Visualizing Portfolio Option Greeks Across Price and Time with Deribit Data

Summary

This article describes a Python program for examining the Greeks of open Deribit option positions. A user retrieves positions for an account, chooses a currency and an underlying-price range, then views plots of position Greeks as the underlying price changes. The program also presents snapshots at later points in time, set as proportions of the remaining time to the nearest open-position expiry.

The calculations use each option’s current mark implied volatility. The example connects through JSON-RPC over HTTP and draws its interface and charts with Tkinter and Matplotlib. It calls several Deribit endpoints to retrieve positions and market or instrument information, though some included endpoints are unused. The author characterizes the project as a learning example rather than production-grade software and advises checking behavior and using the test environment before relying on it. The article explains the workflow and assumptions but provides no validation results or details on Greek calculation formulas.

Key ideas

• The program aggregates open option positions and plots their Greeks over a user-selected underlying-price range.
• It displays Greek estimates at the current time and at later points tied to time remaining until the nearest expiry.
• Current option mark implied volatility is used in the calculations.
• The example uses HTTP JSON-RPC, Tkinter, and Matplotlib to interact with the exchange and display results.
• The article presents a learning tool and does not establish the accuracy of its calculations.

Tags

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