Deribit Block Option Trade Heatmap Tracker

https://insights.deribit.com/dev-hub/deribit-block-option-trade-heatmap-tracker/

This Python script visualizes the flow of block option trades on Deribit for BTC or ETH using a heatmap. It fetches historical trade data, processes it, and generates a heatmap to analyze trade flows based on maturity and strike prices.

Usage

1. Initialization: Create an instance of the HeatMap class:

Copy to Clipboard

• asset: The cryptocurrency asset, either ‘BTC’ or ‘ETH’.
• lookback_hours: The number of hours to look back for trades.

2. Generating the Heatmap:

Copy to Clipboard

This method fetches the data, cleans it, and plots the heatmap. The heatmap shows option trade flows with maturity dates on the y-axis and strike prices on the x-axis. The blue vertical line represents the strike closest to the current price of the asset. Lastly, the script saves a heatmap image visualizing the trade flows during the specified lookback period.

Examples

Example 1: Bitcoin 24-Hour Trade Flow

Copy to Clipboard

Generates and saves a heatmap for Bitcoin option block trades over the past 24 hours.

Example 2: Ethereum 48-Hour Trade Flow

Copy to Clipboard

Generates and saves a heatmap for Ethereum option block trades over the past 12 hours.

Dependencies

To use the HeatMap class, ensure you have the following Python libraries installed. You can install all required dependencies via pip with this command:

Copy to Clipboard

Conclusion

This script provides an insightful visualization of the block option trades on Deribit for BTC and ETH, aiding in the analysis of market trends and trader behavior.

Download the Python files here, or visit the GitHub page here.

AUTHOR(S)

Samneet Chepal

Crypto derivatives quant trader + researcher. Views are my own and not investment advice. Learn more about Samneet on Twitter/X.


RECENT ARTICLES

The post Deribit Block Option Trade Heatmap Tracker appeared first on Deribit Insights.

Quant Analysis: Volatility Offered A Profitable Opportunity

https://insights.deribit.com/industry/quant-analysis-volatility-offered-a-profitable-opportunity/

In this week’s edition of Quant Analysis, Samneet is commenting on the last weeks opportunities post-ETH launch.

Despite ETH’s lackluster post-ETF launch performance last week, trading volatility itself offered a profitable opportunity for event-driven traders to capitalize on a surge in short-term ETH realized vol.

2) Here’s the PNL from systematically trading a $1650 ETH 06OCT23 straddle since September 30th into the ETF event on October 2nd morning while maintaining flat deltas hourly. Notice the PNL surging around the 6 PM EST CME futures opening on the evening of October 1st.

3) This highlights the lesson that, even though volatility may peak before a significant event, holding long-vol positions into these events can still be profitable despite the post-event dampening of volatility.

4) Furthermore, analyzing the spot-vol correlation over these days is insightful. It’s fascinating to observe a positive spot-vol relationship evolving: spot goes up / vol goes up spot goes down / vol goes down. This aligns with our findings on Velo Data.

View Twitter/X thread.

AUTHOR(S)

Samneet Chepal

Crypto derivatives quant trader + researcher. Views are my own and not investment advice. Learn more about Samneet on Twitter/X.

RECENT ARTICLES

The post Quant Analysis: Volatility Offered A Profitable Opportunity appeared first on Deribit Insights.