Volatility Oracle

Markets with Off-chain data source

To provide reliable and market-driven implied volatility for traders on IVX, the protocol will depend on a built-in volatility oracles, associated with Laevitas.ch as the main data provider. This will push off-chain volatility indexes determined between multiple high liquid centralized option exchanges, to on-chain data pipelines in order price IVX option markets.

CEX option exchanges supported

  • Deribit

  • Binance

  • Bybit

  • OKX

  • CoinCall

As the strike prices on IVX are compatible with the option exchanges, the volatility oracle will fetch the Ask_IVAsk\_IV and Bid_IVBid\_IV and calculate the weighted average between the supported exchanges ensuring the following criteria:

  • Deactivate any volatility feed which there have been no data updates for the last 1 minute

  • Eliminate any volatility feed where the Ask_IVAsk\_IV and Bid_IVBid\_IVis 10%+ away from the median volatility across all volatility feeds.

  • Terminate any options market with less than two valid volatility sources for the last 5 minutes

By that the index volatility for each side will be calculated as follows:

AvgIV(i)=āˆ‘(NotionalĀ Value(i)āˆ—IVfeed(i))āˆ‘(NotionalĀ Value(i)) \LARGE AvgIV(i) = \frac{{\sum (Notional\ Value(i)*IVfeed(i))}}{\sum (Notional\ Value(i)\\\\)}

The price feed will be updated on chain every 15 minutes or every specific increase in IV percentage, this will be dependent on the activity of the token-supported

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