Vix Synthetic

Family: Volatility

What it computes

Emits VixSyntheticTick ticks carrying vix, interpolated_variance, near_variance, far_variance off chain snapshot (multi-expiration).

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

Demeterfi-Derman-Kamal-Zou (1999) 30-day synthetic VIX over the bracketing-expiration OTM chain time-interpolated to the constant-maturity horizon per CBOE VIX (2023) whitepaper §3.4.

See the methodology overview for the citation index.

Inputs

Chain snapshot (multi-expiration).

Key outputs

Vix, interpolated_variance, near_variance, far_variance. The full field set is in the tick table below.

Output schema (VixSyntheticTick)

The field / type / description table below is regenerated from the VixSyntheticTick 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.
near_expiration	i32	Near expiration YYYYMMDD that anchored sigma^2(T_1).
far_expiration	i32	Far expiration YYYYMMDD that anchored sigma^2(T_2).
near_tenor_years	f64	T_1 in calendar years.
far_tenor_years	f64	T_2 in calendar years.
near_variance	f64	sigma^2(T_1).
far_variance	f64	sigma^2(T_2).
interpolated_variance	f64	30-day time-interpolated variance.
vix	f64	Synthetic VIX reading 100 * sqrt(sigma^2_30d * 365/30).

Configuration (VixSyntheticParams)

Regenerated from the VixSyntheticParams 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.
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 strip integration to publish a real-valued variance. Defaults to [DEFAULT_MIN_STRIKES_PER_EXP] (5).
risk_free_rate	f64	Risk-free rate (annualised continuously compounded) for the e^{rT} scale on every strip contribution and the parity forward. 0.0 selects the institutional default of r = 0 — sufficient for the short-tenor regime where r·T is small.

Example

Python

import kairos_thetadata as kt

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

def on_event(row):
    print(row)

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

Rust

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

use kairos::{Client, VixSyntheticRow};

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

let sub = client
    .live()
    .vix_synthetic(["SPX"])
    .on_event(|row: &VixSyntheticRow| println!("near_expiration={} far_expiration={}", row.near_expiration, row.far_expiration))?;
// ... later ...
sub.unsubscribe();
# Ok(())
# }