Cross-Exchange Crypto Options Screening with Scenario and Liquidity Filters

Summary

This document presents a read-only decision-support tool that scans public options markets on Deribit, Binance Options, and OKX. It ranks candidates across four dimensions, then applies absolute filters for spread, slippage, valuation, stressed returns, and the underlying move needed to break even. A candidate marked ready is accompanied by an exchange-compliant quantity, a reference limit price, and an exit time; notifications are deduplicated. In paper mode, the tool can open a virtual position for the highest-scoring ready candidate.

The code models option values with Black-76 and evaluates scenarios that vary the underlying price move and implied volatility. User inputs supply the directional view, expected move, and time horizon; the tool does not forecast direction. Its paper ledger is internal, and it neither reads account data nor places orders. The document warns that differences in implied volatility across venues are not risk-free arbitrage because contract terms, margin, settlement, and availability can differ. It also says its public-API scanning mode is not suitable for historical backtesting, and supplies no results demonstrating profitability.

Key ideas

• The tool ranks options across three exchanges before applying liquidity and valuation thresholds.
• Only ready candidates receive suggested sizing, a reference price, and an exit time.
• Black-76 scenario analysis varies implied volatility and the underlying move to assess candidate returns.
• Directional assumptions are supplied by the user rather than forecast by the tool.
• The paper ledger does not access accounts or submit orders, and public-API scanning is not intended for historical backtesting.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.