Variance Swap Quote

Family: Volatility

What it computes

Emits VarianceSwapQuoteTick ticks carrying variance_implied, vol_implied, forward off full chain strip.

Available on the live, historical, and replay drives.

Methodology

Carr-Madan (1998) model-free variance.

See the methodology overview for the citation index.

Inputs

Full chain strip.

Key outputs

Variance_implied, vol_implied, forward. The full field set is in the tick table below.

Output schema (VarianceSwapQuoteTick)

The field / type / description table below is regenerated from the VarianceSwapQuoteTick 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
root	Arc<str>	Underlying root ("SPX", "QQQ", …). Subscribers identify the quote series by (root, expiration) — root is the institutional ticker convention used by every CBOE / OPRA downstream tape, matching the Bloomberg OMON symbology.
expiration	i32	Expiration date in YYYYMMDD form.
date	i32	Trading-session date of the emission (YYYYMMDD).
ms_of_day	i32	Milliseconds since midnight at emission time.
variance_implied	f64	σ²(T) — annualised model-free implied variance per the Carr-Madan replication formula. f64::NAN whenever the strip fails the minimum-strikes gate (DEFAULT_MIN_STRIKES) or carries no parity-anchored forward.
vol_implied	f64	σ(T) = sqrt(variance_implied) — annualised implied volatility, the per-expiration quote subscribers convert directly into a vol-of-vol comparison or feed downstream variance-swap pricers. f64::NAN whenever variance_implied is NaN or negative (the latter shouldn't happen on a well-formed strip but is guarded against numerical edge cases).
forward_price	f64	Forward F derived from put-call parity at K* (the strike where `
n_strikes_used	i32	Number of distinct strikes that contributed to the Σᵢ integration. Includes K₀ plus every admitted OTM strike on each side. Int32 on the wire schema.
strip_width_pct	f64	(K_high - K_low) / forward × 100 — the percentage strip width around the forward, the institutional "how wide does my chain go" diagnostic. Tight strips (sub-10 %) on illiquid forwards signal the integration was truncated by the chain shape rather than the zero-bid gate; wide strips (>50 %) are the SPX nirvana case. f64::NAN when forward_price is NaN or n_strikes_used == 0.

Configuration (VarianceSwapQuoteParams)

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

Field	Type	Description
contracts	SecurityFilter	Contracts the subscription tracks. The institutional idiom is to subscribe by underlying root ([SecurityFilter::Symbols]) — the engine fans out across every option on the chain.
rate	Arc<dyn RateService>	Risk-free rate provider. Looked up per emission with (event_date, expiry_date); production deployments inject a curvekit-backed provider that auto-refreshes on date rollover.
risk_free_rate_override	f64	Optional rate override applied per-(root, expiration) ahead of [Self::rate]. A finite value pins it for every emission; f64::NAN (the constructor default) falls through to [Self::rate]. The override exists for research / replay reproducibility where the desk wants a fixed-rate sanity check independent of the curve service. NaN is the institutional "absent" sentinel — the same convention every chain-level vol analytic in this catalogue uses for "no override".
venues	ExchangeFilter	Exchange / venue admission policy.
emit	EmitPolicy	Emission policy. - [EmitPolicy::OnExchangeInterval] (default, with [DEFAULT_EMIT_INTERVAL_MS] interval) — variance-swap desk publish cadence. The analytic accumulates NBBO snapshots on every admitted Quote, then publishes one row per (root, expiration) per cadence bucket on the first qualifying tick whose ms_of_day crosses the next boundary. - [EmitPolicy::OnEveryTick] — research mode: fire one tick per admitted Quote per (root, expiration) per ms_of_day advance. - [EmitPolicy::OnClose] — accumulate; fire on the watermark sweep.
emit_interval_ms	u32	Per-(root, expiration) cadence in milliseconds. Honoured by the OnExchangeInterval emit policy (the default). Pinned to [DEFAULT_EMIT_INTERVAL_MS] = 60_000 ms (one minute) on construction; downstream callers override via the builder surface.
min_strikes	u16	Minimum strikes admitted to Σᵢ before a quote fires. Defaults to [DEFAULT_MIN_STRIKES] = 3 (CBOE's two-strike-per-leg floor plus K₀). Below the floor variance_implied and vol_implied surface as NaN.
calendar	Arc<dyn MarketCalendar>	Market calendar provider. Used to derive the option-trading cutoff for time-to-expiration year-fractions.

Example

Python

import kairos_thetadata as kt

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

def on_event(row):
    print(row)

sub = client.live().variance_swap_quote(["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()
  .varianceSwapQuote(["SPX"])
  .onEvent((tick) => {
    console.log(tick);
  });

Rust

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

use kairos::{Client, VarianceSwapQuoteRow};

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

let sub = client
    .live()
    .variance_swap_quote(["SPX"])
    .on_event(|row: &VarianceSwapQuoteRow| println!("variance_implied={} vol_implied={}", row.variance_implied, row.vol_implied))?;
// ... later ...
sub.unsubscribe();
# Ok(())
# }