DeFi
Option DEX
How on-chain options protocols use SVI-calibrated implied volatility surfaces for fair pricing across listed and non-listed tokens. Composite IV data aggregated from 22+ venues with EIP712-signed data points delivers verifiable, institutional-grade derivatives pricing infrastructure.
On-chain options protocols face a fundamental challenge that centralised venues solved long ago: where does the fair price come from?
On a centralised exchange like Deribit, the orderbook itself generates price discovery. Market makers compete on spreads, and the resulting bid-ask reflects consensus on fair value. On-chain, this mechanism is harder to replicate. Liquidity is thinner, orderbooks are sparser, and the cost of on-chain computation limits how frequently prices can update.
DeFi options protocols need an external source of truth for implied volatility — a calibrated surface that reflects the aggregate state of the derivatives market across multiple venues, not just one.
An implied volatility surface maps the relationship between strike price, time to expiry, and the market’s expectation of future volatility. It’s the core input to any options pricing model.
Raw exchange data alone isn’t sufficient. A single venue’s IV reflects its own liquidity conditions, participant mix, and market microstructure. Aggregating across 22+ venues and applying Stochastic Volatility Inspired (SVI) calibration produces a composite surface that is arbitrage-free, exchange-weighted, and available on-demand for any strike and expiry — including non-listed combinations that don’t exist on any single exchange.
No butterfly or calendar spread violations across the strike-expiry grid. The SVI parameterisation enforces mathematical consistency that raw exchange data cannot guarantee.
Dynamic weighting adjusts based on liquidity and volume at each venue. A single illiquid exchange cannot distort the aggregate.
Any strike and expiry point available via API, not just listed contracts. Protocols can price options on tokens where listed markets are thin or non-existent.
Volatility data is published to on-chain contracts at defined intervals. Smart contracts can price any option, on any point of the smile — all on-chain. Suitable for protocols that need consistent updates without polling. Every data point carries an EIP712 signature for on-chain verification of authenticity.
Protocols request specific surface points on-demand, achieving lower latency for time-sensitive operations like settlement or margin calls. Ideal when a specific strike-expiry combination is needed outside standard update intervals.
With access to a calibrated, verifiable IV surface, on-chain options protocols can price options on listed and non-listed tokens using the same calibration methodology as institutional desks, compute Greeks for risk management and margin calculations, set fair mark prices for settlement without reliance on a single exchange’s orderbook, and offer structured products with accurate pricing across the full moneyness range.
Calibrated surfaces are available across BTC, ETH, SOL, XRP, HYPE, ADA, SUI, and additional assets as the universe expands. Underlying data is aggregated from Deribit, Bybit, OKX, GateIO, and additional major venues. Derived data updates as fast as every 200 milliseconds via the WebSocket API, or can be accessed historically via the REST API for backtesting and research.
