DeFi
Oracle Consumer
A guide to integrating implied volatility surface data into smart contracts via push and pull-based oracle delivery. EIP712-signed SVI-calibrated data enables on-chain protocols to price any option, on any point of the smile, for any supported token.
On-chain options protocols price contracts using implied volatility. Without a reliable external source, protocols choose between deriving IV from sparse on-chain liquidity or hardcoding static parameters. Neither scales. Protocols need calibrated, multi-venue volatility data available for any strike and expiry combination.
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 margin engines, settlement pricing, and any application where periodic refresh is sufficient. Every data point is EIP712-signed for cryptographic verification directly within the smart contract.
Protocols query specific surface points on-demand. Lower latency, higher precision. Suitable for real-time pricing during trade execution or when a specific strike-expiry combination falls outside standard update intervals. The protocol initiates the request and receives exactly the data point it needs.
Both delivery models sign every data point with EIP712 cryptographic signatures. Smart contracts verify on-chain that each surface point is authentic, unaltered, and originated from the expected source. This eliminates trust assumptions in the data pipeline — from oracle to margin engine to liquidation module to settlement contract, every step is cryptographically verifiable.
The critical advantage of a calibrated surface over raw exchange data: coverage extends beyond listed contracts. If a protocol needs implied volatility for a strike and expiry that no exchange lists, the SVI-calibrated surface interpolates a value consistent with the observable market. This enables options pricing on tokens where listed markets are thin, and exotic payoff structures requiring surface points outside standard grids.
The surface is built from aggregated data across 22+ exchanges using Stochastic Volatility Inspired (SVI) parameterisation. Dynamic exchange weighting adjusts based on liquidity conditions at each venue, preventing a single illiquid exchange from distorting the aggregate. The result is an arbitrage-free surface with no butterfly or calendar spread violations across the full strike-expiry grid.
Calibrated surfaces are available across BTC, ETH, SOL, XRP, HYPE, ADA, SUI, and additional assets as the universe expands.
Derived data updates as fast as every 200 milliseconds via WebSocket for off-chain consumers. On-chain oracle update frequency is configurable based on protocol requirements. Historical data is available via REST API for backtesting and model validation.
