Mark Implied Volatility

OrbDex Mark IV calculation depends on the following prices :

• Orderbook Prices : Bid Price, Ask Price, Mid Price

• Last Trade Price

• External Price : A perpetual option price estimated using external (Deribit) data

By inverting the Black Scholes Pricing formula for perpetual options, a variance $σ2σ2$ is implied for each of those 5 prices and smoothed using a 5-minute EWMA for the external variance and 15-second for the internal variances (Ask/Bid/Mid/Last)

The Mark Variance is then derived by combining the Variance EWMAs :

$$\text{Mark Variance} = \text{Median} \Big( \text{Median}(\text{Ask Variance EWMA},\ \text{Bid Variance EWMA},\ \text{Last Trade Variance EWMA}), \text{Mid Variance EWMA}, \text{External Variance EWMA} \Big)$$

and Mark IV is finally calculated as the square root of the Mark Variance :

$$\text{Mark IV} = \sqrt{\text{Mark Variance}}$$