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

get

/timeseries/market-greeks

Returns greeks for option markets. Results are ordered by tuple (market, time). To fetch the next page of results use next_page_url JSON response field. 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.

Authorizations

Query parameters

marketsstring[]Required

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

start_timestringOptional

Start of the time interval. This field refers to the time field in the response. 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. Inclusive by default. UTC timezone by default. Z suffix is optional and timezone parameter has a priority over it. If start_time is omitted, response will include time series from the earliest time available.

end_timestringOptional

End of the time interval. This field refers to the time field in the response. 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. Inclusive by default. UTC timezone by default. Z suffix is optional and timezone parameter has a priority over it. If end_time is omitted, response will include time series up to the latest time available.

start_inclusivebooleanOptional

Inclusive or exclusive corresponding start_* parameters.

Default: true

end_inclusivebooleanOptional

Inclusive or exclusive corresponding end_* parameters.

Default: true

timezonestringOptional

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

Default: UTCExample: America/New_York

page_sizeinteger · int32 · min: 1 · max: 10000Optional

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

Default: 100

paging_fromstring · enumOptional

Where does the first page start, at the start of the interval or at the end. The value of this parameter is ignored if the endpoint supports the format parameter and its value is set to json_stream.

Default: endPossible values:

limit_per_marketinteger · int32Optional

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

granularitystring · enumOptional

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

Default: rawPossible values:

prettybooleanOptional

Human-readable formatting of JSON responses.

Default: false

formatstring · enumOptional

Format of the response.

Default: jsonPossible values:

next_page_tokenstringOptional

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

Responses

200

Time series of market greeks.

application/json

400

Market not found.

application/json

401

Requested resource requires authorization.

application/json

403

Requested resource is not available with supplied credentials.

application/json

414

Provided URI is too long. It must not be greater than 10000 symbols.

get

/timeseries/market-greeks

GET /v4/timeseries/market-greeks?markets=text HTTP/1.1
Host: api.coinmetrics.io
Accept: */*

{
  "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"
    }
  ],
  "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"
}

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

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

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.

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Last updated 1 year ago

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