Options

Streaming options data and analysis to inform option or futures market-making or buy-side trading strategies.

Greeks

Coming Soon

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.*']

First Order

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.

Second Order

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)

Third Order

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)

Black-Scholes Pricing

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']

Black-Scholes Components

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']

Implied Volatility (IV)

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']

Skewness

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']

Volatility Smile

Coming Soon

Volatility Surface

Coming Soon

Realized Variance Premium

Coming Soon

Implied Variance Premium

Coming Soon

SABR Pricing

Coming Soon

Heston Pricing

Coming Soon

Dupire Pricing

Coming Soon

Vanna-Volga Pricing

Coming Soon