Cryptocurrency Data Feed

Overview

Block Scholes offers a suite of institutional-grade data services, with particular focus on quality, performance and flexibility to the highest standard, and tailored to satisfy both TradFi & DeFi use cases.

We offer a variety of possible frequencies across all feeds, ranging from hourly down to 200 milliseconds. Our APIs include optional features that simplify/enable efficient on-chain delivery, including EIP-712 signatures for secure transport & on-chain verifiability, secure subscription / update batching, and varied data format options to match smart contract data model particulars & constraints.

Implied Volatilities

Constructed by calibrating an SVI/SABR model on mid prices observed on options markets. As part of the calibration process, prices go through rigorous filtration & cleaning steps which ensure that the resulting volatility surface is arbitrage-free and consists of high-quality calibrations with exceptional fit to market observables. Can be provided with full flexibility of choice on expiry & strike (or delta / moneyness level), including for those not listed on any existing market.

Index Price

Gold-standard reference for the price of tradables across markets. Represent the aggregated mid priceacross top centralised exchanges of all tradeable market instruments, for any given asset class. The weighting assigned to each exchange is adjusted in real-time based on recent trade volume history, as well as price latency & deviation, ensuring that the index remains robust in the face of quickly shifting market patterns & liquidity.

• Spot: aggregate spot mid price for a given currency across the top 5 CEX by volume, which have USD-quoted markets (Coinbase, Kraken, Bitstamp, Bitfinex, Crypto.com)

• Future / Perpetual: aggregate mid price for a given instrument across the top 4 CEX by volume & open interest (Deribit, Bybit, OKX, Binance). For futures the instruments are matched by currency & expiry, so the index price for BTC-23FEB24 future would be the aggregated midprice of futures listed across the aforementioned exchanges, where one exists with the same currency & expiry.

•  Option: aggregate mid price for a given instrument across top 3 CEX covering >90% of totalmarket volume (Deribit, Bybit, OKX). The instruments are matched by currency, expiry, strike & type, so the index price for BTC-23FEB24-55000-C option would be the aggregated midprice of options listed across aforementioned exchanges, where one exists with the same currency, expiry, strike & type.

Mark Price

Serve as an authority particularly useful for robust risk management & pricing. Represent fair, accurate & responsive estimation for any requested derivative contract price, based on a model or methodology which ensures they reflect & are consistent with market prices of listed instruments. Options mark prices are based on SVI/SABR model calibrated vol surfaces, while futures mark prices are based on forward curves constructed from listed future price indices. The qualities these bring over index prices include ability to price instruments not listed on any of the top CEX, and, in the case of options, being subject to the filtering, cleaning & data quality assurances that our vol surface model calibration process provides.

Settlement Price

Robust in the face of potential manipulations (across or on particular markets), providing a price specifically designed for settlement of any contract with an expiration. Represents the time weighted average price of spot index leading up to expiry of choice.