RVOL (Ribbon Volatility) is a set of Solidity libraries and tools that utilizes Uniswap v3 to make on-chain volatility data accessible.
Its goals are to help builders for:
- Building on-chain volatility indices
- Querying realized volatility information
- Pricing derivatives and options with on-chain data
The RVOL library intends to have the below features:
- Realized volatility oracles for any Uniswap v3 pool
- Options pricing with Black Scholes for Uniswap v3 pool
- Index pricing with oracles
On-chain options products such as Hegic and Siren need to rely on historical volatility of an asset to correctly price an option.
The problem here is two-fold:
-
There are no good ways to measure historical volatility on-chain. Hence, option contracts manually set an off-chain volatility number which is routinely updated. This breaks the trustless nature of these protocols.
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Measuring daily volatility requires a TWAP, which oracle alternatives such as Chainlink do not offer.
To solve these issues, RVOL uses Uniswap v3's TWAP oracle to measure the daily volatility of an asset.
RVOL is built by the Ribbon Finance team.
GPL 3.0, see LICENSE file.