├── .gitattributes ├── __pycache__ ├── read_prices.cpython-311.pyc ├── SABR_functions.cpython-311.pyc └── SABR_calibration.cpython-311.pyc ├── main.py ├── SABR_calibration.py ├── SABR_functions.py ├── README.md ├── ETH-27SEP24-export.csv ├── BTC-27DEC24-export.csv ├── BTC-27SEP24-export.csv ├── BTC-26APR24-export.csv └── read_prices.py /.gitattributes: -------------------------------------------------------------------------------- 1 | # Auto detect text files and perform LF normalization 2 | * text=auto 3 | -------------------------------------------------------------------------------- /__pycache__/read_prices.cpython-311.pyc: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/1leolem1/Implied-PDF-from-crypto-option-prices/HEAD/__pycache__/read_prices.cpython-311.pyc -------------------------------------------------------------------------------- /__pycache__/SABR_functions.cpython-311.pyc: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/1leolem1/Implied-PDF-from-crypto-option-prices/HEAD/__pycache__/SABR_functions.cpython-311.pyc -------------------------------------------------------------------------------- /__pycache__/SABR_calibration.cpython-311.pyc: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/1leolem1/Implied-PDF-from-crypto-option-prices/HEAD/__pycache__/SABR_calibration.cpython-311.pyc -------------------------------------------------------------------------------- /main.py: -------------------------------------------------------------------------------- 1 | import matplotlib.pyplot as plt 2 | from read_prices import option_prices 3 | 4 | """ 5 | methods for calibration: 6 | 7 | 'TNC' 8 | 'L-BFGS-B' 9 | 'Nelder-Mead' 10 | 11 | Last one seems to be quite innacurate tho 12 | """ 13 | 14 | 15 | def main(): 16 | # a = option_prices(name="BTC-26APR") 17 | # a = option_prices(name="BTC-27SEP") 18 | # a = option_prices(name="BTC-27DEC") 19 | a = option_prices(name="ETH-27SEP") 20 | 21 | a.calibrate_SABR(method='L-BFGS-B') 22 | a.plot_bid_ask_SABR_calls() 23 | a.plot_pdf_cdf() 24 | 25 | 26 | if __name__ == "__main__": 27 | main() 28 | -------------------------------------------------------------------------------- /SABR_calibration.py: -------------------------------------------------------------------------------- 1 | import SABR_functions as sabr 2 | from scipy.optimize import minimize 3 | 4 | 5 | def calibrate_SABR(strikes, volatilities, forward, TTM, method='Nelder-Mead', init_param=[0.03, 1, -0.9, 0.1]): 6 | # strikes and vol 7 | 8 | def mse_function(params): 9 | # mean squared error 10 | alpha, beta, rho, nu = params 11 | mse = 0 12 | for i in range(len(strikes)): 13 | temp = (volatilities[i]-sabr.strike_volatility_SABR(k=strikes[i], 14 | f=forward, alpha=alpha, beta=beta, nu=nu, rho=rho, t=TTM))**2 15 | mse += temp 16 | return mse 17 | 18 | def find_optimal_rho_nu(method=method): 19 | 20 | ALPHA, BETA, RHO, NU = init_param 21 | 22 | PARAMS = {"alpha": {"x0": ALPHA, "lbub": [0.001, 8]}, 23 | "beta": {"x0": BETA, "lbub": [1, 1]}, 24 | "rho": {"x0": RHO, "lbub": [-0.99, 0.99]}, 25 | "nu": {"x0": NU, "lbub": [0.001, 10]}, } 26 | 27 | # calibrate rho, nu: 28 | 29 | x0 = [param["x0"] for key, param in PARAMS.items()] 30 | bounds = [param["lbub"] for key, param in PARAMS.items()] 31 | 32 | result = minimize(mse_function, x0, tol=1e-7, method=method, 33 | options={'maxiter': 1e9}, bounds=bounds) 34 | 35 | return result.x, mse_function(result.x) 36 | 37 | if len(strikes) != len(volatilities): 38 | print("! strike and volatilities not of same length !") 39 | raise ValueError 40 | 41 | [ALPHA, BETA, RHO, NU], mse = find_optimal_rho_nu() 42 | 43 | return [ALPHA, BETA, RHO, NU], mse 44 | -------------------------------------------------------------------------------- /SABR_functions.py: -------------------------------------------------------------------------------- 1 | import pandas as pd 2 | from scipy.stats import norm 3 | import numpy as np 4 | 5 | 6 | def strike_volatility_SABR(k, f, alpha, beta, nu, rho, t): 7 | """ 8 | f: forward rate 9 | k: strike 10 | t: time to maturity (in years) 11 | """ 12 | z = (nu/alpha)*(f*k)**((1-beta)/2)*np.log(f/k) 13 | x = np.log((np.sqrt(1-2*rho*z+z**2)+z-rho)/(1-rho)) # x(z) 14 | num = alpha*(1+(((1-beta)**2)/24)*(alpha**2/((f*k)**(1-beta))) + 0.25 * 15 | (rho*beta*nu*alpha)/((f*k)**((1-beta)/2))+((2-3*rho**2)/24)*nu**2) * t 16 | denum = (f * k) ** ((1 - beta) / 2) * (1 + ((1 - beta) ** 2 / 24) * 17 | (np.log(f / k) ** 2) + ((1 - beta) ** 4 / 1920) * (np.log(f / k) ** 