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 callchannel = ['deribit.BTC-31DEC21-100000-C.greeks.1']# Subscribe to second-order Greeks on Deribit 31DEC21 100k callchannel = ['deribit.BTC-31DEC21-100000-C.greeks.2']# Pattern-subscribe to second-order Greeks on all Deribit options exiring 31DEC21channel = ['deribit.BTC-31DEC21*.greeks.2']# Pattern-subscribe to all Greeks (all 3 orders) on all Deribit putschannel = ['deribit.BTC-*-P.greeks.*']

Greek | Field Name | Description |

Delta | delta | Sensitivity of option price to move in underlying ( |

Vega | vega | Sensitivity of option price to move in volatility ( |

Theta | theta | Sensitivity of option price to time, time decay, ( |

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 ( |

Vanna | vanna | ( |

Charm | charm | Delta decay ( |

Volga | volga | Vega convexity ( |

Veta | veta | Rate of change of vega with respect to time ( |

Greek | Field Name | Description |

Speed | speed | Rate of change of gamma with respect to underlying price ( |

Zomma | zomma | Rate of change of gamma with respect to volatility ( |

Color | color | Gamma decay ( |

Ultima | ultima | Sensitivity of Vomma to volatility ( |

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 Deribitchannel = ['deribit.BTC-31DEC21-100000-C.d1.iv']# Subscribe to the IV changes of all 31DEC21 expiring options on Deribitchannel = ['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 expirychannel = ['deribit.BTC-31DEC21.skew']# Subscribe to skew changes for all expiries on deribitchannel = ['deribit.*.skew']# Subscribe to skew changes for all ETH expiries on deribitchannel = ['deribit.ETH-*.skew']

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