IV Summary

Family: Volatility

What it computes

Emits IvSummaryTick ticks carrying front_atm_iv, avg_atm_iv, term_structure_slope, skew_slope, per_expiration legs off chain snapshot.

Available on the live and replay drives. The historical drive fails closed with KAIROS_ERR_HISTORICAL_UNWIRED until the relevant cache is hydrated externally.

Methodology

Brenner-Subrahmanyam (1988) straddle-implied ATM IV per listed expiration sigma_atm = sqrt(2*pi/T) * (C_atm + P_atm) / (2 * F) anchored against Stoll (1969) put-call-parity forward; linear skew + term-structure slopes via Derman-Kani (1994).

See the methodology overview for the citation index.

Inputs

Chain snapshot.

Key outputs

Front_atm_iv, avg_atm_iv, term_structure_slope, skew_slope, per_expiration legs. The full field set is in the tick table below.

Output schema (IvSummaryTick)

The field / type / description table below is regenerated from the IvSummaryTick Rust source by docs-site/scripts/inject-doc-tables.ts on every npm run docs:build. Do not hand-edit between the sentinels.

Field	Type	Description
symbol	Arc<str>	Underlying symbol (interned).
date	i32	Trading-session date (YYYYMMDD) at emission time.
ms_of_day	i32	Milliseconds since midnight at emission time.
n_expirations	i32	Number of distinct expirations admitted.
avg_atm_iv	f64	Volume-weighted average ATM IV across all admitted expirations. Bloomberg IMPVOL_AVG convention.
front_atm_iv	f64	Front-expiration ATM IV — the headline-vol reading the risk desks anchor on.
term_structure_slope	f64	Term-structure slope: (IV_far - IV_near) / (T_far - T_near) across the longest available tenor span. Positive on contango; negative on backwardation.
skew_slope	f64	Skew slope at the front expiration: the linear-regression slope of ATM IV against log(K / F) across the admitted strikes around the ATM. Negative on the standard equity put-skew shape.
legs	Vec<IvSummaryLeg>	Per-expiration ladder, oldest-first.

Configuration (IvSummaryParams)

Regenerated from the IvSummaryParams Rust source — see the note above.

Field	Type	Description
contracts	SecurityFilter	Underlying symbols the subscription tracks.
conditions	ConditionPolicy	Trade-condition admission policy. Retained for surface consistency with the other vol analytics; the IV-summary kernel operates on the chain snapshot, not the live trade tape.
venues	ExchangeFilter	Exchange / venue admission policy.
daily_close	Arc<DailyCloseCache>	Boot-time hydrated daily-close history. The empty default is a placeholder — the analytic's kernel consumes a chain snapshot rather than the daily-close history, but the cache slot is retained so the DefaultSpec hook can fail closed with the same documented cache-dependency error the other vol analytics surface.
min_strikes_per_expiration	i32	Minimum number of admitted strikes per expiration for the per-expiration ATM-IV reading to publish. Defaults to [DEFAULT_MIN_STRIKES_PER_EXP] (3).
min_expirations	i32	Minimum number of expirations required for the term-structure slope to publish. Defaults to [DEFAULT_MIN_EXPIRATIONS] (2).

Example

Python

import kairos_thetadata as kt

client = kt.Client.connect(kt.Credentials.from_env())

def on_event(row):
    print(row)

sub = client.live().iv_summary(["SPX"]).on_event(on_event)
sub.wait(timeout_seconds=60.0)

TypeScript

import { Client, Credentials } from "kairos-thetadata";

const client = await Client.connect(Credentials.fromEnv());

await client
  .live()
  .ivSummary(["SPX"])
  .onEvent((tick) => {
    console.log(tick);
  });

Rust

// Cargo.toml:
//   kairos = "0.1"

use kairos::{Client, IvSummaryRow};

# fn run() -> Result<(), Box<dyn std::error::Error>> {
let client = Client::connect(("me@example.com", "secret"))?;

let sub = client
    .live()
    .iv_summary(["SPX"])
    .on_event(|row: &IvSummaryRow| println!("avg_atm_iv={} term_structure_slope={}", row.avg_atm_iv, row.term_structure_slope))?;
// ... later ...
sub.unsubscribe();
# Ok(())
# }