4)) 18 | vol_bs = (num/denum) * (z/x) 19 | return vol_bs 20 | 21 | 22 | def get_gk_price(w, forward, term_rate, base_rate, ttm, vol, strike): 23 | """ 24 | Gets the price of a call option using the Garman Kohlhagen formula 25 | 26 | Parameters: 27 | 28 | w: type of option: 1 for a call and -1 for a put 29 | spot: Current price of the underlying asset 30 | term_rate: Term risk-free rate 31 | base_rate: Base risk-free rate 32 | ttm: Time to maturity 33 | vol: Volatility of the underlying asset 34 | strike: Strike price of the option 35 | Return value: Price of call option 36 | 37 | """ 38 | T = ttm # from days to years -> calculated using Time Delta 39 | 40 | d1 = (np.log(forward / strike) + (0.5 * vol ** 2) * T) / (vol * np.sqrt(T)) 41 | d2 = (np.log(forward / strike) - (0.5 * vol ** 2) * T) / (vol * np.sqrt(T)) 42 | 43 | value = w*np.exp(-term_rate) * \ 44 | (forward*norm.cdf(w*d1) - strike*norm.cdf(w*d2)) 45 | return value 46 | -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- 1 | This project aims to take a CSV extract of the option prices and output an implied Probability Density Function from the option prices. Here my input is a simple extract from Deribit. On the top right, you can see the CSV file. I want to generate this PDF using this CSV file. 2 | 3 | ![image](https://github.com/1leolem1/Implied-PDF-from-crypto-option-prices/assets/58358116/8069d1f4-9916-4b7c-9550-8c49e2c0b2a4) 4 | 5 | 6 |

Methodology

7 | 8 | Morgan Stanley explains how assuming risk-neutral probabilities you can use butterfly options strategies to estimate the odds of the underlying expiring in this range. 9 | 10 | https://www.morganstanley.com/content/dam/msdotcom/en/assets/pdfs/Options_Probabilities_Exhibit_Link.pdf 11 | 12 | ![image](https://github.com/1leolem1/Implied-PDF-from-crypto-option-prices/assets/58358116/2370b5b7-6878-46ef-a3ae-6595cc503cc5) 13 | 14 | Ignoring the premium payment, the average payoff in the butterfly range is: max_payoff/2 15 | 16 | If you look at football betting quotes, the likelihood of an event happening is: 1/payoff 17 | 18 | Let's look at a sample example: 19 | Man City are playing Luton at home (which they are this weekend), they have a payoff of 1.1 20 | Their implied odds of winning are 1/1.1 ~ 91% (including the premium charged by the bookmaker) 21 | 22 | It's the same thing in this case. You pay a premium p betting the stock will expire in the butterfly range. The average payoff will be max_payoff/2 = bfly_width/2. 23 | 24 | The implied odds for this range are given by: premium / average payoff 25 | 26 | Using bids and asks marks in the CSV file, it is easy to price butterflies. However, this isn't accurate enough since there are insufficient data points. I will calibrate a SABR stochastic volatility model to the mid-price, recreating a volatility smile. However, this strategy might not be representative and I might want to calibrate the model to the bids and asks to include trading costs. 27 | 28 | Given the number of option prices we're dealing with, SABR stochastic volatility (plot below) is much better than interpolation since we won't risk overfitting our option prices. 29 | ![image](https://github.com/1leolem1/Implied-PDF-from-crypto-option-prices/assets/58358116/35f8f09b-b9b7-4b0c-a463-ae0e93341de7) 30 | 31 | 32 |

Data processing

33 | 34 | The options data file doesn't include the price of the underlying future, which means we need to extract it from the option prices. 35 | Assuming zero rates, the Put-Call Parity (PCP) states: 36 | 37 | Call_Price - Put_Price = Underlying_Price - Strike_Price 38 | 39 | Since in crypto our Call and Put prices are expressed in units of underlying, we can write PCP as: 40 | 41 | (Call_Price - Put_Price)Underlying_Price = Underlying_Price - Strike_Price 42 | 43 | Solving for Spot: 44 | 45 | Underlying = - (Strike)/(Call - Put - 1) 46 | 47 | Using this formula on all option pairs and averaging the Underlying yields a quite strong approximation of the underlying future price. 48 | 49 | 50 |

Resulting PDF

