expand

Is the crash protection buying concentrated or broad?

TAIL_EVENT (ratio > 3.0) means someone is specifically buying far OTM puts: targeted crash protection, often institutional. BROAD_PANIC (ratio < 1.0) means everyone is buying puts at all strikes: retail panic. Institutional tail buying is a better signal because they usually know something. Combine with tail_premium_regime: EXTREME_TAIL + TAIL_EVENT = highest conviction warning.

Inputstail_body_ratiotail_body_regimetail_premium_regime