Options
Streaming options data and analysis to inform option or futures market-making or buy-side trading strategies.
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Subscribe to continual updates for all relevant Greeks. These are streamed as soon as there is any change to any of the sensitivities. The subscriptions are split into first-order, second-order, and third-order and you can subscribe to them as below:
# Subscribe to first-order Greeks on Deribit 31DEC21 100k call
channel = ['deribit.BTC-31DEC21-100000-C.greeks.1']
# Subscribe to second-order Greeks on Deribit 31DEC21 100k call
channel = ['deribit.BTC-31DEC21-100000-C.greeks.2']
# Pattern-subscribe to second-order Greeks on all Deribit options exiring 31DEC21
channel = ['deribit.BTC-31DEC21*.greeks.2']
# Pattern-subscribe to all Greeks (all 3 orders) on all Deribit puts
channel = ['deribit.BTC-*-P.greeks.*']
Greek | Field Name | Description |
Delta | delta | Sensitivity of option price to move in underlying (dv/ds) |
Vega | vega | Sensitivity of option price to move in volatility (dv/dσ) |
Theta | theta | Sensitivity of option price to time, time decay, (dv/d𝜏) |
Rho | rho | Sensitivity to risk-free rate (dv/drho) |
We calculate Rho based on 8h perpetual funding rate where available; this may differ from many exchanges which use a rate of 0%. The logic behind the use of the funding rate is the interpretation of this rate as an implied interest rate received from buying spot, trasferring to exchange, and shorting a perpetual. Other implementations can be made available on request.
Greek | Field Name | Description |
Gamma | gamma | Rate of change of delta with respect to underlying price (DdeltaDspot) |
Vanna | vanna | (DvegaDspot / DdeltaDvol) |
Charm | charm | Delta decay (DdeltaDtime) |
Volga | volga | Vega convexity (DvegaDvol) |
Veta | veta | Rate of change of vega with respect to time (DvegaDtime) |
Greek | Field Name | Description |
Speed | speed | Rate of change of gamma with respect to underlying price (DgammaDspot) |
Zomma | zomma | Rate of change of gamma with respect to volatility (DgammaDvol) |
Color | color | Gamma decay (DgammaDtime) |
Ultima | ultima | Sensitivity of Vomma to volatility (DvommaDvol) |
Coming Soon
Simple Black-Scholes-Merton pricing for a given option, or series of options, provided on a streaming tick basis on any change to valuation.
Pass a volatility argument to the subscription call to get the value based on different volatility scenarios
You can pass an argument to determine which volatility scenario to use:
Scenario | Argument | Scenario Detail |
Realized Volatility (1m) | rv.1 | Historical realized volatility (1 minute) |
Realized Volatility (15m) | rv.15 | Historical realized volatility (15 minute) |
Realized Volatility (1h) | rv.60 | Historical realized volatility (1 hour) |
Realized Volatility (1 day) | rv.1d | Historical realized volatility (1 day) |
Some example subscriptions are given below:
# Subscribe to Black-Scholes Price on Deribit 31DEC21 100k call (1 minute RV)
channel = ['deribit.BTC-31DEC21-100000-C.bsprice.rv.1']
# Subscribe to Black-Scholes Price on Deribit 31DEC21 100k call (1 day RV)
channel = ['deribit.BTC-31DEC21-100000-C.bsprice.1d']
Coming Soon
You can get the components of the Black-Scholes calculation (i.e. d1, d2) through separate calls if these are used in other calculations, these are available for the same scenarios as the B-S pricing above:
Component | Argument |
d1 | d1 |
d2 | d2 |
Some example subscriptions are given below:
# Subscribe to d1 on Deribit 31DEC21 100k call (1 minute RV)
channel = ['deribit.BTC-31DEC21-100000-C.d1.rv.1']
# Subscribe to d2 on Deribit 31DEC21 100k put (1 day RV)
channel = ['deribit.BTC-31DEC21-100000-C.d2.rv.1d']
Coming Soon
Get the IV for a given option or use a pattern subscription to get IVs for all options at a given expiry, or of a given currency. This uses a combination of Newton-Raphson and binomial search to quickly and robustly find the implied volatility.
Some example subscriptions are shown below:
# Subscribe to IV changes on the BTCUSD DEC31 100k call on Deribit
channel = ['deribit.BTC-31DEC21-100000-C.d1.iv']
# Subscribe to the IV changes of all 31DEC21 expiring options on Deribit
channel = ['deribit.BTC-31DEC21-*.iv']
Coming Soon
Get the IV skew for a given expiry or use a pattern subscription to get the IV skews for all expiries on an exchange, or across exchanges.
Some example subscriptions are shown below:
# Subscribe to skew changes on the BTCUSD DEC31 option expiry
channel = ['deribit.BTC-31DEC21.skew']
# Subscribe to skew changes for all expiries on deribit
channel = ['deribit.*.skew']
# Subscribe to skew changes for all ETH expiries on deribit
channel = ['deribit.ETH-*.skew']
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Last modified 2yr ago