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Streaming a Near-Expiry Bitcoin Options Chain Around ATM on Deribit

Article SuperMind
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Summary

This example shows a live data actor subscribing to a slice of Bitcoin options on Deribit. At startup, it filters cached instruments to find unexpired options, selects the nearest expiry, prefers BTC settlement when available, and constructs a series identifier. It then requests a strike range around the at-the-money level, with the range and snapshot interval configurable.

The handler logs each received snapshot, including strikes, calls and puts, bid and ask quotes, and available Greeks such as delta, gamma, vega, and implied volatility. The actor unsubscribes when it stops. This is an implementation example for observing an options chain, not a trading strategy or performance study. Its usefulness depends on the cache containing the relevant instruments and on the live Deribit connection and product configuration working as expected.

Key ideas

  • The actor filters cached Deribit instruments to identify unexpired options and the nearest expiry.
  • It prefers BTC-settled options for that expiry when such contracts are available.
  • The requested chain slice is centered around ATM with a configurable number of strikes above and below.
  • Snapshots expose quotes and, when present, option Greeks and implied volatility.
  • The example handles subscription cleanup at shutdown but provides no trading signals or performance evidence.

Tags

CryptoOptionsDerivatives pricingMarket microstructure

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