51 | 52 | The .plot_pdf_cdf(self) function yields the following plots: 53 | ![image](https://github.com/1leolem1/Implied-PDF-from-crypto-option-prices/assets/58358116/628c28ee-3849-43fa-a43a-ec857ef6ca6e) 54 | 55 | ![image](https://github.com/1leolem1/Implied-PDF-from-crypto-option-prices/assets/58358116/49037d9f-d972-499e-9ce4-1c6e2a002126) 56 | 57 | The main issue with this code is the risk of not converging the calibration. I did a good job randomising the inital_values and calibrating several times to find the best params but this might still not be enough and the algo might fail to converge in some cases. The calibration didn't work as well for 27SEP24 expiration but still produced a strong approximation. 58 | So far the code prices butterflies with the SABR mid-price curve. It is not considering the spread. 59 | -------------------------------------------------------------------------------- /ETH-27SEP24-export.csv: -------------------------------------------------------------------------------- 1 | Instrument,Volume,Open,ExtValue,Rho,Theta,Vega,Gamma,NDelta,Δ|Delta,Last,Size,IV Bid,Bid,Mark,Ask,IV Ask,Size 2 | ETH-27SEP24-200-C,-,-,,0.9147,-0.00695,0.01686,-,,0.99982,-,-,-,-,0.9454,-,-,- 3 | ETH-27SEP24-200-P,350,347,,-0.00388,-0.00695,0.01686,-,,-0.00018,0.0001,-,-,-,0.0001,0.0006,176.5,33 4 | ETH-27SEP24-400-C,-,-,,1.8216,-0.02185,0.06249,-,,0.99927,-,206,-,0.882,0.8908,0.9,206.29,206 5 | ETH-27SEP24-400-P,-,1185,,-0.01556,-0.02185,0.06249,-,,-0.00073,0.0003,2,110.1,0.0001,0.0002,0.0007,134.7,80 6 | ETH-27SEP24-500-C,-,-,,2.26682,-0.03782,0.11271,-,,0.99861,-,166,-,0.8545,0.8637,0.873,185.33,163 7 | ETH-27SEP24-500-P,-,101,,-0.02963,-0.03782,0.11271,-,,-0.00139,0.0009,26,98.85,0.0001,0.0004,0.0008,122.79,84 8 | ETH-27SEP24-600-C,-,-,,2.70468,-0.05982,0.1845,-,,0.99761,-,-,-,-,0.8366,-,-,- 9 | ETH-27SEP24-600-P,-,1669,,-0.05106,-0.05982,0.1845,-,,-0.00239,0.0011,20,102.82,0.0004,0.0007,0.001,114.62,102 10 | ETH-27SEP24-800-C,-,-,,3.59023,-0.08467,0.29421,-,,0.99599,0.806,-,-,-,0.7822,-,-,- 11 | ETH-27SEP24-800-P,-,1232,,-0.0841,-0.08467,0.29421,-,,-0.00401,0.0015,5,90.66,0.0006,0.001,0.0015,101.9,143 12 | ETH-27SEP24-1000-C,-,-,,4.385,-0.18286,0.64543,0.00001,,0.99026,-,-,-,-,0.7292,-,-,- 13 | ETH-27SEP24-1000-P,202,1654,,-0.2079,-0.18286,0.64543,0.00001,,-0.00974,0.0027,11,91.72,0.0021,0.0026,0.0033,98.48,141 14 | ETH-27SEP24-1200-C,-,2,,5.17033,-0.26439,0.99265,0.00002,,0.98399,0.7055,175,-,0.6675,0.6762,0.686,114.13,179 15 | ETH-27SEP24-1200-P,233,866,,-0.34115,-0.26439,0.99265,0.00002,,-0.01601,0.0045,317,87.79,0.0039,0.0043,0.0045,90.03,317 16 | ETH-27SEP24-1300-C,-,-,,5.5269,-0.3239,1.23877,0.00002,,0.97924,-,195,-,0.641,0.6502,0.6595,108.15,189 17 | ETH-27SEP24-1300-P,247,1126,,-0.44387,-0.3239,1.23877,0.00002,,-0.02076,0.005,212,85.64,0.005,0.0057,0.0065,90.05,417 18 | ETH-27SEP24-1400-C,-,1,,5.85483,-0.39596,1.53388,0.00003,,0.97324,0.6632,192,-,0.616,0.6247,0.634,104.2,199 19 | ETH-27SEP24-1400-P,341,1260,,-0.57524,-0.39596,1.53388,0.00003,,-0.02676,0.008,71,85.39,0.007,0.0075,0.008,87.78,71 20 | ETH-27SEP24-1500-C,-,65,,6.16967,-0.46763,1.84163,0.00004,,0.96663,0.6364,156,54.13,0.5905,0.5993,0.6085,100.29,151 21 | ETH-27SEP24-1500-P,253,1100,,-0.71969,-0.46763,1.84163,0.00004,,-0.03337,0.0095,71,84.18,0.009,0.0095,0.01,86.17,171 22 | ETH-27SEP24-1600-C,-,793,,6.46324,-0.54352,2.17529,0.00004,,0.9591,0.6178,179,63.47,0.5655,0.5743,0.5835,97.08,172 23 | ETH-27SEP24-1600-P,320,1253,,-0.88541,-0.54352,2.17529,0.00004,,-0.0409,0.0105,71,82.41,0.011,0.0118,0.0125,84.94,538 24 | ETH-27SEP24-1700-C,-,267,,6.73112,-0.62501,2.53823,0.00005,,0.95045,0.5955,195,68.19,0.5415,0.5497,0.5595,94.98,202 25 | ETH-27SEP24-1700-P,-,857,,-1.07681,-0.62501,2.53823,0.00005,,-0.04955,0.014,73,81.76,0.014,0.0146,0.015,83.21,73 26 | ETH-27SEP24-1800-C,-,1107,,6.9682,-0.71357,2.93307,0.00006,,0.94052,0.52,213,69.02,0.517,0.5256,0.535,92.11,210 27 | ETH-27SEP24-1800-P,357,1318,,-1.29902,-0.71357,2.93307,0.00006,,-0.05948,0.018,70,80.51,0.017,0.0179,0.0185,82.39,263 28 | ETH-27SEP24-1900-C,-,597,,7.17148,-0.80919,3.35745,0.00007,,0.92921,0.5517,213,70.82,0.494,0.5022,0.512,90.59,220 29 | ETH-27SEP24-1900-P,152,1444,,-1.55503,-0.80919,3.35745,0.00007,,-0.07079,0.0215,70,79.97,0.021,0.0218,0.0225,81.6,371 30 | ETH-27SEP24-2000-C,-,753,,7.34484,-0.90808,3.79938,0.00008,,0.9167,0.472,199,71.89,0.4715,0.4794,0.489,88.77,199 31 | ETH-27SEP24-2000-P,60,3573,,-1.84097,-0.90808,3.79938,0.00008,,-0.0833,0.025,70,79.38,0.0255,0.0263,0.027,80.82,70 32 | ETH-27SEP24-2100-C,-,300,,7.48272,-1.01197,4.25965,0.00009,,0.90284,0.5108,210,72.49,0.4495,0.4573,0.4665,87.11,196 33 | ETH-27SEP24-2100-P,23,2240,,-2.16238,-1.01197,4.25965,0.00009,,-0.09716,0.0295,116,78.74,0.0305,0.0316,0.032,80.04,70 34 | ETH-27SEP24-2200-C,-,1324,,7.59455,-1.1147,4.72168,0.0001,,0.88801,0.42,218,72.76,0.428,0.4358,0.4455,86.3,215 35 | ETH-27SEP24-2200-P,41,1140,,-2.50984,-1.1147,4.72168,0.0001,,-0.11199,0.0345,77,78.45,0.0365,0.0374,0.038,79.62,70 