# Exploring Options, Open Interest, and Volatility Data ![](https://5264302.fs1.hubspotusercontent-na1.net/hubfs/5264302/Demo%20Asset%20Resources/CM-Demo-options_exploration-Cover.png) Options contracts have become an increasingly liquid segment of crypytoasset derivatives. Coin Metrics currently offers options data through various endpoints in our Market Data Feed offering. Available endpoints include market greeks, implied volatility, contract prices, market quotes, open interest, and more. ### Resources This notebook demonstrates basic functionality offered by the Coin Metrics Python API Client and Market Data Feed. Coin Metrics offers a vast assortment of data for hundreds of cryptoassets. The Python API Client allows for easy access to this data using Python without needing to create your own wrappers using `requests` and other such libraries. To understand the data that Coin Metrics offers, feel free to peruse the resources below. * The [Coin Metrics API v4](https://docs.coinmetrics.io/api/v4) website contains the full set of endpoints and data offered by Coin Metrics. * The [Coin Metrics Product Documentation](https://docs.coinmetrics.io/info) gives detailed, conceptual explanations of the data that Coin Metrics offers. * The [API Spec](https://coinmetrics.github.io/api-client-python/site/api_client.html) contains a full list of functions. ### File Download Download the entire notebook as either a jupyter notebook to run yourself or as a pdf from the two links below {% file src="" %} {% file src="" %} ## Notebook Setup ```python from os import environ import pandas as pd import numpy as np import seaborn as sns import logging from datetime import date, timedelta from coinmetrics.api_client import CoinMetricsClient import logging import calendar from datetime import date import matplotlib.ticker as mtick import matplotlib.pyplot as plt %matplotlib inline ``` ```python sns.set_theme() sns.set(rc={'figure.figsize':(18,8)}) sns.set_palette("YlGn",3) sns.set_style("ticks", {"xtick.major.size":20,"ytick.major.size":20}) sns.set_style("whitegrid",{'axes.grid' : True,'grid.linestyle': '--', 'grid.color': '#b0b0b0','axes.edgecolor': 'white', 'font.family': ['arial'],'axes.facecolor':'#4b5359'}) ``` ```python logging.basicConfig( format='%(asctime)s %(levelname)-8s %(message)s', level=logging.INFO, datefmt='%Y-%m-%d %H:%M:%S' ) ``` ```python # We recommend privately storing your API key in your local environment. try: api_key = environ["CM_API_KEY"] logging.info("Using API key found in environment") except KeyError: api_key = "" logging.info("API key not found. Using community client") client = CoinMetricsClient(api_key) ``` ``` 2024-02-13 13:17:42 INFO Using API key found in environment ``` ## Query Examples #### Retrieving Market Greeks *** ```python greeks_deribit = client.get_market_greeks( markets='deribit-BTC-30DEC22-*-option', limit_per_market=1 ).to_dataframe() greeks_deribit.head() ``` | | market | time | database\_time | vega | theta | rho | delta | gamma | exchange\_time | | - | ----------------------------------- | ------------------------- | -------------------------------- | --------- | --------- | ---------- | -------- | ------- | -------------------------------- | | 0 | deribit-BTC-30DEC22-10000-C-option | 2022-05-11 14:09:00+00:00 | 2022-05-11 14:09:14.701194+00:00 | 12.95354 | -2.40646 | 58.03478 | 0.97893 | 0.0 | 2022-05-11 14:09:13.336000+00:00 | | 1 | deribit-BTC-30DEC22-10000-P-option | 2022-05-11 14:09:00+00:00 | 2022-05-11 14:09:14.701194+00:00 | 12.95354 | -2.40646 | -5.73063 | -0.02107 | 0.0 | 2022-05-11 14:09:13.329000+00:00 | | 2 | deribit-BTC-30DEC22-100000-C-option | 2021-12-30 08:02:00+00:00 | 2021-12-30 08:02:03.247339+00:00 | 158.05411 | -14.17178 | 86.78939 | 0.24002 | 0.00001 | 2021-12-30 08:02:02.591000+00:00 | | 3 | deribit-BTC-30DEC22-100000-P-option | 2021-12-30 08:02:00+00:00 | 2021-12-30 08:02:04.257489+00:00 | 156.75983 | -13.9386 | -914.15583 | -0.76354 | 0.00001 | 2021-12-30 08:02:03.416000+00:00 | | 4 | deribit-BTC-30DEC22-11000-C-option | 2022-11-16 09:06:00+00:00 | 2022-11-16 09:06:40.873351+00:00 | 9.65147 | -11.41404 | 10.99731 | 0.90588 | 0.00003 | 2022-11-16 09:06:40.094000+00:00 | #### Retrieving Market Quotes *** ```python quotes_deribit = client.get_market_quotes( markets='deribit-BTC-30DEC22-*-option', limit_per_market=1, ).to_dataframe() quotes_deribit.head() ``` | | market | time | coin\_metrics\_id | ask\_price | ask\_size | bid\_price | bid\_size | | - | ----------------------------------- | ------------------------- | ------------------ | ---------- | --------- | ---------- | --------- | | 0 | deribit-BTC-30DEC22-10000-C-option | 2022-05-11 14:09:00+00:00 | 1652278140000000-0 | 0.0 | 0.0 | 0.0 | 0.0 | | 1 | deribit-BTC-30DEC22-10000-P-option | 2022-05-11 14:09:00+00:00 | 1652278140000000-0 | 0.012 | 1.9 | 0.01 | 2.3 | | 2 | deribit-BTC-30DEC22-100000-C-option | 2021-12-30 08:02:00+00:00 | 1640851320000000-0 | 0.0 | 0.0 | 0.0185 | 2.5 | | 3 | deribit-BTC-30DEC22-100000-P-option | 2021-12-30 08:02:00+00:00 | 1640851320000000-0 | 0.0 | 0.0 | 0.0 | 0.0 | | 4 | deribit-BTC-30DEC22-11000-C-option | 2022-11-16 09:06:00+00:00 | 1668589560000000-0 | 0.0 | 0.0 | 0.0 | 0.0 | #### Retrieving Contract Prices *** ```python prices_deribit = client.get_market_contract_prices( markets='deribit-BTC-30DEC22-*-option', limit_per_market=1, ).to_dataframe() prices_deribit.head() ``` | | market | time | database\_time | mark\_price | index\_price | exchange\_time | | - | ----------------------------------- | ------------------------- | -------------------------------- | ----------- | ------------ | -------------------------------- | | 0 | deribit-BTC-30DEC22-10000-C-option | 2022-05-11 14:09:00+00:00 | 2022-05-11 14:09:14.701194+00:00 | 0.695 | 31350.76 | 2022-05-11 14:09:13.336000+00:00 | | 1 | deribit-BTC-30DEC22-10000-P-option | 2022-05-11 14:09:00+00:00 | 2022-05-11 14:09:14.701194+00:00 | 0.007 | 31350.76 | 2022-05-11 14:09:13.329000+00:00 | | 2 | deribit-BTC-30DEC22-100000-C-option | 2021-12-30 08:02:00+00:00 | 2021-12-30 08:02:03.247339+00:00 | 0.069329 | 47033.61 | 2021-12-30 08:02:02.591000+00:00 | | 3 | deribit-BTC-30DEC22-100000-P-option | 2021-12-30 08:02:00+00:00 | 2021-12-30 08:02:04.257489+00:00 | 1.034568 | 47034.05 | 2021-12-30 08:02:03.416000+00:00 | | 4 | deribit-BTC-30DEC22-11000-C-option | 2022-11-16 09:06:00+00:00 | 2022-11-16 09:06:40.873351+00:00 | 0.3547 | 16744.61 | 2022-11-16 09:06:40.094000+00:00 | #### Retrieving Open Interest *** ```python oi_deribit = client.get_market_open_interest( markets='deribit-BTC-30DEC22-*-option', limit_per_market=1, ).to_dataframe() oi_deribit.head() ``` | | market | time | contract\_count | value\_usd | database\_time | exchange\_time | | - | ----------------------------------- | ------------------------- | --------------- | ---------- | -------------------------------- | ------------------------- | | 0 | deribit-BTC-30DEC22-10000-C-option | 2022-05-11 14:09:00+00:00 | 0 | 0 | 2022-05-11 14:09:39.584165+00:00 | 2022-05-11 14:09:00+00:00 | | 1 | deribit-BTC-30DEC22-10000-P-option | 2022-05-11 14:09:00+00:00 | 0 | 0 | 2022-05-11 14:09:39.584165+00:00 | 2022-05-11 14:09:00+00:00 | | 2 | deribit-BTC-30DEC22-100000-C-option | 2021-12-30 08:02:00+00:00 | 0 | 0 | 2021-12-30 08:02:35.912527+00:00 | 2021-12-30 08:02:00+00:00 | | 3 | deribit-BTC-30DEC22-100000-P-option | 2021-12-30 08:02:00+00:00 | 0 | 0 | 2021-12-30 08:02:37.918026+00:00 | 2021-12-30 08:02:00+00:00 | | 4 | deribit-BTC-30DEC22-11000-C-option | 2022-11-16 09:06:00+00:00 | 0 | 0 | 2022-11-16 09:06:24.566250+00:00 | 2022-11-16 09:06:00+00:00 | ## Plotting Options 'Volatility Smiles' *** 'Volatility smiles' are a popular options data visualization tool that help traders understand predicted asset volatility across various contract expiration dates. The 'smile' is plotted by mapping the strike price and implied volatility of a group of options with the same underlying asset and expiration date. ```python asset = 'btc' ``` #### Catalog Endpoint The Coin Metrics API contains two types of catalog endpoints (Python client functions in paranthesis): the `catalog` (`catalog_*`) and `catalog-all` (`catalog_full_*`). The `catalog` endpoint displays the set of data available to your API key. The `catalog-all` endpoint displays the full set of data for CM Pro users. Catalog objects return a list of dictionaries. For `catalog_full_market_implied_volatility_v2`, each element of the list is an option market that supports implied volatility data. ```python markets_deribit = client.catalog_full_market_implied_volatility_v2( exchange='deribit', market_type='option', base=asset, page_size=10000 ).to_dataframe() ``` ```python markets_deribit.sort_values(by='max_time') ``` | | market | min\_time | max\_time | | ----- | ---------------------------------- | ------------------------- | ------------------------- | | 29064 | deribit-BTC-2SEP21-53000-C-option | 2021-09-01 13:24:00+00:00 | 2021-09-02 08:00:00+00:00 | | 29049 | deribit-BTC-2SEP21-45000-P-option | 2021-09-01 13:24:00+00:00 | 2021-09-02 08:00:00+00:00 | | 29048 | deribit-BTC-2SEP21-45000-C-option | 2021-09-01 13:24:00+00:00 | 2021-09-02 08:00:00+00:00 | | 29046 | deribit-BTC-2SEP21-44000-C-option | 2021-09-01 13:24:00+00:00 | 2021-09-02 08:00:00+00:00 | | 29045 | deribit-BTC-2SEP21-43000-P-option | 2021-09-01 13:24:00+00:00 | 2021-09-02 08:00:00+00:00 | | ... | ... | ... | ... | | 24053 | deribit-BTC-27DEC24-61000-P-option | 2024-01-02 11:29:00+00:00 | 2024-02-13 17:43:00+00:00 | | 24054 | deribit-BTC-27DEC24-62000-C-option | 2024-01-08 22:41:00+00:00 | 2024-02-13 17:43:00+00:00 | | 24055 | deribit-BTC-27DEC24-62000-P-option | 2024-01-08 22:41:00+00:00 | 2024-02-13 17:43:00+00:00 | | 24049 | deribit-BTC-27DEC24-59000-P-option | 2024-01-02 03:35:00+00:00 | 2024-02-13 17:43:00+00:00 | | 27297 | deribit-BTC-29MAR24-26000-P-option | 2023-03-30 08:03:00+00:00 | 2024-02-13 17:43:00+00:00 | 40442 rows × 3 columns ```python markets_deribit["min_time"] = pd.to_datetime(markets_deribit.min_time) markets_deribit["max_time"] = pd.to_datetime(markets_deribit.max_time) ``` ```python # Select contracts that are still trading as of yesterday end_date = (date.today() - timedelta(days=1)).strftime("%Y-%m-%d") deribit_current = markets_deribit.loc[(markets_deribit["max_time"] >= end_date)] ``` #### Collect Contract Reference Data ```python ref_data = client.reference_data_markets( exchange = 'deribit', type = 'option', base = asset, page_size=10000 ).to_dataframe() ``` ```python ref_data.head() ``` | | market | exchange | type | base | quote | pair | symbol | size\_asset | strike | option\_contract\_type | is\_european | contract\_size | listing | expiration | settlement\_price | status | order\_amount\_min | order\_price\_increment | order\_taker\_fee | order\_maker\_fee | | - | --------------------------------- | -------- | ------ | ---- | ----- | ------- | ------------------ | ----------- | ------ | ---------------------- | ------------ | -------------- | ------------------------------ | ------------------------------ | ----------------- | ------- | ------------------ | ----------------------- | ----------------- | ----------------- | | 0 | deribit-BTC-10APR20-4750-C-option | deribit | option | btc | usd | btc-usd | BTC-10APR20-4750-C | btc | 4750 | call | True | 1 | 2020-03-28T03:21:00.000000000Z | 2020-04-10T08:00:00.000000000Z | 6931.78 | offline | 0.1 | 0.0005 | 0.0004 | 0.0004 | | 1 | deribit-BTC-10APR20-4750-P-option | deribit | option | btc | usd | btc-usd | BTC-10APR20-4750-P | btc | 4750 | put | True | 1 | 2020-03-28T03:21:00.000000000Z | 2020-04-10T08:00:00.000000000Z | 6931.78 | offline | 0.1 | 0.0005 | 0.0004 | 0.0004 | | 2 | deribit-BTC-10APR20-5000-C-option | deribit | option | btc | usd | btc-usd | BTC-10APR20-5000-C | btc | 5000 | call | True | 1 | 2020-03-26T08:19:00.000000000Z | 2020-04-10T08:00:00.000000000Z | 6931.78 | offline | 0.1 | 0.0005 | 0.0004 | 0.0004 | | 3 | deribit-BTC-10APR20-5000-P-option | deribit | option | btc | usd | btc-usd | BTC-10APR20-5000-P | btc | 5000 | put | True | 1 | 2020-03-26T08:19:00.000000000Z | 2020-04-10T08:00:00.000000000Z | 6931.78 | offline | 0.1 | 0.0005 | 0.0004 | 0.0004 | | 4 | deribit-BTC-10APR20-5250-P-option | deribit | option | btc | usd | btc-usd | BTC-10APR20-5250-P | btc | 5250 | put | True | 1 | 2020-03-26T08:00:08.000000000Z | 2020-04-10T08:00:00.000000000Z | 6931.78 | offline | 0.1 | 0.0005 | 0.0004 | 0.0004 | ```python deribit_current = pd.merge(deribit_current, ref_data[['market','expiration','option_contract_type','strike']], on='market', how='left') ``` ```python # Set max expiration date max_expiry = (date.today() + timedelta(days=365)).strftime("%Y-%m-%d") max_expiry = (pd.to_datetime(max_expiry)).strftime("%Y-%m-%d") deribit_current = pd.DataFrame(deribit_current.loc[(deribit_current["expiration"] < max_expiry)]) ``` ```python deribit_current = deribit_current.sort_values(by=['expiration']) ``` ```python deribit_current ``` | | market | min\_time | max\_time | expiration | option\_contract\_type | strike | | --- | ----------------------------------- | ------------------------- | ------------------------- | ------------------------------ | ---------------------- | ------ | | 0 | deribit-BTC-12FEB24-41000-C-option | 2024-02-09 08:03:00+00:00 | 2024-02-12 08:00:00+00:00 | 2024-02-12T08:00:00.000000000Z | call | 41000 | | 36 | deribit-BTC-12FEB24-48750-C-option | 2024-02-11 08:03:00+00:00 | 2024-02-12 08:00:00+00:00 | 2024-02-12T08:00:00.000000000Z | call | 48750 | | 37 | deribit-BTC-12FEB24-48750-P-option | 2024-02-11 08:03:00+00:00 | 2024-02-12 08:00:00+00:00 | 2024-02-12T08:00:00.000000000Z | put | 48750 | | 38 | deribit-BTC-12FEB24-49000-C-option | 2024-02-09 08:03:00+00:00 | 2024-02-12 08:00:00+00:00 | 2024-02-12T08:00:00.000000000Z | call | 49000 | | 39 | deribit-BTC-12FEB24-49000-P-option | 2024-02-09 08:03:00+00:00 | 2024-02-12 08:00:00+00:00 | 2024-02-12T08:00:00.000000000Z | put | 49000 | | ... | ... | ... | ... | ... | ... | ... | | 557 | deribit-BTC-27DEC24-120000-P-option | 2023-12-28 08:02:00+00:00 | 2024-02-13 17:43:00+00:00 | 2024-12-27T08:00:00.000000000Z | put | 120000 | | 558 | deribit-BTC-27DEC24-125000-C-option | 2023-12-28 08:02:00+00:00 | 2024-02-13 17:43:00+00:00 | 2024-12-27T08:00:00.000000000Z | call | 125000 | | 559 | deribit-BTC-27DEC24-125000-P-option | 2023-12-28 08:02:00+00:00 | 2024-02-13 17:43:00+00:00 | 2024-12-27T08:00:00.000000000Z | put | 125000 | | 547 | deribit-BTC-27DEC24-10000-P-option | 2023-12-28 08:02:00+00:00 | 2024-02-13 17:43:00+00:00 | 2024-12-27T08:00:00.000000000Z | put | 10000 | | 579 | deribit-BTC-27DEC24-28000-P-option | 2023-12-28 18:57:00+00:00 | 2024-02-13 17:43:00+00:00 | 