Vol Surface Factors

Family: Volatility

What it computes

Emits VolSurfaceFactorsTick ticks carrying per_tenor (level, slope, curvature, R²) 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

Carr-Wu (2009) / Gatheral-Jacquier (2014) SVI / SSVI per-tenor level / slope / curvature OLS fit on log-moneyness.

See the methodology overview for the citation index.

Inputs

Chain snapshot.

Key outputs

Per_tenor (level, slope, curvature, R²). The full field set is in the tick table below.

Output schema (VolSurfaceFactorsTick)

The field / type / description table below is regenerated from the VolSurfaceFactorsTick 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.
tenors	Vec<TenorFactors>	Per-tenor factor triples — one entry per admitted expiration.

Configuration (VolSurfaceFactorsParams)

Regenerated from the VolSurfaceFactorsParams 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. Retained for surface consistency.
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_tenor	i32	Minimum number of admitted strikes per tenor for the OLS system to publish a real-valued factor triple. Defaults to [DEFAULT_MIN_STRIKES_PER_TENOR] (5).
forward_override_x1000	i32	Forward-price proxy strategy: 0 selects the median listed strike off the snapshot per the deterministic kernel anchor; any positive value overrides the proxy with a caller-supplied F × 1000 integer reading.

Example

Python

import kairos_thetadata as kt

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

def on_event(row):
    print(row)

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

Rust

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

use kairos::{Client, VolSurfaceFactorsRow};

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

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