Exploring Options, Open Interest, and Volatility Data

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 website contains the full set of endpoints and data offered by Coin Metrics.
• The Coin Metrics Product Documentation gives detailed, conceptual explanations of the data that Coin Metrics offers.
• The API Spec 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

381KB

MDF_options_exploration.ipynb

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2MB

MDF_options_exploration.pdf

PDF

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Notebook Setup

Query Examples

Retrieving Market Greeks

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	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

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	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

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	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

---

	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'

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'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.

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.

	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

Collect Contract Reference Data

	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

	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

	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

	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

	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

Plotting Calls vs. Puts by Open Interest

	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