2024-12-27T08:00:00.000000000Z | put | 28000 | 1008 rows × 6 columns ### Retrieve Implied Volatility ```python iv_asset_contracts = client.get_market_implied_volatility( markets='deribit-*-option', start_time = end_date, limit_per_market=1, page_size=10000 ).to_dataframe() ``` ```python iv_asset_contracts = iv_asset_contracts.loc[iv_asset_contracts['market'].isin(deribit_current['market'].to_list())] iv_asset_contracts ``` | | market | time | database\_time | iv\_bid | iv\_ask | iv\_mark | exchange\_time | | ---- | ---------------------------------- | ------------------------- | -------------------------------- | ------- | ------- | -------- | -------------------------------- | | 0 | deribit-BTC-12FEB24-41000-C-option | 2024-02-12 00:00:00+00:00 | 2024-02-12 00:00:15.649992+00:00 | 0.0 | 0.0 | 0.677 | 2024-02-12 00:00:13.899000+00:00 | | 1 | deribit-BTC-12FEB24-41000-P-option | 2024-02-12 00:00:00+00:00 | 2024-02-12 00:00:14.602653+00:00 | 0.0 | 2.1273 | 0.677 | 2024-02-12 00:00:13.900000+00:00 | | 2 | deribit-BTC-12FEB24-42000-C-option | 2024-02-12 00:00:00+00:00 | 2024-02-12 00:00:03.599239+00:00 | 0.0 | 3.0076 | 0.6176 | 2024-02-12 00:00:02.821000+00:00 | | 3 | deribit-BTC-12FEB24-42000-P-option | 2024-02-12 00:00:00+00:00 | 2024-02-12 00:00:03.599239+00:00 | 0.0 | 2.1175 | 0.6176 | 2024-02-12 00:00:00.808000+00:00 | | 4 | deribit-BTC-12FEB24-42500-C-option | 2024-02-12 00:00:00+00:00 | 2024-02-12 00:00:12.040598+00:00 | 0.0 | 0.0 | 0.5786 | 2024-02-12 00:00:09.872000+00:00 | | ... | ... | ... | ... | ... | ... | ... | ... | | 1001 | deribit-BTC-29MAR24-80000-P-option | 2024-02-12 00:00:00+00:00 | 2024-02-12 00:00:16.038858+00:00 | 0.0 | 0.8866 | 0.6928 | 2024-02-12 00:00:13.898000+00:00 | | 1002 | deribit-BTC-29MAR24-85000-C-option | 2024-02-12 00:00:00+00:00 | 2024-02-12 00:00:04.033371+00:00 | 0.7072 | 0.7288 | 0.7195 | 2024-02-12 00:00:03.827000+00:00 | | 1003 | deribit-BTC-29MAR24-85000-P-option | 2024-02-12 00:00:00+00:00 | 2024-02-12 00:00:10.038068+00:00 | 0.0 | 0.8934 | 0.7194 | 2024-02-12 00:00:08.863000+00:00 | | 1004 | deribit-BTC-29MAR24-90000-C-option | 2024-02-12 00:00:00+00:00 | 2024-02-12 00:00:04.033371+00:00 | 0.7248 | 0.7476 | 0.7409 | 2024-02-12 00:00:02.820000+00:00 | | 1005 | deribit-BTC-29MAR24-90000-P-option | 2024-02-12 00:00:00+00:00 | 2024-02-12 00:00:11.038214+00:00 | 0.0 | 0.9518 | 0.7408 | 2024-02-12 00:00:09.870000+00:00 | 1006 rows × 7 columns ```python iv_only = iv_asset_contracts.drop(['time', 'database_time','iv_bid','iv_ask','exchange_time'], axis=1).drop_duplicates() iv_only ``` | | market | iv\_mark | | ---- | ---------------------------------- | -------- | | 0 | deribit-BTC-12FEB24-41000-C-option | 0.677 | | 1 | deribit-BTC-12FEB24-41000-P-option | 0.677 | | 2 | deribit-BTC-12FEB24-42000-C-option | 0.6176 | | 3 | deribit-BTC-12FEB24-42000-P-option | 0.6176 | | 4 | deribit-BTC-12FEB24-42500-C-option | 0.5786 | | ... | ... | ... | | 1001 | deribit-BTC-29MAR24-80000-P-option | 0.6928 | | 1002 | deribit-BTC-29MAR24-85000-C-option | 0.7195 | | 1003 | deribit-BTC-29MAR24-85000-P-option | 0.7194 | | 1004 | deribit-BTC-29MAR24-90000-C-option | 0.7409 | | 1005 | deribit-BTC-29MAR24-90000-P-option | 0.7408 | 1006 rows × 2 columns ```python merged = pd.merge(deribit_current, iv_only, on="market").drop_duplicates() ``` ```python calls = pd.DataFrame(merged.loc[merged['option_contract_type'] == 'call']) ``` ```python calls['expiration'] = pd.to_datetime(calls['expiration']).dt.strftime('%b %d, %Y') calls = calls.dropna(subset=['strike']) calls['strike'] = calls['strike'].astype('int64') calls['iv_mark'] = calls['iv_mark'].astype('float64') calls['expiration'] = calls['expiration'].astype('category') calls = calls.dropna(subset=['strike', 'iv_mark']) calls = calls[np.isfinite(calls['strike']) & np.isfinite(calls['iv_mark'])] calls ``` | | market | min\_time | max\_time | expiration | option\_contract\_type | strike | iv\_mark | | ---- | ----------------------------------- | ------------------------- | ------------------------- | ------------ | ---------------------- | ------ | -------- | | 0 | deribit-BTC-12FEB24-41000-C-option | 2024-02-09 08:03:00+00:00 | 2024-02-12 08:00:00+00:00 | Feb 12, 2024 | call | 41000 | 0.6770 | | 1 | deribit-BTC-12FEB24-48750-C-option | 2024-02-11 08:03:00+00:00 | 2024-02-12 08:00:00+00:00 | Feb 12, 2024 | call | 48750 | 0.3703 | | 3 | deribit-BTC-12FEB24-49000-C-option | 2024-02-09 08:03:00+00:00 | 2024-02-12 08:00:00+00:00 | Feb 12, 2024 | call | 49000 | 0.3908 | | 5 | deribit-BTC-12FEB24-49250-C-option | 2024-02-11 08:14:00+00:00 | 2024-02-12 08:00:00+00:00 | Feb 12, 2024 | call | 49250 | 0.4235 | | 7 | deribit-BTC-12FEB24-49500-C-option | 2024-02-09 08:03:00+00:00 | 2024-02-12 08:00:00+00:00 | Feb 12, 2024 | call | 49500 | 0.4815 | | ... | ... | ... | ... | ... | ... | ... | ... | | 994 | deribit-BTC-27DEC24-105000-C-option | 2023-12-28 08:02:00+00:00 | 2024-02-13 17:43:00+00:00 | Dec 27, 2024 | call | 105000 | 0.6558 | | 996 | deribit-BTC-27DEC24-110000-C-option | 2023-12-28 08:02:00+00:00 | 2024-02-13 17:43:00+00:00 | Dec 27, 2024 | call | 110000 | 0.6580 | | 998 | deribit-BTC-27DEC24-115000-C-option | 2023-12-28 08:02:00+00:00 | 2024-02-13 17:43:00+00:00 | Dec 27, 2024 | call | 115000 | 0.6633 | | 1000 | deribit-BTC-27DEC24-120000-C-option | 2023-12-28 08:02:00+00:00 | 2024-02-13 17:43:00+00:00 | Dec 27, 2024 | call | 120000 | 0.6656 | | 1002 | deribit-BTC-27DEC24-125000-C-option | 2023-12-28 08:02:00+00:00 | 2024-02-13 17:43:00+00:00 | Dec 27, 2024 | call | 125000 | 0.6690 | 503 rows × 7 columns ```python calls = calls.sort_values(by='expiration') ``` ```python calls.dtypes ``` ``` market string[python] min_time datetime64[ns, UTC] max_time datetime64[ns, UTC] expiration category option_contract_type string[python] strike int64 iv_mark float64 dtype: object ``` ```python l = sns.lineplot(data=calls, x="strike", y="iv_mark", hue='expiration') l.set_xlabel("\nStrike Price", fontsize = 17) l.set_ylabel("Implied Volatility \n", fontsize = 17) l.set_xlim([0, calls['strike'].max()]) l.set_xticks(l.get_xticks().tolist()) l.set_xticklabels(['${:,.0f}'.format(x) for x in l.get_xticks().tolist()],fontsize=14) l.set_yticks(l.get_yticks().tolist()) l.set_yticklabels(['{:.2f}'.format(y) for y in l.get_yticks().tolist()],fontsize=14) plt.setp(l.get_yticklabels()[0], visible=False) leg = plt.legend(loc='upper right',ncol=2,fontsize=13.5) for text in leg.get_texts(): text.set_color("white") l.set_title('\n' + asset.upper() + ' Volatility Smiles\n', fontsize = 25) plt.suptitle('\n\n Deribit Options by Expiration',fontsize=16); ```
## Plotting Calls vs. Puts by Open Interest ```python options_oi = client.get_market_open_interest( markets='deribit-*-option', limit_per_market=1, paging_from='end', start_time=end_date, page_size=10000 ).to_dataframe() ``` ```python options_oi['value_usd'] = pd.to_numeric(options_oi['value_usd']) options_oi = options_oi.loc[options_oi['value_usd'] > 0] ``` ```python options_oi = options_oi.sort_values('value_usd',ascending=False) ``` ```python oi_only = options_oi[['market','contract_count','value_usd']] ``` ```python oi_only ``` | | market | contract\_count | value\_usd | | ---- | ---------------------------------- | --------------- | ------------- | | 1356 | deribit-ETH-23FEB24-2400-C-option | 97938.0 | 256834569.96 | | 972 | deribit-BTC-29MAR24-50000-C-option | 5204.3 | 254888763.251 | | 992 | deribit-BTC-29MAR24-60000-C-option | 4830.8 | 236604371.64 | | 1716 | deribit-ETH-29MAR24-3000-C-option | 86689.0 | 227343636.28 | | 994 | deribit-BTC-29MAR24-65000-C-option | 4572.5 | 223940793.825 | | ... | ... | ... | ... | | 1511 | deribit-ETH-27DEC24-6000-P-option | 1.0 | 2622.57 | | 1599 | deribit-ETH-27SEP24-7500-P-option | 1.0 | 2622.53 | | 1593 | deribit-ETH-27SEP24-6000-P-option | 1.0 | 2622.52 | | 1177 | deribit-ETH-15FEB24-2200-P-option | 1.0 | 2622.37 | | 1737 | deribit-ETH-29MAR24-5000-P-option | 1.0 | 2622.27 | 1387 rows × 3 columns ```python asset_deribit_oi = deribit_current[['market','expiration','strike','option_contract_type']] ``` ```python oi_merged = pd.merge(asset_deribit_oi, oi_only, on="market").drop_duplicates() ``` ```python oi_merged ``` | | market | expiration | strike | option\_contract\_type | contract\_count | value\_usd | | --- | ----------------------------------- | ------------------------------ | ------ | ---------------------- | --------------- | ----------- | | 0 | deribit-BTC-12FEB24-48750-C-option | 2024-02-12T08:00:00.000000000Z | 48750 | call | 61.3 | 2959931.187 | | 1 | deribit-BTC-12FEB24-48750-P-option | 2024-02-12T08:00:00.000000000Z | 48750 | put | 4.7 | 226944.294 | | 2 | deribit-BTC-12FEB24-49000-C-option | 2024-02-12T08:00:00.000000000Z | 49000 | call | 141.1 | 6813157.422 | | 3 | deribit-BTC-12FEB24-49250-C-option | 2024-02-12T08:00:00.000000000Z | 49250 | call | 6.6 | 318687.732 | | 4 | deribit-BTC-12FEB24-49500-C-option | 2024-02-12T08:00:00.000000000Z | 49500 | call | 28.6 | 1380979.028 | | ... | ... | ... | ... | ... | ... | ... | | 820 | deribit-BTC-27DEC24-120000-P-option | 2024-12-27T08:00:00.000000000Z | 120000 | put | 1.3 | 63681.397 | | 821 | deribit-BTC-27DEC24-125000-C-option | 2024-12-27T08:00:00.000000000Z | 125000 | call | 37.9 | 1856453.805 | | 822 | deribit-BTC-27DEC24-125000-P-option | 2024-12-27T08:00:00.000000000Z | 125000 | put | 1.6 | 78372.704 | | 823 | deribit-BTC-27DEC24-10000-P-option | 2024-12-27T08:00:00.000000000Z | 10000 | put | 20.7 | 1013795.748 | | 824 | deribit-BTC-27DEC24-28000-P-option | 2024-12-27T08:00:00.000000000Z | 28000 | put | 132.1 | 6470647.695 | 825 rows × 6 columns ```python oi_merged.expiration = pd.to_datetime(oi_merged.expiration).dt.strftime('%b %d, %Y') oi_merged ``` | | market | expiration | strike | option\_contract\_type | contract\_count | value\_usd | | --- | ----------------------------------- | ------------ | ------ | ---------------------- | --------------- | ----------- | | 0 | deribit-BTC-12FEB24-48750-C-option | Feb 12, 2024 | 48750 | call | 61.3 | 2959931.187 | | 1 | deribit-BTC-12FEB24-48750-P-option | Feb 12, 2024 | 48750 | put | 4.7 | 226944.294 | | 2 | deribit-BTC-12FEB24-49000-C-option | Feb 12, 2024 | 49000 | call | 141.1 | 6813157.422 | | 3 | deribit-BTC-12FEB24-49250-C-option | Feb 12, 2024 | 49250 | call | 6.6 | 318687.732 | | 4 | deribit-BTC-12FEB24-49500-C-option | Feb 12, 2024 | 49500 | call | 28.6 | 1380979.028 | | ... | ... | ... | ... | ... | ... | ... | | 820 | deribit-BTC-27DEC24-120000-P-option | Dec 27, 2024 | 120000 | put | 1.3 | 63681.397 | | 821 | deribit-BTC-27DEC24-125000-C-option | Dec 27, 2024 | 125000 | call | 37.9 | 1856453.805 | | 822 | deribit-BTC-27DEC24-125000-P-option | Dec 27, 2024 | 125000 | put | 1.6 | 78372.704 | | 823 | deribit-BTC-27DEC24-10000-P-option | Dec 27, 2024 | 10000 | put | 20.7 | 1013795.748 | | 824 | deribit-BTC-27DEC24-28000-P-option | Dec 27, 2024 | 28000 | put | 132.1 | 6470647.695 | 825 rows × 6 columns ```python oi_merged_sum = oi_merged.groupby( ['expiration', 'option_contract_type']).value_usd.sum().reset_index() ``` ```python