Fresh New Features: Z-Score of Returns

Welcome to Amberdata Derivatives Fresh New Features where we go in-depth on features that have recently been built for our ADD customers. This endpoint compares ATM-IV and Z-Score

ATM-IV and Z-Score

This endpoint compares the daily implied move from ATM-IV versus the close-to-close log-normal return witnessed.

We therefore get the size (in standard deviations) of the daily price return. IV is the "Opening" value at the timestamp time. While LN and close, represent the closing return and closing price respectively.

This chart gives users a clear visual representation of the magnitude of the daily return and the subsequent response in ATM-IV.

How to find this chart? Options → Deribit → Historical

Find the chart HERE:

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