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
- time to maturity, normalised to 30/365
- F
- forward price derived from perpetual mark prices
- K₀
- first strike below the forward index price 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
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 | 55% | Live — deepest BTC options book, anchors the wings |
| Deribit · ETH | 45% | Live — ETH surface, second variance leg |
| Aevo | planned | On-chain OTM depth; not yet in the aggregate |
| Binance | funding only | 8h funding stream for the basis leg |
| Hyperliquid | funding only | 1h funding context for the basis leg |