Implied Volatility

Moby operates two indicators, main and sub, to obtain the implied volatility used in various calculations along with the futures prices.

The main indicator periodically processes the current IV values collected from major CEXs and stores them internally. It only utilizes values received within 5 seconds of requesting IVs from CEXs for whitelisted options in Moby.

Sub indicator is managed for the purpose of utilizing historical data by storing IV values received from CEX in the internal database.

Source of Main Data

  • Main data derived from CEXs and Block Scholes Composite IV

Process

  • Use median IV from CEXs as Moby’s internal Adj. Median as IV Index reference

Adj. Median=sumproduct(Range Adjusted IV,Weight By Sources)\text{Adj. Median} = \text{sumproduct}(\text{Range Adjusted IV}, \text{Weight By Sources})
where, Range Adjusted IV=min[max(0.98×Median IV,Mark IV),1.02×Median IV]\text{where, } \text{Range Adjusted IV} = \min[\max(0.98 \times \text{Median IV}, \text{Mark IV}), 1.02 \times \text{Median IV}]

"Median" - Median value of Mark IV, after eliminating highest / lowest Mark IV from main sources.

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