Option chain analytics (`CHAIN:`)¶

A CHAIN: stream reads an implied-volatility analytic of a stored option chain as an ordinary read-only stream. Its value is in its candle fields (iv.close), and every indicator applies to it.

Declaring a chain stream¶

<alias> = CHAIN:<VENUE>.<ROOT>.<metric>.<tenor> EVERY <window>

STRATEGY vol_spike VERSION 1
SYMBOLS
    iv = CHAIN:DERIBIT.BTC_USDC.atm_iv.30d EVERY 1h,
    skew = CHAIN:DERIBIT.BTC_USDC.skew_25d.30d EVERY 1h,
    put = DERIBIT:BTC_USDC_25DEC26_80000_P EVERY 1h
RULES
    -- Buy downside protection when 30-day volatility is cheap and puts are not yet bid.
    WHEN iv.close < 35 AND skew.close < 2 AND POSITION.put = 0
    THEN BUY put SIZING 0.1

<ROOT> is an option root declared under options: in instruments.yaml with a chain series (chains: trade | book), and the chain days must be stored (qkt fetch <VENUE>:<ROOT> --chains). <tenor> is a whole number of days (7d, 30d).

Metrics¶

Metric	Value
`atm_iv`	At-the-money implied volatility, in percent. Per expiry, IV is interpolated linearly in strike between the nearest strikes at or below and at or above the forward, both within 10% of it. Across expiries it is interpolated in total variance (`IV²·T`) around the tenor
`skew_25d`	25-delta put IV less 25-delta call IV, in IV points. Per expiry, each wing is interpolated linearly in Black-76 delta (at rate 0) between quotes within 0.15 of ±0.25. Across expiries the skew is interpolated linearly in time

Only catalogued quotes with a positive mark IV no older than the root's maxQuoteAgeMinutes count. The forward per expiry is the median underlying of those quotes: the expiry's forward on a book series, the index at each trade on a trade series.

When a value is absent¶

A stream has a value only at the chain's snapshot instants where the metric can be computed honestly. A tenor outside the expiries that carry the value is never extrapolated, and a value is never read from a distant strike or delta. An expiry without quotes on both sides of the forward gives no ATM IV, one without both 25-delta wings gives no skew, and stale marks give nothing. On free trade-built chains this is common: on 25–26 September 2026, 1-day ATM IV was defined at 9 of 48 hours. Rules on the stream simply do not fire at those instants. A stream that is never defined in a run is not an error.

Rules¶

Chain streams are observations, like HUB: and MACRO:: each value closes as its own event candle, and negative values (a skew) are valid.
They are read-only: BUY iv fails to compile.
They run in backtests and live. Live, the values come from the chain the gateway account records from a fed root (a root declared chains: book), up to 5 seconds after each snapshot, so a live strategy that reads CHAIN:<V>.<R>... must also declare OPTIONS:<V>.<R>; it is refused at start otherwise.

Feeding a whole root (`OPTIONS:`)¶

chain = OPTIONS:<VENUE>.<ROOT> EVERY <window> feeds every quoted contract of an option root into the run. Each one is marked at its own quotes, and contracts picked at run time (by structures) are routed to the option venue. The stream itself carries no candles and cannot be traded.

STRATEGY fed_root VERSION 1
SYMBOLS
    chain = OPTIONS:DERIBIT.BTC_USDC EVERY 1h,
    put = DERIBIT:BTC_USDC_25DEC26_80000_P EVERY 1h
RULES
    WHEN put.close > 0 AND POSITION.put = 0
    THEN BUY put SIZING 0.1

A contract that is both declared and in a fed root receives each quote once, from the root feed.
Contracts held to expiry get a settlement print at their intrinsic value, as with a declared contract.
The run checks the root's chain days the same way as for a chain analytics stream.

Option chain analytics (CHAIN:)¶