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[PLUS] Option Greeks Calculator for Recent DeriBit Transactions in Python

by CryptoDataDownload

Black Scholes Merton Calculator
We are going to extend our previous articles on calculating option delta and extracting the risk free rate to create a comprehensive Black Scholes Merton option calculator for cryptocurrency. What makes this code special and unique is two fold:

1. We will use live trade data from DeriBit for BTC or ETH options to calculate the greeks
2. We will use par rates published by the US Treasury as the Risk Free Rate (RFR), but more specifically, we will use the rate the coincides with the maturity of option (this is known as duration matching). The RFR is different based on where in the curve (what maturity) you are referencing and we dynamically pull this information at run time (data is published/updated daily by US Treasury)

Bringing it All Together
This comprehensive Black Scholes Merton Option Calculator will do the following each time it is executed:
1. Connect to DeriBit API and retrieve the most recent option transaction for Bitcoin options
2. Determine which Risk Free Rate coincides with the maturity of the option
3. Calculate all relevant 1st order Greeks for the option transaction: Delta, Gamma, Vega, Theta, and Rho for the option
4. Display all inputs and results

Here is an example results/output from script


Of course, all code is commented line by line so that you understand what is going on, and free for you to modify to fit your own purposes. We also have our support team always available via email if you have questions or issues implementing or understanding any of the published code!

This is a premium post. Create Plus+ Account to view the live, working codebase for this article.




Notice: Information contained herein is not and should not be construed as an offer, solicitation, or recommendation to buy or sell securities. The information has been obtained from sources we believe to be reliable; however no guarantee is made or implied with respect to its accuracy, timeliness, or completeness. Author does not own the any crypto currency discussed. The information and content are subject to change without notice. CryptoDataDownload and its affiliates do not provide investment, tax, legal or accounting advice.

This material has been prepared for informational purposes only and is the opinion of the author, and is not intended to provide, and should not be relied on for, investment, tax, legal, accounting advice. You should consult your own investment, tax, legal and accounting advisors before engaging in any transaction. All content published by CryptoDataDownload is not an endorsement whatsoever. CryptoDataDownload was not compensated to submit this article. Please also visit our Privacy policy; disclaimer; and terms and conditions page for further information.
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