Monitor implied volatility updates via the SVI (Stochastic Volatility Inspired) model parameters.
| Parameter | Required | Description |
|---|
pair | Yes | Trading pair (e.g., "BTC_USDC") |
maturity | No | Maturity date (e.g., "31OCT25"). If omitted, returns IV updates for all maturities. |
{
"channel": "iv",
"query": {
"pair": "BTC_USDC",
"maturity": "31OCT25"
}
}
{
"kind": "event",
"type": "svi",
"timestamp_ms": 1677721600000,
"data": {
"sid": "SVI-BTC_USDC-31OCT25",
"alpha": 0.1,
"beta": 0.2,
"rho": -0.3,
"m": 0.0,
"sigma": 0.4,
"timestamp": 1677721600000
},
"subscription": {
"channel": "iv",
"query": {
"pair": "BTC_USDC",
"maturity": "31OCT25"
}
}
}
| Field | Type | Description |
|---|
data.sid | string | Stream identifier (e.g., "SVI-BTC_USDC-31OCT25") |
data.alpha | number | SVI alpha parameter |
data.beta | number | SVI beta parameter |
data.rho | number | SVI rho parameter (correlation) |
data.m | number | SVI m parameter (moneyness shift) |
data.sigma | number | SVI sigma parameter (ATM volatility) |
data.timestamp | number | Timestamp in milliseconds |
| Channel | Why |
|---|
| Interest Rate | The other curve input for options pricing. SVI gives vol, interest rate gives the forward. Together they define theoretical price at every strike. |
| Index Price | Spot component of the forward. SVI parameters map moneyness (log(K/F)) to IV, and F depends on spot + rate. |
| Position | Options positions include mark_iv. When the SVI surface shifts, all options marks reprice — affecting position_greeks and portfolio PnL. |
| Orderbook Options | Compare live order prices against SVI-fitted theoretical values to evaluate edge. |