36 | ETH-27SEP24-2300-C,-,320,,7.67711,-1.21723,5.18471,0.00011,,0.87212,0.4711,235,72.8,0.407,0.415,0.4245,85.14,230 37 | ETH-27SEP24-2300-P,90,2400,,-2.88656,-1.21723,5.18471,0.00011,,-0.12788,0.041,77,78.05,0.043,0.044,0.0445,79.11,70 38 | ETH-27SEP24-2400-C,-,733,,7.7268,-1.32077,5.64691,0.00012,,0.85512,0.417,182,73,0.387,0.3951,0.4045,84.33,176 39 | ETH-27SEP24-2400-P,4,2780,,-3.29617,-1.32077,5.64691,0.00012,,-0.14488,0.05,77,77.89,0.0505,0.0514,0.052,78.86,70 40 | ETH-27SEP24-2500-C,-,1915,,7.752,-1.42063,6.09695,0.00013,,0.83734,0.4,57,55.05,0.341,0.3758,0.3855,83.79,200 41 | ETH-27SEP24-2500-P,2,818,,-3.73026,-1.42063,6.09695,0.00013,,-0.16266,0.0535,77,77.6,0.0585,0.0594,0.0605,78.8,304 42 | ETH-27SEP24-2600-C,-,716,,7.75319,-1.51641,6.5316,0.00014,,0.81882,0.3435,220,73.41,0.3495,0.3572,0.367,83.2,222 43 | ETH-27SEP24-2600-P,17,726,,-4.18836,-1.51641,6.5316,0.00014,,-0.18118,0.063,77,77.21,0.067,0.0682,0.069,78.33,182 44 | ETH-27SEP24-2700-C,-,539,,7.72864,-1.60905,6.94879,0.00015,,0.79959,0.355,191,73.36,0.3315,0.3394,0.349,82.57,182 45 | ETH-27SEP24-2700-P,-,529,,-4.6722,-1.60905,6.94879,0.00015,,-0.20041,0.076,109,77.01,0.0765,0.0777,0.0785,78.06,192 46 | ETH-27SEP24-2800-C,-,469,,7.68273,-1.69654,7.34349,0.00015,,0.77982,0.3782,207,73.44,0.3145,0.3224,0.332,82.16,198 47 | ETH-27SEP24-2800-P,97,493,,-5.1774,-1.69654,7.34349,0.00015,,-0.22018,0.0835,77,76.96,0.087,0.0881,0.089,77.96,253 48 | ETH-27SEP24-2900-C,-,128,,7.61692,-1.77857,7.71308,0.00016,,0.75962,0.358,-,-,-,0.3061,-,-,- 49 | ETH-27SEP24-2900-P,11,439,,-5.7025,-1.77857,7.71308,0.00016,,-0.24038,0.088,77,76.81,0.098,0.0991,0.1,77.76,160 50 | ETH-27SEP24-3000-C,-,5110,,7.53281,-1.85488,8.05538,0.00017,,0.73909,0.295,56,58.19,0.2495,0.2906,0.3985,126.07,10 51 | ETH-27SEP24-3000-P,34,520,,-6.2459,-1.85488,8.05538,0.00017,,-0.26091,0.103,77,76.81,0.11,0.111,0.112,77.72,234 52 | ETH-27SEP24-3100-C,-,312,,7.43348,-1.92453,8.36853,0.00018,,0.71835,0.3175,-,-,-,0.2758,-,-,- 53 | ETH-27SEP24-3100-P,34,305,,-6.80452,-1.92453,8.36853,0.00018,,-0.28165,0.1245,77,76.72,0.1225,0.1235,0.1245,77.6,225 54 | ETH-27SEP24-3200-C,-,1269,,7.32143,-1.98687,8.65165,0.00018,,0.69749,0.246,47,-,0.0165,0.2616,-,-,- 55 | ETH-27SEP24-3200-P,23,733,,-7.37586,-1.98687,8.65165,0.00018,,-0.30251,0.129,78,76.57,0.1355,0.1366,0.1375,77.41,212 56 | ETH-27SEP24-3300-C,-,1,,7.19686,-2.04273,8.90435,0.00019,,0.67658,0.26,58,44.94,0.1705,0.2481,-,-,- 57 | ETH-27SEP24-3300-P,65,177,,-7.95972,-2.04273,8.90435,0.00019,,-0.32342,0.1485,125,76.15,0.1485,0.1505,0.1515,77.38,207 58 | ETH-27SEP24-3400-C,-,1088,,7.06201,-2.09175,9.12651,0.00019,,0.6557,0.2275,109,55.17,0.181,0.2352,0.325,113.33,102 59 | ETH-27SEP24-3400-P,63,345,,-8.55386,-2.09175,9.12651,0.00019,,-0.3443,0.163,31,76.5,0.164,0.165,0.166,77.3,203 60 | ETH-27SEP24-3500-C,-,3135,,6.91857,-2.13388,9.31842,0.0002,,0.63493,0.249,149,75.95,0.221,0.223,0.2245,77.32,143 61 | ETH-27SEP24-3500-P,124,1290,,-9.15659,-2.13388,9.31842,0.0002,,-0.36507,0.1805,12,76.6,0.1795,0.1801,0.1815,77.38,207 62 | ETH-27SEP24-3600-C,-,567,,6.76804,-2.16915,9.48073,0.0002,,0.61432,0.2135,144,75.95,0.2095,0.2114,0.213,77.3,144 63 | ETH-27SEP24-3600-P,14,319,,-9.76641,-2.16915,9.48073,0.0002,,-0.38568,0.1835,33,76.27,0.1945,0.1958,0.197,77.23,159 64 | ETH-27SEP24-3700-C,-,963,,6.60807,-2.20248,9.61278,0.0002,,0.59418,0.2135,58,76.12,0.199,0.2007,0.202,77.26,162 65 | ETH-27SEP24-3700-P,80,307,,-10.38568,-2.20248,9.61278,0.0002,,-0.40582,0.192,214,75.54,0.209,0.2125,0.214,77.44,72 66 | ETH-27SEP24-3800-C,332,863,,6.44665,-2.22643,9.71814,0.00021,,0.57419,0.2025,147,76.07,0.1885,0.1904,0.1915,77.2,16 67 | ETH-27SEP24-3800-P,63,355,,-11.00638,-2.22643,9.71814,0.00021,,-0.42581,0.2055,172,75,0.2245,0.2295,0.232,77.82,192 68 | ETH-27SEP24-3900-C,35,354,,6.28111,-2.24647,9.79659,0.00021,,0.55469,0.183,67,76.39,0.1795,0.1807,0.1815,77.14,14 69 | ETH-27SEP24-3900-P,-,88,,-11.63121,-2.24647,9.79659,0.00021,,-0.44531,0.2115,201,74.83,0.2415,0.2472,0.2495,77.81,70 70 | ETH-27SEP24-4000-C,244,5326,,6.11358,-2.26216,9.85005,0.00021,,0.53569,0.1775,141,76.34,0.17,0.1717,0.1725,77.27,27 71 | ETH-27SEP24-4000-P,51,245,,-12.25803,-2.26216,9.85005,0.00021,,-0.46431,0.2455,127,63.55,0.229,0.2655,0.328,100.46,80 72 | ETH-27SEP24-4100-C,42,187,,5.94597,-2.26997,9.88075,0.00021,,0.51692,0.169,233,76.29,0.161,0.1629,0.1635,77.21,20 73 | ETH-27SEP24-4100-P,102,103,,-12.88494,-2.26997,9.88075,0.00021,,-0.48308,0.2585,116,63.57,0.2475,0.2841,0.3155,88.76,116 