Live arbitrage-free volatility surface — Deribit BTC & ETH

Generated 2026-09-10 16:02 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 — 884 quotes, 856 two-sided, 414 OTM used, 11 expiries

surface	RMSE (vol pts)	inside bid–ask	arbitrage-free
eSSVI backbone	1.97	51%	by construction (Hendriks–Martini conditions hold: True)
refined (per-slice SVI)	0.78	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 = 0.255, calendar min Δw = 8.0e-05. Autograd vs closed-form Black-76 max |err|: delta 3.2e-15, gamma 1.2e-18, vega 2.4e-11, theta 1.2e-09. Fit 1.545s, refine 17.44s, total 19.077s on cpu.

Per expiry

expiry	n	backbone rmse	inside	refined rmse	inside	status
1.7d	25	2.18	76%	1.07	96%	ok
2.7d	27	2.52	52%	1.81	78%	ok
3.7d	26	1.45	77%	0.47	96%	ok
7.7d	21	0.88	86%	0.56	100%	ok
14.7d	41	3.08	39%	1.33	68%	ok
21.7d	16	0.41	81%	0.20	100%	ok
49.7d	53	2.12	36%	0.49	91%	ok
77.7d	45	0.38	71%	0.39	84%	ok
105.7d	59	3.11	24%	0.50	95%	ok
196.7d	51	0.67	35%	0.39	78%	ok
287.7d	50	0.59	60%	0.29	84%	ok

ETH — 758 quotes, 723 two-sided, 344 OTM used, 11 expiries

surface	RMSE (vol pts)	inside bid–ask	arbitrage-free
eSSVI backbone	1.92	73%	by construction (Hendriks–Martini conditions hold: True)
refined (per-slice SVI)	0.48	98%	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 = 1.9e-04. Autograd vs closed-form Black-76 max |err|: delta 2.6e-15, gamma 2.0e-17, vega 5.8e-13, theta 2.3e-11. Fit 0.335s, refine 17.245s, total 17.667s on cpu.

Per expiry

expiry	n	backbone rmse	inside	refined rmse	inside	status
1.7d	25	1.33	92%	0.60	100%	ok
2.7d	27	1.56	93%	0.61	100%	ok
3.7d	26	1.56	85%	0.44	100%	ok
7.7d	17	1.16	82%	0.68	94%	ok
14.7d	42	4.13	57%	0.66	100%	ok
21.7d	13	0.47	92%	0.26	100%	ok
49.7d	39	1.74	67%	0.37	100%	ok
77.7d	32	0.37	97%	0.35	94%	ok
105.7d	44	1.59	68%	0.61	93%	ok
196.7d	39	1.33	44%	0.30	97%	ok
287.7d	40	1.09	70%	0.17	98%	ok

History (last 7 days, newest first)