oi_merged_sum ``` | | expiration | option\_contract\_type | value\_usd | | -- | ------------ | ---------------------- | -------------- | | 0 | Apr 26, 2024 | call | 746759409.804 | | 1 | Apr 26, 2024 | put | 362391927.898 | | 2 | Dec 27, 2024 | call | 327845484.001 | | 3 | Dec 27, 2024 | put | 76852459.777 | | 4 | Feb 12, 2024 | call | 61221827.396 | | 5 | Feb 12, 2024 | put | 53636084.351 | | 6 | Feb 13, 2024 | call | 60612528.457 | | 7 | Feb 13, 2024 | put | 55888112.274 | | 8 | Feb 14, 2024 | call | 62115453.667 | | 9 | Feb 14, 2024 | put | 47578321.782 | | 10 | Feb 15, 2024 | call | 15652452.769 | | 11 | Feb 15, 2024 | put | 19036582.686 | | 12 | Feb 16, 2024 | call | 486055096.137 | | 13 | Feb 16, 2024 | put | 407674392.781 | | 14 | Feb 23, 2024 | call | 1849252067.898 | | 15 | Feb 23, 2024 | put | 1101826630.192 | | 16 | Jun 28, 2024 | call | 1703153232.984 | | 17 | Jun 28, 2024 | put | 446922981.015 | | 18 | Mar 01, 2024 | call | 150328051.677 | | 19 | Mar 01, 2024 | put | 105881633.482 | | 20 | Mar 29, 2024 | call | 2641595742.536 | | 21 | Mar 29, 2024 | put | 1245411237.802 | | 22 | Sep 27, 2024 | call | 480871248.568 | | 23 | Sep 27, 2024 | put | 169771991.037 | ```python calls_oi = pd.DataFrame(oi_merged_sum.loc[oi_merged_sum['option_contract_type'] == 'call']) puts_oi = pd.DataFrame(oi_merged_sum.loc[oi_merged_sum['option_contract_type'] == 'put']) ``` ```python # Convert 'expiration' to datetime and extract month calls_oi['expiration'] = pd.to_datetime(calls_oi['expiration']) calls_oi['Expiration Month'] = calls_oi['expiration'].dt.month puts_oi['expiration'] = pd.to_datetime(puts_oi['expiration']) puts_oi['Expiration Month'] = puts_oi['expiration'].dt.month # Group by 'expiration_month' and sum 'value_usd' calls_oi_grouped = calls_oi.groupby('Expiration Month')['value_usd'].sum() puts_oi_grouped = puts_oi.groupby('Expiration Month')['value_usd'].sum() # Convert Series to DataFrame and reset index calls_oi_df = calls_oi_grouped.reset_index() puts_oi_df = puts_oi_grouped.reset_index() # Replace month numbers with month names calls_oi_df['Expiration Month'] = calls_oi_df['Expiration Month'].apply(lambda x: calendar.month_name[x]) puts_oi_df['Expiration Month'] = puts_oi_df['Expiration Month'].apply(lambda x: calendar.month_name[x]) ``` ```python calls_oi_df ``` | | Expiration Month | value\_usd | | - | ---------------- | -------------- | | 0 | February | 2534909426.324 | | 1 | March | 2791923794.213 | | 2 | April | 746759409.804 | | 3 | June | 1703153232.984 | | 4 | September | 480871248.568 | | 5 | December | 327845484.001 | ```python # Add a new column to distinguish between calls and puts calls_oi_df['type'] = 'calls' puts_oi_df['type'] = 'puts' # Concatenate the dataframes df = pd.concat([calls_oi_df, puts_oi_df]) df = df.rename(columns={"value_usd": "Open Interest (USD)"}) # Plot the bars side by side p = sns.barplot(data=df, x='Expiration Month', y='Open Interest (USD)', hue='type', palette=['green', 'red']) p.set_title('\nBTC Options Open Interest (USD)\nby Expiration Month\n',fontsize=16) # Format y-axis in billions fmt = '${x:,.0f}B' p.legend_.remove() tick = mtick.FuncFormatter(lambda x, pos: '${:,.2f}B'.format(x*1e-9)) p.yaxis.set_major_formatter(tick) ``` ``` 2024-02-13 13:18:16 INFO Using categorical units to plot a list of strings that are all parsable as floats or dates. If these strings should be plotted as numbers, cast to the appropriate data type before plotting. 2024-02-13 13:18:16 INFO Using categorical units to plot a list of strings that are all parsable as floats or dates. If these strings should be plotted as numbers, cast to the appropriate data type before plotting. ```