Live arbitrage-free volatility surface — Deribit BTC & ETH

Generated 2026-11-03 03:20 UTC by voltorch 0.2.1, refit every 30 minutes from the public book. No key, no vendor data. Backbone: eSSVI (Hendriks–Martini 2019), arbitrage-free by construction. Refinement: per-expiry SVI, arbitrage-checked on a dense grid, falling back to the backbone where a check fails. Bid/ask implied vols are ours (bisection, Black-76 on the forward: coin price × F = USD price, verified to 1e-4 against the venue's marks). Every claim on this page is recomputable from pip install voltorch[page].

BTC — 848 quotes, 830 two-sided, 406 OTM used, 11 expiries

surface	RMSE (vol pts)	inside bid–ask	arbitrage-free
eSSVI backbone	2.35	63%	by construction (Hendriks–Martini conditions hold: True)
refined (per-slice SVI)	0.77	87%	checked: Durrleman g ≥ 0 and calendar, 11/11 slices; fallback {}
venue marks (Deribit `mark_iv`)	—	—	butterfly 0 · vertical 0 · calendar 0 beyond the spread

Executable arbitrage in the book right now: 0 (buy at ask / sell at bid; butterfly 0, vertical 0, calendar 0; put–call parity on the forward, r = 0)

Our surface: Durrleman min g = 0.256, calendar min Δw = 2.9e-04. Autograd vs closed-form Black-76 max |err|: delta 2.8e-15, gamma 1.0e-18, vega 2.4e-11, theta 1.1e-09. Fit 1.475s, refine 13.324s, total 14.868s on cpu.

Per expiry

expiry	n	backbone rmse	inside	refined rmse	inside	status
1.2d	22	2.39	82%	1.15	95%	ok
2.2d	24	2.11	54%	1.16	75%	ok
3.2d	25	2.51	48%	1.24	76%	ok
10.2d	20	0.98	75%	0.62	95%	ok
17.2d	20	0.38	70%	0.23	95%	ok
24.2d	48	1.74	56%	0.49	94%	ok
52.2d	52	5.56	33%	1.17	87%	ok
87.2d	44	0.24	86%	0.30	86%	ok
143.2d	52	0.87	37%	0.82	71%	ok
234.2d	54	0.79	72%	0.40	87%	ok
325.2d	45	0.39	96%	0.22	100%	ok

ETH — 684 quotes, 673 two-sided, 331 OTM used, 11 expiries

surface	RMSE (vol pts)	inside bid–ask	arbitrage-free
eSSVI backbone	2.17	71%	by construction (Hendriks–Martini conditions hold: True)
refined (per-slice SVI)	0.55	95%	checked: Durrleman g ≥ 0 and calendar, 11/11 slices; fallback {}
venue marks (Deribit `mark_iv`)	—	—	butterfly 0 · vertical 0 · calendar 0 beyond the spread

Executable arbitrage in the book right now: 0 (buy at ask / sell at bid; butterfly 0, vertical 0, calendar 0; put–call parity on the forward, r = 0)

Our surface: Durrleman min g = 0.257, calendar min Δw = 5.2e-04. Autograd vs closed-form Black-76 max |err|: delta 2.5e-15, gamma 2.9e-17, vega 6.3e-13, theta 2.5e-11. Fit 0.256s, refine 13.597s, total 13.915s on cpu.

Per expiry

expiry	n	backbone rmse	inside	refined rmse	inside	status
1.2d	23	2.68	96%	0.86	100%	ok
2.2d	24	0.63	100%	0.53	100%	ok
3.2d	23	3.63	65%	0.40	100%	ok
10.2d	18	1.47	72%	0.33	100%	ok
17.2d	16	0.75	75%	0.38	94%	ok
24.2d	35	3.58	37%	0.39	100%	ok
52.2d	39	3.46	51%	0.93	100%	ok
87.2d	28	0.43	82%	0.39	86%	ok
143.2d	42	1.18	60%	0.64	83%	ok
234.2d	43	0.95	67%	0.32	98%	ok
325.2d	40	0.45	98%	0.25	95%	ok