74 | ETH-27SEP24-4200-C,12,286,,5.77795,-2.27427,9.8896,0.00021,,0.49871,0.155,142,76.44,0.153,0.1547,0.1555,77.36,70 75 | ETH-27SEP24-4200-P,-,5,,-13.51225,-2.27427,9.8896,0.00021,,-0.50129,0.3475,116,63.02,0.265,0.3032,0.3355,89.13,116 76 | ETH-27SEP24-4300-C,34,795,,5.6104,-2.27268,9.87826,0.00021,,0.48086,0.149,230,76.43,0.145,0.1468,0.148,77.54,160 77 | ETH-27SEP24-4300-P,-,-,,-14.13909,-2.27268,9.87826,0.00021,,-0.51914,-,70,62.07,0.282,0.3227,0.3565,89.73,118 78 | ETH-27SEP24-4400-C,21,739,,5.44447,-2.26964,9.84882,0.00021,,0.46376,0.152,243,76.45,0.1375,0.1396,0.1405,77.57,70 79 | ETH-27SEP24-4400-P,-,-,,-14.76431,-2.26964,9.84882,0.00021,,-0.53624,-,124,62.06,0.302,0.3428,0.3775,90.2,124 80 | ETH-27SEP24-4500-C,142,4721,,5.28025,-2.26174,9.80247,0.00021,,0.44707,0.1325,242,76.7,0.131,0.1327,0.1335,77.63,70 81 | ETH-27SEP24-4500-P,-,440,,-15.38781,-2.26174,9.80247,0.00021,,-0.55293,0.3425,-,-,-,0.3632,-,-,- 82 | ETH-27SEP24-4600-C,327,1006,,5.11885,-2.25153,9.74142,0.0002,,0.43102,0.127,245,76.81,0.1245,0.1262,0.127,77.75,70 83 | ETH-27SEP24-4600-P,-,301,,-16.0085,-2.25153,9.74142,0.0002,,-0.56898,0.363,-,-,-,0.3841,-,-,- 84 | ETH-27SEP24-4800-C,77,964,,4.80495,-2.22196,9.58026,0.0002,,0.40047,0.1175,261,77.01,0.1125,0.1144,0.115,77.97,88 85 | ETH-27SEP24-4800-P,-,200,,-17.24099,-2.22196,9.58026,0.0002,,-0.59953,0.3559,221,73.65,0.416,0.427,0.433,80.16,218 86 | ETH-27SEP24-5000-C,58,4390,,4.50554,-2.18354,9.37728,0.0002,,0.37214,0.103,6,77.5,0.1025,0.1039,0.1045,78.28,82 87 | ETH-27SEP24-5000-P,-,40,,-18.45897,-2.18354,9.37728,0.0002,,-0.62786,1.06,192,73.79,0.46,0.4712,0.4775,80.64,192 88 | ETH-27SEP24-5500-C,45,4869,,3.82255,-2.05449,8.74171,0.00018,,0.30968,0.0845,120,78.11,0.0805,0.0821,0.0825,78.94,70 89 | ETH-27SEP24-5500-P,-,-,,-21.43842,-2.05449,8.74171,0.00018,,-0.69032,0.7575,176,74.01,0.5745,0.5861,0.593,81.8,181 90 | ETH-27SEP24-6000-C,93,4773,,3.23708,-1.90035,8.01247,0.00016,,0.25822,0.074,125,78.81,0.064,0.0655,0.066,79.73,174 91 | ETH-27SEP24-6000-P,-,-,,-24.32034,-1.90035,8.01247,0.00016,,-0.74178,0.775,179,74.44,0.695,0.7062,0.7135,82.96,177 92 | ETH-27SEP24-6500-C,1,2817,,2.74019,-1.73561,7.25859,0.00015,,0.21578,0.055,185,79.57,0.0515,0.0526,0.0535,80.58,295 93 | ETH-27SEP24-6500-P,-,-,,-27.11368,-1.73561,7.25859,0.00015,,-0.78422,-,207,74.3,0.8185,0.8301,0.8375,84.02,203 94 | ETH-27SEP24-7000-C,21,1749,,2.32118,-1.57092,6.52265,0.00013,,0.18079,0.042,191,79.83,0.041,0.0426,0.043,80.96,114 95 | ETH-27SEP24-7000-P,-,-,,-29.82914,-1.57092,6.52265,0.00013,,-0.81921,-,188,74.01,0.945,0.9568,0.963,84.39,183 96 | ETH-27SEP24-7500-C,14,977,,1.97023,-1.41394,5.83155,0.00012,,0.15202,0.0395,197,80.51,0.0335,0.0347,0.0355,81.77,284 97 | ETH-27SEP24-7500-P,-,115,,-32.47655,-1.41394,5.83155,0.00012,,-0.84798,0.9286,175,72.58,1.0725,1.0856,1.093,86.02,173 98 | ETH-27SEP24-8000-C,-,1133,,1.67432,-1.26582,5.19115,0.0001,,0.12811,0.0355,70,81.08,0.0275,0.0284,0.029,82.14,124 99 | ETH-27SEP24-8000-P,-,-,,-35.06891,-1.26582,5.19115,0.0001,,-0.87189,2.1065,154,70.73,1.202,1.216,1.224,87.37,169 100 | ETH-27SEP24-8500-C,5,1811,,1.42731,-1.13104,4.61314,0.00009,,0.10842,0.028,70,81.43,0.0225,0.0234,0.024,82.63,129 101 | ETH-27SEP24-8500-P,-,-,,-37.61237,-1.13104,4.61314,0.00009,,-0.89158,-,157,70.05,1.3345,1.3478,1.3545,87.59,159 102 | ETH-27SEP24-9000-C,142,323,,1.22633,-1.01496,4.11191,0.00008,,0.09261,0.023,303,81.75,0.0185,0.0196,0.02,83.1,132 103 | ETH-27SEP24-9000-P,-,-,,-40.1098,-1.01496,4.11191,0.00008,,-0.90739,-,129,66.72,1.4665,1.4807,1.4875,88.82,130 104 | ETH-27SEP24-10000-C,321,1403,,0.91233,-0.81444,3.26239,0.00006,,0.0682,0.017,70,82.68,0.013,0.0139,0.0145,84.37,262 105 | ETH-27SEP24-10000-P,-,-,,-45.0167,-0.81444,3.26239,0.00006,,-0.9318,-,122,-,1.7335,1.7484,1.755,90.9,122 106 | ETH-27SEP24-12000-C,120,1022,,0.54844,-0.55408,2.15817,0.00004,,0.04051,0.0085,273,84.56,0.007,0.0079,0.0085,87.13,414 107 | ETH-27SEP24-12000-P,-,-,,-54.5664,-0.55408,2.15817,0.00004,,-0.95949,-,-,-,-,2.2893,-,-,- 108 | ETH-27SEP24-15000-C,2,704,,0.28074,-0.32432,1.22452,0.00002,,0.02048,0.0046,317,87.67,0.0034,0.0038,0.0043,90.32,317 109 | ETH-27SEP24-15000-P,-,-,,-68.61281,-0.32432,1.22452,0.00002,,-0.97952,-,-,-,-,3.1055,-,-,- 110 | -------------------------------------------------------------------------------- /BTC-27DEC24-export.csv: -------------------------------------------------------------------------------- 1 | Instrument,Volume,Open,ExtValue,Rho,Theta,Vega,Gamma,NDelta,Δ|Delta,Last,Size,IV Bid,Bid,Mark,Ask,IV