CryptoCurrency Option Activity Tracker
Our option tracker captures cryptocurrency option positioning and transactions that occur on Deribit. We also calculate and estimate the risk metrics for the derivative "Greeks" of such transactions in real time, (Delta, Gamma, Vega, Theta), so that you can keep your pulse on market activity. This tool also allows a user to spot changes in sentiment and large option derivative activity in the crypto space. Our data is sourced from Deribit, where currently a majority of cryptocurrency retail participants trade option derivatives. The European option contracts available for trading are BTC, ETH, and SOL. The volatility (Implied Vol) is given to us in the transactional data via the actual executed price. Most of the data capture occurs in real time, and tracking is refreshed every 5 minutes. Please note that the data shown is not meant to represent *all* transactions, but a good faith effort of nearly all; and should provide a reasonable estimation into market sentiment and positioning. Please see our disclaimer for more information and specifics.
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*Table refreshes automatically every 5 minutes
Option greeks are totaled across all strikes/maturities and is calculated using the Black-Scholes-Merton (BSM) model with inputs from transactional data that occurred over the last day and is updated in nearly real-time. A BTC Delta of 1 implies that for every $1 move higher in BTC, on a net basis, market participants will make $1 (as net whole). This is a rolling risk window and so position changes are constant as new activity occurs and the next end of period rolls over (8pm EST nightly). *We currently only capture single leg european option transactions*
- Delta represents the directional bias implied by net option positioning
- Gamma represents the change in total delta for a $1 move in underlying
- Vega represents the change in net option value for 1% change in implied volatility
- Theta represents change in net option value attributed to 1 day passage of time
- Volume is the total contracts traded for the respective underlying
- USD Volume converts volume by underlying into its respective USD volume
- PC Ratio represents the Put/Call ratio for total puts traded / total calls traded
Upgrade your account to view option risk greeks calculations
Contract Volume Aggregated by Strike
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Net Delta by Maturity
BTC
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*Table refreshes automatically every 5 minutes
ETH
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*Table refreshes automatically every 5 minutes
SOL
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*Table refreshes automatically every 5 minutes
Delta Positioning By Strike
View positive/negative delta positioning by the respective strike and maturity of the option
Notable Option Activity
We spot notable option activity by highlighting the largest delta trades and largest trades by USD value over the last 5 day period (and if the contracts are still active).
Largest Delta and USD $$ Activity
The largest delta transactions are tracked by largest absolute delta size over the last rolling 5 day window. We display the top 200 in size here