Greeks

/timeseries/market-greeks

Definition

Option greeks represent the sensitivity of the price of an options contract with respect to changes in its underlying parameters. Greeks are used in risk management and hedging so that market participants can achieve their desired exposure.

Details

Exchanges report the following greeks:

• Vega: The first derivative of the option’s price to the volatility of the underlying asset’s price.

• Theta: The first derivative of the option’s price to the passage of time.

• Rho: The first derivative of the option’s price to the risk free interest rate.

• Delta: The first derivative of the option’s price to the underlying asset’s price.

• Gamma: The second derivative of the option’s price to the underlying asset’s price.

API Endpoints

Market Greeks can be accessed using the timeseries/market-greeks endpoint.

Market greeks

Returns greeks for option markets.<br/> Results are ordered by tuple (market, time).<br/> To fetch the next page of results use next_page_url JSON response field.<br/> Option greeks represent the sensitivity of the price of an options contract with respect to changes in its underlying parameters. Greeks are used in risk management and hedging so that market participants can achieve their desired exposure.

get

/timeseries/market-greeks

Authorizations

Query parameters

marketsstring[]required

Comma separated list of markets or market patterns like exchange-* or exchange-*-spot or *USDT-future.<br/> Use the /catalog-all/markets endpoint for the full list of supported markets.

start_timestring

Start of the time interval.<br/> This field refers to the time field in the response.<br/> Multiple formats of ISO 8601 are supported: 2006-01-20T00:00:00Z, 2006-01-20T00:00:00.000Z, 2006-01-20T00:00:00.123456Z, 2006-01-20T00:00:00.123456789Z, 2006-01-20, 20060120.<br/> Inclusive by default.<br/> UTC timezone by default. Z suffix is optional and timezone parameter has a priority over it.<br/> If start_time is omitted, response will include time series from the earliest time available.

end_timestring

End of the time interval.<br/> This field refers to the time field in the response.<br/> Multiple formats of ISO 8601 are supported: 2006-01-20T00:00:00Z, 2006-01-20T00:00:00.000Z, 2006-01-20T00:00:00.123456Z, 2006-01-20T00:00:00.123456789Z, 2006-01-20, 20060120.<br/> Inclusive by default.<br/> UTC timezone by default. Z suffix is optional and timezone parameter has a priority over it.<br/> If end_time is omitted, response will include time series up to the latest time available.

start_inclusiveboolean · default: true

Inclusive or exclusive corresponding start_* parameters.

end_inclusiveboolean · default: true

Inclusive or exclusive corresponding end_* parameters.

timezonestring · default: UTC

Timezone name for start_time and end_time timestamps.<br/> This parameter does not modify the output times, which are always UTC.<br/> Format is defined by TZ database.

Example: America/New_York

page_sizeinteger · int32 · min: 1 · max: 10000 · default: 100

Number of items per single page of results.<br/> The value of this parameter is ignored if the endpoint supports the format parameter and its value is set to json_stream.

paging_fromstring · enum · default: end

Where does the first page start, at the start of the interval or at the end.

Options: start, end

limit_per_marketinteger · int32

How many entries per market result should contain. It is useful when multiple markets are requested.

granularitystring · enum · default: raw

Downsampling granularity of market greeks. Supported values are raw, 1m, 1h, and 1d.

Options: raw, 1m, 1h, 1d

prettyboolean

Human-readable formatting of JSON responses.

formatstring · enum · default: json

Format of the response.

Options: json, csv

next_page_tokenstring

Token for receiving the results from the next page of a query.<br/> Should not be used directly. To iterate through pages just use next_page_url response field.

Responses

application/json

application/json

application/json

application/json

200

400

401

403

414

200

{
  "next_page_token": "0.MjAyMC0wNi0wOFQyMDo0NTowMFo",
  "next_page_url": "https://api.coinmetrics.io/v4/timeseries/market-greeks?markets=deribit-ETH-10SEP21-3200-P-option&api_key=<your_key>&pretty=true&page_size=2&next_page_token=0.MjAyMC0wNi0wOFQyMDo0NTowMFo",
  "data": [
    {
      "market": "deribit-ETH-25MAR22-1200-P-option",
      "time": "2021-09-01T13:24:00.000000000Z",
      "database_time": "2021-09-01T13:24:41.266168000Z",
      "exchange_time": "2021-09-01T13:24:00.000000000Z",
      "vega": "2.47772",
      "theta": "-0.70691",
      "rho": "-1.31245",
      "delta": "-0.04137",
      "gamma": "0.00003"
    }
  ]
}

Time series of market greeks.

Shell

curl --compressed "https://api.coinmetrics.io/v4/timeseries/market-greeks?markets=binance-BTCUSDT-future&limit_per_market=1&api_key=<your_key>"

Python

import requests
response = requests.get('https://api.coinmetrics.io/v4/timeseries/market-greeks?markets=binance-BTCUSDT-future&limit_per_market=1&api_key=<your_key>').json()
print(response)

Python Client

from coinmetrics.api_client import CoinMetricsClient

api_key = "<API_KEY>"
client = CoinMetricsClient(api_key)

print(
    client.get_market_greeks(
        markets=["binance-BTCUSDT-future"], limit_per_market=5
    ).to_dataframe()
)

Chart

Source: CM State of the Market

Example

A sample of the options greeks data from our /timeseries/market-greeks API endpoint is shown below for the deribit-ETH-25MAR22-1200-P-option market.

{
  "data" : [ {
    "market" : "deribit-ETH-25MAR22-1200-P-option",
    "time" : "2021-09-01T13:24:00.000000000Z",
    "database_time" : "2021-09-01T13:24:41.266168000Z",
    "exchange_time" : "2021-09-01T13:24:00.000000000Z",
    "vega" : "2.47772",
    "theta" : "-0.70691",
    "rho" : "-1.31245",
    "delta" : "-0.04137",
    "gamma" : "0.00003"
  }, {
    "market" : "deribit-ETH-25MAR22-1200-P-option",
    "time" : "2021-09-01T13:25:00.000000000Z",
    "database_time" : "2021-09-01T13:25:48.270609000Z",
    "exchange_time" : "2021-09-01T13:25:00.000000000Z",
    "vega" : "2.48249",
    "theta" : "-0.70833",
    "rho" : "-1.31661",
    "delta" : "-0.04156",
    "gamma" : "0.00003"
  },

• market: The id of the market. Market ids use the following naming convention for options markets: exchangeName-optionsSymbol-option

• time: The time at which Coin Metrics queried the implied volatility data from an exchange in ISO 8601 date-time format. Always with nanoseconds precision.

• database_time: The timestamp when the data was saved in the database in ISO 8601 date-time format with nanoseconds precision. Always with nanoseconds precision.

• exchange_time: The timestamp reported by the exchange. Can be null if the exchange does not report a timestamp.

• vega: The first derivative of the option’s price to the volatility of the underlying asset’s price.

• theta: The first derivative of the option’s price to the passage of time.

• rho: The first derivative of the option’s price to the risk free interest rate.

• delta: The first derivative of the option’s price to the underlying asset’s price.

• gamma: The second derivative of the option’s price to the underlying asset’s price.

Release History

• CM MDF v2.5 on November 22, 2021: We expanded our options coverage to include several new data types, including market implied volatility, from Deribit and added several new API endpoints to serve this data.