Ask,Size 2 | BTC-27DEC24-10000-C,-,-,,68.91807,-1.1971,5.92418,-,,0.99701,-,-,-,-,0.8712,-,-,- 3 | BTC-27DEC24-10000-P,-,31.1,,-2.21758,-1.1971,5.92418,-,,-0.00299,0.0012,20,99.61,0.0007,0.0011,0.0015,110.02,22.5 4 | BTC-27DEC24-15000-C,-,0.5,,102.30295,-1.96699,11.17577,-,,0.99392,0.808,-,-,-,0.8071,0.9365,333.06,0.1 5 | BTC-27DEC24-15000-P,-,86.8,,-4.40053,-1.96699,11.17577,-,,-0.00608,0.0022,12.4,88.02,0.0015,0.002,0.0025,94.88,12.4 6 | BTC-27DEC24-20000-C,-,3.3,,132.35359,-3.76913,22.57656,-,,0.98642,0.735,-,-,-,0.7447,0.85,229.65,0.1 7 | BTC-27DEC24-20000-P,-,68.4,,-9.91772,-3.76913,22.57656,-,,-0.01358,0.0075,12.8,84.84,0.004,0.0045,0.005,88.27,12.4 8 | BTC-27DEC24-25000-C,-,3.9,,158.44712,-6.37945,39.40006,-,,0.97386,0.6856,-,-,-,0.6845,-,-,- 9 | BTC-27DEC24-25000-P,-,216.7,,-19.39201,-6.37945,39.40006,-,,-0.02614,0.009,12.4,82.56,0.0085,0.0093,0.0105,86.42,20.3 10 | BTC-27DEC24-28000-C,-,-,,172.79423,-8.00093,50.61193,-,,0.96463,0.4685,-,-,-,0.6491,-,-,- 11 | BTC-27DEC24-28000-P,-,146.7,,-26.3856,-8.00093,50.61193,-,,-0.03537,0.0155,19.8,80.05,0.0115,0.0128,0.014,83.87,19.8 12 | BTC-27DEC24-29000-C,-,3.3,,177.10212,-8.62215,54.8365,-,,0.96099,0.647,-,-,-,0.6376,-,-,- 13 | BTC-27DEC24-29000-P,-,55.7,,-29.19128,-8.62215,54.8365,-,,-0.03901,0.0135,19.1,79.81,0.013,0.0143,0.016,84,19.1 14 | BTC-27DEC24-30000-C,-,11.1,,181.27488,-9.24728,59.14376,-,,0.95717,0.637,-,-,-,0.6261,-,-,- 15 | BTC-27DEC24-30000-P,0.3,87.9,,-32.13208,-9.24728,59.14376,-,,-0.04283,0.0165,18.6,79.41,0.0145,0.0159,0.017,82.68,18.6 16 | BTC-27DEC24-31000-C,-,2.8,,185.12411,-9.93035,63.74956,-,,0.95299,0.475,-,-,-,0.6149,-,-,- 17 | BTC-27DEC24-31000-P,-,27.2,,-35.39642,-9.93035,63.74956,-,,-0.04701,0.0195,18.1,78.89,0.016,0.0176,0.019,82.53,18.1 18 | BTC-27DEC24-32000-C,-,-,,189.29037,-10.4826,67.89584,-,,0.94914,0.4095,5,62.55,0.591,0.6035,0.617,93.8,5 19 | BTC-27DEC24-32000-P,-,25.3,,-38.34372,-10.4826,67.89584,-,,-0.05086,0.0255,19.9,79.44,0.0185,0.0192,0.02,81.14,18 20 | BTC-27DEC24-33000-C,-,0.5,,192.76637,-11.19478,72.73607,-,,0.94452,0.6125,5,64.01,0.58,0.5925,0.606,92.77,5 21 | 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BTC-27DEC24-45000-P,20,349,,-100.20611,-20.20095,134.46525,-,,-0.12605,0.056,16.2,77.5,0.056,0.0569,0.058,78.64,14 46 | BTC-27DEC24-46000-C,1,12.9,,220.89186,-20.97599,139.62871,-,,0.8669,0.465,5,70.88,0.451,0.4635,0.4775,85.51,5 47 | BTC-27DEC24-46000-P,-,90.2,,-106.33216,-20.97599,139.62871,-,,-0.1331,0.067,15.9,77.44,0.06,0.0611,0.062,78.54,12 48 | BTC-27DEC24-47000-C,-,15.9,,221.75252,-21.73585,144.70902,-,,0.85976,0.481,5,71.26,0.4425,0.4548,0.4685,85.11,5 49 | BTC-27DEC24-47000-P,1,12.2,,-112.58505,-21.73585,144.70902,-,,-0.14024,0.064,15.5,77.3,0.064,0.0654,0.066,78.36,10 50 | BTC-27DEC24-48000-C,-,24.2,,222.53664,-22.46869,149.6801,-,,0.85256,0.473,5,71.26,0.4335,0.4462,0.46,84.91,5 51 | BTC-27DEC24-48000-P,1.5,38.9,,-118.9145,-22.46869,149.6801,-,,-0.14744,0.0675,15.2,77.35,0.0685,0.0697,0.0705,78.38,11 52 | BTC-27DEC24-49000-C,-,8.7,,223.1077,-23.20747,154.60252,-,,0.84521,0.4565,5,71.43,0.425,0.4378,0.4515,84.65,5 53 | BTC-27DEC24-49000-P,-,23.9,,-125.45701,-23.20747,154.60252,-,,-0.15479,0.074,14.9,77.32,0.073,0.0743,0.075,78.31,11 54 | BTC-27DEC24-50000-C,6,132.2,,223.55371,-23.93142,159.42936,-,,0.83778,0.4395,5,71.76,0.417,0.4296,0.443,84.33,5 55 | BTC-27DEC24-50000-P,0.1,181.6,,-132.12456,-23.93142,159.42936,-,,-0.16222,0.076,14.7,77.22,0.0775,0.0791,0.0795,78.18,9 56 | BTC-27DEC24-51000-C,1,14,,223.87604,-24.64063,164.157,-,,0.83028,0.4245,5,71.76,0.4085,0.4215,0.435,84.2,5 57 | BTC-27DEC24-51000-P,3,24.6,,-138.9158,-24.64063,164.157,-,,-0.16972,0.0855,14.4,77.05,0.082,0.084,0.0845,78.22,9 58 | BTC-27DEC24-52000-C,-,25.5,,224.07839,-25.33472,168.78111,0.00001,,0.82271,0.4045,5,71.91,0.4005,0.4135,0.427,84.01,5 59 | BTC-27DEC24-52000-P,-,20.5,,-145.82701,-25.33472,168.78111,0.00001,,-0.17729,0.085,14.2,77.28,0.0875,0.089,0.09,78.42,12 60 | BTC-27DEC24-53000-C,1,26.4,,224.16902,-26.01227,173.29642,0.00001,,0.81508,0.4335,5,72.21,0.393,0.4057,0.419,83.77,5 61 | BTC-27DEC24-53000-P,-,50.5,,-152.84995,-26.01227,173.29642,0.00001,,-0.18492,0.101,14,76.99,0.092,0.0942,0.0955,78.55,16 62 | BTC-27DEC24-54000-C,-,20.9,,224.1506,-26.67327,177.70001,0.00001,,0.8074,0.4205,5,72.21,0.385,0.3981,0.4115,83.7,5 63 | BTC-27DEC24-54000-P,-,55.9,,-159.98194,-26.67327,177.70001,0.00001,,-0.1926,0.119,13.7,77.09,0.0975,0.0995,0.1005,78.39,12 64 | BTC-27DEC24-55000-C,-,533.5,,224.02902,-27.31695,181.98844,0.00001,,0.79967,0.383,5,76.83,0.388,0.3906,0.3965,80.42,5 