as of	ccy	n fit	backbone rmse	refined rmse	inside	executable arb	max edge USD
2026-09-10T16:02Z	ETH	344	1.92	0.48	98%	0	0
2026-09-10T16:02Z	BTC	414	1.97	0.78	87%	0	0
2026-09-10T15:33Z	ETH	344	1.86	0.44	98%	0	0
2026-09-10T15:33Z	BTC	414	1.87	0.53	92%	0	0
2026-09-10T15:02Z	ETH	345	2.22	0.52	97%	0	0
2026-09-10T15:02Z	BTC	414	1.81	0.58	92%	0	0
2026-09-10T14:33Z	ETH	345	2.05	0.45	99%	0	0
2026-09-10T14:33Z	BTC	412	1.76	0.49	96%	0	0
2026-09-10T14:02Z	ETH	343	2.17	0.49	99%	0	0
2026-09-10T14:02Z	BTC	412	1.76	0.56	94%	0	0
2026-09-10T13:32Z	ETH	343	2.13	0.46	98%	1	0
2026-09-10T13:32Z	BTC	414	1.90	0.62	93%	0	0
2026-09-10T13:02Z	ETH	344	2.12	0.56	99%	0	0
2026-09-10T13:02Z	BTC	414	1.79	0.58	92%	0	0
2026-09-10T12:43Z	ETH	345	2.22	0.43	99%	0	0
2026-09-10T12:43Z	BTC	414	1.90	0.78	93%	0	0
2026-09-10T12:03Z	ETH	341	2.27	0.57	98%	0	0
2026-09-10T12:03Z	BTC	415	1.75	0.61	90%	0	0
2026-09-10T11:32Z	ETH	342	2.38	0.64	97%	0	0
2026-09-10T11:32Z	BTC	415	1.81	0.64	93%	0	0
2026-09-10T11:02Z	ETH	342	1.93	0.56	99%	0	0
2026-09-10T11:02Z	BTC	413	1.91	0.64	89%	0	0
2026-09-10T10:34Z	ETH	342	1.88	0.56	98%	0	0
2026-09-10T10:34Z	BTC	412	1.74	0.62	86%	0	0
2026-09-10T10:02Z	ETH	342	1.86	0.48	98%	0	0
2026-09-10T10:02Z	BTC	414	2.01	0.72	89%	0	0
2026-09-10T09:35Z	ETH	341	1.79	0.42	98%	0	0
2026-09-10T09:35Z	BTC	412	1.81	0.58	92%	0	0
2026-09-10T09:02Z	ETH	341	2.04	0.57	98%	0	0
2026-09-10T09:02Z	BTC	413	1.86	0.73	92%	0	0
2026-09-10T08:39Z	ETH	341	1.82	0.63	98%	0	0
2026-09-10T08:39Z	BTC	413	2.03	0.84	92%	0	0
2026-09-10T08:03Z	ETH	302	1.87	0.51	99%	0	0
2026-09-10T08:03Z	BTC	373	2.05	0.84	92%	0	0
2026-09-10T07:35Z	ETH	322	2.04	0.58	98%	0	0
2026-09-10T07:35Z	BTC	390	2.00	0.73	91%	1	3
2026-09-10T07:02Z	ETH	322	1.93	0.57	98%	0	0
2026-09-10T07:02Z	BTC	392	2.12	0.75	90%	0	0
2026-09-10T06:46Z	ETH	323	1.89	0.52	98%	0	0
2026-09-10T06:46Z	BTC	392	2.10	0.75	92%	0	0
2026-09-10T06:04Z	ETH	323	1.96	0.57	97%	0	0
2026-09-10T06:04Z	BTC	391	2.13	0.72	89%	0	0
2026-09-10T05:33Z	ETH	323	1.99	0.55	98%	0	0
2026-09-10T05:33Z	BTC	392	2.15	0.94	88%	0	0
2026-09-10T05:02Z	ETH	322	1.97	0.55	98%	0	0
2026-09-10T05:02Z	BTC	393	2.03	0.85	87%	0	0
2026-09-10T04:36Z	ETH	322	1.90	0.51	98%	0	0
2026-09-10T04:36Z	BTC	391	1.91	0.81	90%	0	0
2026-09-10T04:02Z	ETH	324	1.93	0.60	98%	0	0
2026-09-10T04:02Z	BTC	391	1.90	0.65	92%	0	0
2026-09-10T03:36Z	ETH	320	1.84	0.81	98%	0	0
2026-09-10T03:36Z	BTC	391	2.15	0.82	90%	0	0
2026-09-10T03:02Z	ETH	323	1.94	0.61	97%	0	0
2026-09-10T03:02Z	BTC	392	2.08	0.91	91%	0	0
2026-09-10T02:39Z	ETH	324	1.99	0.66	97%	0	0
2026-09-10T02:39Z	BTC	394	1.90	0.75	91%	0	0
2026-09-10T02:03Z	ETH	323	1.85	0.55	98%	0	0
2026-09-10T02:03Z	BTC	394	1.92	0.72	92%	0	0
2026-09-10T01:38Z	ETH	324	2.13	0.72	97%	0	0
2026-09-10T01:38Z	BTC	394	1.91	0.71	93%	0	0
2026-09-10T01:03Z	ETH	327	1.85	0.55	97%	0	0
2026-09-10T01:03Z	BTC	394	2.02	0.83	90%	0	0
2026-09-10T00:05Z	ETH	327	1.92	0.57	97%	0	0
2026-09-10T00:05Z	BTC	394	2.04	1.10	83%	0	0
2026-09-09T23:31Z	ETH	326	1.81	0.75	98%	0	0
2026-09-09T23:31Z	BTC	393	1.83	0.76	92%	0	0
2026-09-09T23:02Z	ETH	329	2.06	0.58	98%	0	0
2026-09-09T23:02Z	BTC	394	1.79	0.76	92%	0	0
2026-09-09T22:31Z	ETH	329	2.07	0.71	98%	0	0
2026-09-09T22:31Z	BTC	394	1.79	0.70	93%	0	0
2026-09-09T22:02Z	ETH	325	1.88	0.76	100%	0	0
2026-09-09T22:02Z	BTC	394	1.82	0.73	91%	0	0
2026-09-09T21:32Z	ETH	325	2.04	1.44	89%	0	0
2026-09-09T21:32Z	BTC	394	1.72	0.65	90%	0	0
2026-09-09T21:02Z	ETH	326	2.18	1.11	96%	0	0
2026-09-09T21:02Z	BTC	394	1.98	0.83	86%	0	0
2026-09-09T20:33Z	ETH	327	2.15	0.97	96%	0	0
2026-09-09T20:33Z	BTC	395	2.00	0.97	82%	0	0
2026-09-09T20:02Z	ETH	326	1.97	1.45	89%	0	0
2026-09-09T20:02Z	BTC	393	1.80	0.66	87%	0	0
2026-09-09T19:31Z	ETH	327	2.05	0.81	97%	0	0
2026-09-09T19:31Z	BTC	393	1.86	0.64	88%	0	0
2026-09-09T19:02Z	ETH	330	2.16	1.43	95%	0	0
2026-09-09T19:02Z	BTC	392	1.88	0.74	89%	0	0
2026-09-09T18:37Z	ETH	329	2.14	1.46	94%	0	0
2026-09-09T18:37Z	BTC	390	1.74	0.58	87%	0	0
2026-09-09T18:03Z	ETH	331	2.16	1.44	95%	0	0
2026-09-09T18:03Z	BTC	392	1.78	0.69	90%	0	0
2026-09-09T17:32Z	ETH	328	2.71	1.42	96%	0	0
2026-09-09T17:32Z	BTC	390	1.77	0.63	91%	0	0
2026-09-09T17:02Z	ETH	331	2.17	0.83	97%	0	0
2026-09-09T17:02Z	BTC	393	1.81	0.55	91%	0	0
2026-09-09T16:35Z	ETH	332	2.16	1.30	89%	0	0
2026-09-09T16:35Z	BTC	394	2.00	0.76	88%	0	0
2026-09-09T16:02Z	ETH	332	1.95	0.90	98%	0	0
2026-09-09T16:02Z	BTC	391	1.85	0.64	90%	0	0

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.