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[PLUS] Calculating Cryptocurrency Option Delta with Python

by CryptoDataDownload

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).

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