Loading...

[PLUS] Calculating Cryptocurrency Option Delta with Python

Black Scholes-Merton
We will be implementing the Black Scholes-Merton option pricing model in Python and applying it to a transaction taken from DeriBit. We will connect to DeriBit first (using Python), get the details of one option transaction; then calculate delta for the position. All code is commented line by line. The Black Scholes implementation is the standard formula applied (no tweaks).

What is Delta Refresher
Option delta is a measure of the sensitivity of an option's price to changes in the price of the underlying asset. It represents the expected change in the option price for a one-unit (for BTC and ETH, this one unit = $1) change in the price of the underlying asset. An option delta of 1 means that for every $1 change in BTC, you will make or lose $1. Options are a way to get levered exposure to an underlying asset using only a fraction of the capital (the premium for buyers).

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.

Latest Posts
Follow Us
Notify me of new content