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

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"

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