The index is a variance replication, not a poll. For each expiry the engine integrates the price of every out-of-the-money option against the squared strike, which gives the fair strike of a variance swap on that expiry.
IV²₃₀ = (2/T) · Σᵢ (ΔKᵢ / Kᵢ²) · e^{rT} · Q(Kᵢ) − (1/T) · (F / K₀ − 1)²- T
- the expiry's own time to maturity, in years
- F
- that expiry's forward: the venue's own underlying price for it, not spot
- K₀
- first strike at or below F
- Kᵢ
- strike of the i-th out-of-the-money option
- ΔKᵢ
- half the distance between adjacent strikes
- Q(Kᵢ)
- midpoint quote of the option at strike Kᵢ, or its one quoted side
- r
- taken as zero, so e^{rT} is 1
Two neighbouring expiries are then blended so the published tenor stays at a constant 30 days as time passes — the same rolling interpolation CBOE applies to equity VIX, adapted for a 24/7 market with no session boundaries.
Venue weighting
| Venue | Contribution | Role |
|---|---|---|
| Deribit · BTC | 75% of BTC's 55% | Live — the deepest BTC options book, and the primary surface |
| Derive · BTC | 25% of BTC's 55% | Live — a second BTC book, so BTC still prices when Deribit stops |
| Deribit · ETH | 75% of ETH's 45% | Live — the primary ETH surface |
| Derive · ETH | 25% of ETH's 45% | Live — the second ETH book |
| Binance | funding only | 8h funding, a reference leg of the basis |
| Hyperliquid | funding only | 1h funding, a reference leg of the basis |
| Lighter | funding only | The native leg of the basis: Robinhood Chain's perpetuals venue |