July 7, 2023

Fresh New Features: Z-Score of Returns

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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

Amberdata derivatives ATM IV and Z-Score BTC Deribit Historical

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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Tag(s): Trading , Cryptocurrency , Blockchain , Digital Asset , Bitcoin , Ethereum , Data , Analytics , Derivatives , Research

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Amberdata is the leading provider of global financial infrastructure for digital assets. Our institutional-grade solutions deliver data, analytics and comprehensive tools and insights that empower financial institutions to research, trade, and manage risk and compliance in digital assets. Amberdata serves as a...

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