Squeeth Vol Oracle

Built with foundry template

The contract is deployed on Goerli and Mainnet:

You can use cast to directly query the value as follow (mainnet rpc example):

cast call 0x5caec004f1378fbfd54a11e9f00e2aad32796b33  "getEthTwaIV(uint32)(uint256)" 120 --rpc-url https://rpc.ankr.com/eth

Compile and run tests

forge build

forge test

You can clone the contract, tune in a bit and use the following script to estimate real world vol value.

forge script scripts/Deploy.sol --fork-url <mainnet rpc>

Output:

== Logs ==
  implied volatility: 959347350657613352
  gas cost:           97612
  implied funding:    2521499559489813

The gas cost is around 46K ~ 140K, depends on:

• secondsAgo to calculate twap
• current state of Uniswap pool, how many records are in the last secondsAgo seconds

It costs least (around 46K) while querying the implied vol by the current spot price.

/// @dev return implied vol with 18 decimals (1e18 = 100%)
function getEthTwaIV(uint256 secondsAgo) external view returns (uint256 vol);

/// @dev return daily implied funding with 18 decimals (1e18 = 100%)
function getImpliedFunding(uint32 secondsAgo) external view returns (uint256 impliedFunding);