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[PLUS] How to Find Bitcoin's Expected Price Move Implied by the Options Market

by CryptoDataDownload



Option Implied Market Movement
The options market is usually one of the more savvy markets as market makers need to have a good understanding of likely price movements in order to stay relatively hedged. When you think of someone with inside information who would like to profit from that information, they are typically going to express that view in the options market where they can lever up the exposure with less capital. Activity in the options market is also less likely to gain attention from the broader market. (This is why we setup our Unusual Options Activity Tracker to highlight options activity that is atypical).

Option implied moves are derived from the At-the-money (ATM) straddle prices. So we will roughly determine which strikes have deltas closest to 0.50 and then use the data for those strikes. Outside of using day-ahead estimations, you could also determine implied movements over a week or month or expiries closest to a known event in the future.

The Code
What we are going to be doing is extracting the Binance option chains data and using it in our calculation. We need to determine what strikes are ATM (which strikes have the delta closest to .50). This may not be the entire option chain and so there could be some variation here. The goal is to recreate what an ATM straddle costs. Once we capture and filter the data, it is a straight forward calculation to estimate the implied daily move. Every line of code is commented. Feel free to modify for timeframes greater than 1 day.

The code will print a final result at the end to the effect of: "The expected/implied price move via the options market for BTCUSDT 1 day ahead is: $319.6"

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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Step into the full potential of your cryptocurrency research and market analysis with CryptoDataDownload. Access free historical data in CSV format, unlock unusual option activity signals, explore Plus+ Python code examples (where every line of code is commented), and tap premium aggregated file resources and bespoke data sets. Trusted by academics worldwide, we offer comprehensive data to empower traders, researchers, and enthusiasts alike.

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