Using Excel Macros for Live and Historical Deribit Options Data
Summary
This guide explains how an Excel workbook with macros can retrieve Deribit market data for futures and options. It describes functions for the underlying index, latest trade, midpoint, bid and ask, mark price, implied volatility, and delivery date. Some price and volatility functions accept a date parameter for historical observations, while name-generation functions construct instrument identifiers from expiry, strike, and option type. The workbook also includes sample strategy sheets that compare returns across settlement prices.
The data feed can lag by up to 15 seconds, and recalculation may be needed to refresh spreadsheet values. The article advises checking prices before trading, particularly when markets move quickly. It is a practical description of spreadsheet access rather than an evaluation of data accuracy, strategy performance, or execution quality; the examples are illustrative and do not cover the full range of possible strategies.
Key ideas
- The workbook uses macros to retrieve current Deribit index, futures, and options data into Excel.
- Separate functions expose trade prices, order book quotes, mark prices, and option implied volatility.
- Date parameters allow some price and volatility functions to retrieve historical observations.
- Instrument-name functions can build option and future identifiers from contract details.
- Data may be delayed by up to 15 seconds, so prices should be verified before trading.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.