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:
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# Subscribe to first-order Greeks on Deribit 31DEC21 100k call
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channel = ['deribit.BTC-31DEC21-100000-C.greeks.1']
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# Subscribe to second-order Greeks on Deribit 31DEC21 100k call
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channel = ['deribit.BTC-31DEC21-100000-C.greeks.2']
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# Pattern-subscribe to second-order Greeks on all Deribit options exiring 31DEC21
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channel = ['deribit.BTC-31DEC21*.greeks.2']
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# Pattern-subscribe to all Greeks (all 3 orders) on all Deribit puts
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channel = ['deribit.BTC-*-P.greeks.*']
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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:
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# Subscribe to Black-Scholes Price on Deribit 31DEC21 100k call (1 minute RV)
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channel = ['deribit.BTC-31DEC21-100000-C.bsprice.rv.1']
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# Subscribe to Black-Scholes Price on Deribit 31DEC21 100k call (1 day RV)
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channel = ['deribit.BTC-31DEC21-100000-C.bsprice.1d']
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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:
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# Subscribe to d1 on Deribit 31DEC21 100k call (1 minute RV)
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channel = ['deribit.BTC-31DEC21-100000-C.d1.rv.1']
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# Subscribe to d2 on Deribit 31DEC21 100k put (1 day RV)
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channel = ['deribit.BTC-31DEC21-100000-C.d2.rv.1d']
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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:
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# Subscribe to IV changes on the BTCUSD DEC31 100k call on Deribit
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channel = ['deribit.BTC-31DEC21-100000-C.d1.iv']
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# Subscribe to the IV changes of all 31DEC21 expiring options on Deribit
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channel = ['deribit.BTC-31DEC21-*.iv']
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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:
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# Subscribe to skew changes on the BTCUSD DEC31 option expiry
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channel = ['deribit.BTC-31DEC21.skew']
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# Subscribe to skew changes for all expiries on deribit
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channel = ['deribit.*.skew']
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# Subscribe to skew changes for all ETH expiries on deribit
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channel = ['deribit.ETH-*.skew']
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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
Last modified 5mo ago