History (last 7 days, newest first)

as of	ccy	n fit	backbone rmse	refined rmse	inside
2026-11-03T03:20Z	ETH	331	2.17	0.55	96%
2026-11-03T03:20Z	BTC	406	2.35	0.77	87%
2026-11-02T22:00Z	ETH	335	2.06	0.55	96%
2026-11-02T22:00Z	BTC	409	2.17	0.79	88%
2026-11-02T12:56Z	ETH	335	2.05	0.49	98%
2026-11-02T12:56Z	BTC	412	2.42	0.90	85%
2026-11-02T04:42Z	ETH	346	2.00	0.54	96%
2026-11-02T04:42Z	BTC	423	2.23	0.88	85%
2026-11-02T00:00Z	ETH	351	1.99	0.49	97%
2026-11-02T00:00Z	BTC	426	2.09	0.84	91%
2026-11-01T20:39Z	ETH	354	2.30	0.68	96%
2026-11-01T20:39Z	BTC	430	2.13	0.83	84%
2026-11-01T16:13Z	ETH	351	2.44	0.61	95%
2026-11-01T16:13Z	BTC	426	2.08	0.79	83%
2026-11-01T09:29Z	ETH	352	2.35	0.68	96%
2026-11-01T09:29Z	BTC	425	2.12	0.80	84%
2026-11-01T02:27Z	ETH	347	2.34	0.58	96%
2026-11-01T02:27Z	BTC	417	2.12	0.71	85%
2026-10-31T23:30Z	ETH	350	2.49	0.70	96%
2026-10-31T23:30Z	BTC	419	2.06	0.72	88%
2026-10-31T20:08Z	ETH	350	2.41	0.54	98%
2026-10-31T20:08Z	BTC	421	2.13	0.69	85%
2026-10-31T16:25Z	ETH	350	2.42	0.49	97%
2026-10-31T16:25Z	BTC	420	2.15	0.74	85%
2026-10-31T11:45Z	ETH	351	2.63	0.62	96%
2026-10-31T11:45Z	BTC	424	2.21	0.68	87%
2026-10-31T06:00Z	ETH	349	2.67	0.67	94%
2026-10-31T06:00Z	BTC	417	2.00	0.69	86%
2026-10-31T00:13Z	ETH	352	2.53	0.56	97%
2026-10-31T00:13Z	BTC	420	2.17	0.62	92%
2026-10-30T20:56Z	ETH	355	2.73	0.76	94%
2026-10-30T20:56Z	BTC	420	2.08	0.65	84%
2026-10-30T16:04Z	ETH	357	2.69	0.77	95%
2026-10-30T16:04Z	BTC	431	2.47	0.61	89%
2026-10-30T09:11Z	ETH	346	3.12	1.39	90%
2026-10-30T09:11Z	BTC	424	3.07	1.05	84%
2026-10-30T02:44Z	ETH	359	3.20	1.12	93%
2026-10-30T02:44Z	BTC	436	2.65	0.70	87%
2026-10-29T23:25Z	ETH	355	3.27	0.79	94%
2026-10-29T23:25Z	BTC	420	2.46	0.59	91%
2026-10-29T19:03Z	ETH	345	2.95	0.61	96%
2026-10-29T19:03Z	BTC	415	2.89	0.67	86%
2026-10-29T13:24Z	ETH	347	3.00	0.78	90%
2026-10-29T13:24Z	BTC	412	3.00	0.69	83%
2026-10-29T06:14Z	ETH	303	3.14	0.65	96%
2026-10-29T06:14Z	BTC	348	3.16	0.71	82%
2026-10-29T00:29Z	ETH	305	2.84	0.78	92%
2026-10-29T00:29Z	BTC	355	3.00	0.64	80%
2026-10-28T20:39Z	ETH	306	2.95	0.85	90%
2026-10-28T20:39Z	BTC	361	2.83	0.60	82%
2026-10-28T15:34Z	ETH	306	2.88	0.64	94%
2026-10-28T15:34Z	BTC	374	3.35	0.82	80%
2026-10-28T08:48Z	ETH	306	3.21	1.53	94%
2026-10-28T08:48Z	BTC	369	3.45	0.78	85%
2026-10-28T02:27Z	ETH	310	2.63	0.54	98%
2026-10-28T02:27Z	BTC	374	3.97	0.83	81%
2026-10-27T23:18Z	ETH	313	2.85	0.52	96%
2026-10-27T23:18Z	BTC	377	3.63	0.74	82%
2026-10-27T19:44Z	ETH	313	2.73	0.60	95%
2026-10-27T19:44Z	BTC	373	3.76	0.87	83%
2026-10-27T14:43Z	ETH	315	3.19	0.67	94%
2026-10-27T14:43Z	BTC	375	3.68	0.73	81%
2026-10-27T08:05Z	ETH	288	3.23	0.62	92%
2026-10-27T08:05Z	BTC	349	3.40	0.67	87%

Raw history: history.jsonl (append-only). A day with zero executable arbitrage is the expected state of a market-made venue; the interesting rows are the non-zero ones, and they are listed with their legs above when they occur.