Inputs
Closed 5m bars of the instrument; for BTC and ETH, Deribit option marks from ArcDelta.
TreVmS Labs · v1.0
How much will this instrument move over the next hour, four hours and day, and are options pricing more or less than that?
Outputs
HAR forecast with a 10–90% band for 1h, 4h and 24h next to the GARCH of the Monte Carlo engine, the last week's QLIKE check, at-the-money IV at 1 and 7 days and its spread to the forecast and to realised volatility.
Evidence
On a held-out week across 28 perpetuals, HAR had a QLIKE loss 4.7% lower than GARCH at 1h, 3.3% at 4h and 3.7% at 24h; it won on 20, 17 and 13 of the 28 instruments.
Limits
Coefficients are shared across instruments and refitted by hand; on a single instrument over one week the gain is within noise. Option data covers BTC and ETH only.
API
GET /labs/volatility?symbol=BTCUSDT
Minimum data: Three days of 5m bars; twelve for the weekly check.
Any account can run models within its plan quota; the standard liquidation map is free. Pricing →