Infrastructure
Market Maker
Real-time volatility surfaces for setting fair bid-ask quotes across strike-expiry grids. Exchange-weighted SVI aggregation and sub-second data delivery reduce adverse selection and improve P&L consistency for crypto options market makers.
Options market makers quote two-sided markets across a grid of strikes and expiries — whether streaming continuous quotes on an orderbook or responding to RFQs. Every quote is a bet on where implied volatility sits right now. Quote too tight and you bleed on adverse selection. Quote too wide and you lose flow to competitors. The quality of your volatility surface determines which side of that trade-off you land on.
In crypto options, the challenge is amplified. Markets trade 24/7 across fragmented venues, liquidity shifts between exchanges unpredictably, and vol can gap 10 points in minutes during macro events.
The exchange-weighted composite aggregates implied volatility across 22+ venues with dynamic weighting based on liquidity and volume. This gives market makers a single view of where the aggregate market prices vol — useful for identifying when a specific venue is mispriced relative to the broader market.
Market makers quoting on a specific exchange — or responding to RFQs on a specific venue — need the surface for that exchange, not just the composite. Exchange-specific SVI-calibrated surfaces are available for each supported venue individually. A market maker on Deribit can price against Deribit's own calibrated surface, while simultaneously monitoring the composite to detect when Deribit's vol diverges from the aggregate.
The combination is where the edge lives. Quote against the venue-specific surface to stay competitive locally. Monitor the composite to detect when your venue is trading rich or cheap relative to the market. When the two diverge, you know whether to tighten or widen — before the flow tells you.
The WebSocket API delivers both composite and exchange-specific surface updates as fast as every 200 milliseconds. For a market maker refreshing quotes across hundreds of strike-expiry combinations, latency in the vol surface translates directly to P&L leakage. Sub-second updates ensure quotes reflect the current state of the market, not where it was seconds ago.
SVI calibration produces a continuous surface across the full strike range — not just at listed deltas. Market makers quoting OTM wings, exotic strikes, or responding to RFQs at non-standard moneyness levels can pull IV for any point on the smile without extrapolating from sparse data. The parameterisation ensures the surface is arbitrage-free across the entire grid.
When a market maker sees their quotes getting lifted, the question is whether the flow is informed. The composite surface — incorporating real-time data from all supported venues — provides context that a single-venue surface cannot. If vol is moving on other exchanges but not yet reflected locally, the composite adjusts first.
Shifts in the volatility smile — particularly in the wings — signal changes in tail-risk pricing before they appear in ATM vol. Market makers monitoring the full SVI-parameterised surface can detect smile steepening early and adjust quotes on affected strikes before adverse flow arrives.
Composite and exchange-specific volatility surfaces are available across BTC, ETH, SOL, XRP, HYPE, ADA, SUI, and additional assets. Greeks (delta, gamma, vega, theta) are computed from the calibrated surface for each strike-expiry combination. Historical surfaces — both composite and per-exchange — are available via REST API for backtesting market-making strategies across different vol regimes.