65 | BTC-27DEC24-55000-P,0.7,239.4,,-167.21708,-27.31695,181.98844,0.00001,,-0.20033,0.1005,13.6,77.11,0.103,0.105,0.1065,78.6,14 66 | BTC-27DEC24-56000-C,-,35.5,,223.80864,-27.94298,186.15915,0.00001,,0.7919,0.371,5,76.8,0.3805,0.3832,0.389,80.31,5 67 | BTC-27DEC24-56000-P,-,84.1,,-174.55102,-27.94298,186.15915,0.00001,,-0.2081,0.105,13.5,77.08,0.1085,0.1106,0.1115,78.32,12 68 | BTC-27DEC24-57000-C,-,131.5,,223.49408,-28.55101,190.20991,0.00001,,0.78409,0.3675,5,76.92,0.3735,0.376,0.382,80.35,5 69 | BTC-27DEC24-57000-P,-,16.8,,-181.97915,-28.55101,190.20991,0.00001,,-0.21591,0.12,13.2,77,0.114,0.1164,0.118,78.62,15 70 | BTC-27DEC24-58000-C,1,19.4,,223.0899,-29.14072,194.13893,0.00001,,0.77627,0.379,5,76.77,0.366,0.3689,0.375,80.34,5 71 | BTC-27DEC24-58000-P,-,27.2,,-189.4969,-29.14072,194.13893,0.00001,,-0.22373,0.112,13.2,77.06,0.12,0.1223,0.124,78.64,14 72 | BTC-27DEC24-59000-C,-,28,,222.59995,-29.712,197.94485,0.00001,,0.76842,0.344,5,76.78,0.359,0.3619,0.368,80.28,5 73 | BTC-27DEC24-59000-P,-,32,,-197.10041,-29.712,197.94485,0.00001,,-0.23158,0.13,13.1,77.06,0.126,0.1283,0.13,78.62,12 74 | BTC-27DEC24-60000-C,2.2,746.8,,222.02858,-30.26463,201.62658,0.00001,,0.76055,0.367,5,76.92,0.3525,0.3551,0.361,80.17,5 75 | BTC-27DEC24-60000-P,30,125.1,,-204.78535,-30.26463,201.62658,0.00001,,-0.23945,0.125,12.8,77.01,0.132,0.1345,0.136,78.54,12 76 | BTC-27DEC24-61000-C,-,24.6,,221.40197,-30.79265,205.18273,0.00001,,0.75268,0.342,5,76.83,0.3455,0.3484,0.354,80.02,5 77 | BTC-27DEC24-61000-P,-,14.7,,-212.52552,-30.79265,205.18273,0.00001,,-0.24732,0.154,12.7,77.11,0.1385,0.1408,0.143,78.79,13 78 | BTC-27DEC24-62000-C,-,50.1,,220.67989,-31.30755,208.61486,0.00001,,0.74479,0.3585,10,76.87,0.339,0.3418,0.3475,80.01,10 79 | BTC-27DEC24-62000-P,0.9,15,,-220.36117,-31.30755,208.61486,0.00001,,-0.25521,0.1615,12.7,77.15,0.145,0.1472,0.1495,78.81,13 80 | BTC-27DEC24-63000-C,-,36.7,,219.89538,-31.80158,211.92171,0.00001,,0.73691,0.3695,10,76.86,0.3325,0.3354,0.341,79.95,10 81 | BTC-27DEC24-63000-P,-,56.6,,-228.25924,-31.80158,211.92171,0.00001,,-0.26309,0.162,12.6,77.14,0.1515,0.1537,0.1565,78.96,14 82 | BTC-27DEC24-65000-C,0.8,926.9,,218.12598,-32.73456,218.16042,0.00001,,0.72116,0.3325,10,76.89,0.32,0.3228,0.3285,79.89,10 83 | BTC-27DEC24-65000-P,-,52.6,,-244.25577,-32.73456,218.16042,0.00001,,-0.27884,0.2,12.3,77.17,0.165,0.1672,0.17,78.94,13 84 | BTC-27DEC24-70000-C,0.3,1382,,212.44232,-34.83725,231.53889,0.00001,,0.68226,0.308,10,76.84,0.2905,0.2943,0.299,79.67,10 85 | BTC-27DEC24-70000-P,-,89.8,,-285.50726,-34.83725,231.53889,0.00001,,-0.31774,0.239,9.1,77.46,0.2015,0.2036,0.2055,78.79,9 86 | BTC-27DEC24-75000-C,8,937.5,,205.49169,-36.61212,241.82824,0.00001,,0.64473,0.271,8,77.97,0.2675,0.2695,0.272,79.4,13 87 | BTC-27DEC24-75000-P,1.3,63,,-328.02572,-36.61212,241.82824,0.00001,,-0.35527,0.2505,11.8,76.67,0.2375,0.2437,0.2465,79.53,14 88 | BTC-27DEC24-80000-C,5,539.4,,198.09719,-37.92539,249.4235,0.00001,,0.60853,0.253,8.2,78.23,0.2445,0.2468,0.2495,79.78,13.2 89 | BTC-27DEC24-80000-P,-,64.3,,-370.98805,-37.92539,249.4235,0.00001,,-0.39147,0.2975,10,75.92,0.276,0.286,0.2925,81.01,14 90 | BTC-27DEC24-85000-C,4,424.6,,190.40229,-38.82823,254.63582,0.00001,,0.57371,0.23,10.2,78.56,0.224,0.226,0.2285,79.92,13.2 91 | BTC-27DEC24-85000-P,-,16.4,,-414.25077,-38.82823,254.63582,0.00001,,-0.42629,0.356,16,75.85,0.319,0.3302,0.3355,80.84,16 92 | BTC-27DEC24-90000-C,10.1,501.7,,182.50069,-39.40589,257.73265,0.00001,,0.54053,0.211,12.5,78.7,0.205,0.2073,0.21,80.2,13.5 93 | BTC-27DEC24-90000-P,0.2,28.6,,-457.7202,-39.40589,257.73265,0.00001,,-0.45947,0.362,10,75.15,0.362,0.3764,0.38,80.52,12 94 | BTC-27DEC24-95000-C,2.2,287.4,,174.53461,-39.73658,259.00065,0.00001,,0.50928,0.197,9.7,79.19,0.189,0.1906,0.193,80.38,10 95 | BTC-27DEC24-95000-P,-,10.9,,-501.25411,-39.73658,259.00065,0.00001,,-0.49072,0.4565,10,75.37,0.41,0.4246,0.429,81.02,12 96 | BTC-27DEC24-100000-C,11.6,3209.9,,166.64892,-39.82565,258.73789,0.00001,,0.47978,0.1805,12.9,79.33,0.1735,0.1755,0.178,80.67,10 97 | BTC-27DEC24-100000-P,0.1,21.3,,-544.70762,-39.82565,258.73789,0.00001,,-0.52022,0.4335,10,75.52,0.4595,0.4745,0.488,84.01,10 98 | BTC-27DEC24-105000-C,3,95.6,,158.93145,-39.72745,257.20268,0.00001,,0.45212,0.1725,13,79.63,0.16,0.1619,0.1645,80.97,10 99 | BTC-27DEC24-105000-P,-,0.9,,-587.99292,-39.72745,257.20268,0.00001,,-0.54788,0.447,10,75.81,0.511,0.5259,0.5395,84.34,10 100 | BTC-27DEC24-110000-C,18.6,496.2,,151.47225,-39.49844,254.65361,0.00001,,0.42644,0.1495,3,80.28,0.149,0.1498,0.152,81.19,10 101 | BTC-27DEC24-110000-P,-,2.1,,-631.01995,-39.49844,254.65361,0.00001,,-0.57356,0.661,9,75.98,0.5635,0.5787,0.5925,84.75,9 102 | BTC-27DEC24-115000-C,3,80.2,,144.18769,-39.03395,251.15987,0.00001,,0.40166,0.1375,11.4,80.27,0.137,0.1384,0.141,81.5,10 103 | BTC-27DEC24-115000-P,-,-,,-673.87234,-39.03395,251.15987,0.00001,,-0.59834,1.514,8,76.07,0.617,0.6322,0.6465,85.12,8 104 | BTC-27DEC24-120000-C,0.1,569.2,,137.25989,-38.52805,247.05645,0.00001,,0.37898,0.142,11.4,80.56,0.127,0.1283,0.1305,81.65,10 105 | BTC-27DEC24-120000-P,-,6.3,,-716.36796,-38.52805,247.05645,0.00001,,-0.62102,0.7435,7,76.13,0.6715,0.6871,0.7015,85.5,7 106 | BTC-27DEC24-125000-C,38,109.8,,130.65536,-37.94291,242.44466,0.00001,,0.35785,0.1195,12.4,80.86,0.118,0.1193,0.1215,81.97,10 107 | BTC-27DEC24-125000-P,-,6.2,,-758.54032,-37.94291,242.44466,0.00001,,-0.64215,0.7802,6,76.36,0.7275,0.743,0.7575,85.9,6 108 | BTC-27DEC24-130000-C,1,247,,124.37393,-37.29171,237.44435,0.00001,,0.33814,0.1165,14.4,81.05,0.1095,0.111,0.113,82.18,10 109 | BTC-27DEC24-130000-P,-,15.5,,-800.38958,-37.29171,237.44435,0.00001,,-0.66186,0.8715,6,76.29,0.7835,0.7997,0.8145,86.37,6 110 | BTC-27DEC24-135000-C,0.2,55.6,,118.38606,-36.57257,232.1222,0.00001,,0.31964,0.1035,14.5,81.32,0.102,0.1035,0.105,82.32,10 111 | BTC-27DEC24-135000-P,-,17.4,,-841.94528,-36.57257,232.1222,0.00001,,-0.68036,0.8795,5,76.29,0.8405,0.8571,0.872,86.77,5 112 | BTC-27DEC24-140000-C,2.1,237.3,,112.59597,-35.74804,226.43196,0.00001,,0.3019,0.097,4,81.7,0.0955,0.0963,0.098,82.55,10 113 | BTC-27DEC24-140000-P,-,1.2,,-883.3032,-35.74804,226.43196,0.00001,,-0.6981,0.975,5,76.2,0.898,0.9149,0.93,87.12,5 114 | BTC-27DEC24-150000-C,2,299,,101.99981,-34.085,214.81019,0.00001,,0.27023,0.0875,13.5,82.04,0.083,0.084,0.0855,82.93,10 115 | BTC-27DEC24-150000-P,-,2.2,,-965.03501,-34.085,214.81019,0.00001,,-0.72977,1.096,-,-,-,1.0325,-,-,- 116 | BTC-27DEC24-160000-C,-,310,,92.52942,-32.38583,203.07174,0.00001,,0.24262,0.074,6,82.56,0.073,0.0736,0.075,83.32,10 117 | BTC-27DEC24-160000-P,-,2.9,,-1045.64105,-32.38583,203.07174,0.00001,,-0.75738,1.4,-,-,-,1.1521,-,-,- 118 | BTC-27DEC24-180000-C,2.2,287.8,,76.36853,-28.94956,180.00209,0.00001,,0.19672,0.0585,2,83.39,0.057,0.0573,0.058,83.82,5 119 | BTC-27DEC24-180000-P,-,14.1,,-1204.07325,-28.94956,180.00209,0.00001,,-0.80328,1.345,-,-,-,1.3955,-,-,- 120 | BTC-27DEC24-200000-C,8,518,,63.29316,-25.64631,158.42247,-,,0.16065,0.0455,17,83.78,0.0445,0.0451,0.046,84.51,16 121 | BTC-27DEC24-200000-P,-,17.8,,-1359.41993,-25.64631,158.42247,-,,-0.83935,1.812,-,-,-,1.6431,-,-,- 122 | BTC-27DEC24-240000-C,22,359.3,,44.08562,-19.86792,121.5565,-,,0.10931,0.029,16,84.67,0.0285,0.0288,0.0295,85.31,11 123 | BTC-27DEC24-240000-P,0.1,7.6,,-1663.17008,-19.86792,121.5565,-,,-0.89069,2.09,-,-,-,2.1464,-,-,- 124 | BTC-27DEC24-300000-C,0.1,248.7,,27.39072,-13.93354,83.77048,-,,0.06646,0.016,3,86.42,0.0165,0.0164,0.017,86.87,10 125 | BTC-27DEC24-300000-P,-,1.4,,-2106.67892,-13.93354,83.77048,-,,-0.93354,3.093,-,-,-,2.9135,-,-,- 126 | -------------------------------------------------------------------------------- /BTC-27SEP24-export.csv: -------------------------------------------------------------------------------- 1 | Instrument,Volume,Open,ExtValue,Rho,Theta,Vega,Gamma,NDelta,Δ|Delta,Last,Size,IV Bid,Bid,Mark,Ask,IV Ask,Size 2 | BTC-27SEP24-10000-C,-,1.2,,45.811,-0.73085,2.18682,-,,0.99872,0.867,0.3,-,0.01,0.8687,-,-,- 3 | BTC-27SEP24-10000-P,0.1,247.8,,-0.57465,-0.73085,2.18682,-,,-0.00128,0.0004,0.7,111.36,0.0003,0.0003,0.0005,117.74,5 4 | BTC-27SEP24-15000-C,-,0.2,,68.2159,-1.42353,4.85883,-,,0.99691,0.758,1,-,0.0001,0.8032,-,-,- 5 | BTC-27SEP24-15000-P,-,235.7,,-1.36258,-1.42353,4.85883,-,,-0.00309,0.0008,0.1,97.93,0.0007,0.0008,0.0013,105.97,11.3 6 | BTC-27SEP24-18000-C,-,1,,81.23325,-2.1287,7.66,-,,0.99486,0.4275,1,-,0.0001,0.7642,-,-,- 7 | BTC-27SEP24-18000-P,-,49.9,,-2.26093,-2.1287,7.66,-,,-0.00514,0.0013,0.2,91.07,0.001,0.0013,0.0019,99.45,11 8 | BTC-27SEP24-19000-C,-,-,,85.46189,-2.43296,8.87896,-,,0.99393,-,1,-,0.0001,0.7513,-,-,- 9 | BTC-27SEP24-19000-P,-,131.4,,-2.67085,-2.43296,8.87896,-,,-0.00607,0.0021,2.5,87.74,0.001,0.0015,0.0022,97.94,14.1 10 | BTC-27SEP24-20000-C,-,2.7,,89.40778,-2.96776,10.83392,-,,0.9924,0.7155,1,-,0.0001,0.7386,-,-,- 11 | BTC-27SEP24-20000-P,0.1,81.2,,-3.36353,-2.96776,10.83392,-,,-0.0076,0.002,3,89.33,0.0015,0.002,0.0025,96.31,13.2 12 | BTC-27SEP24-21000-C,-,0.4,,93.75615,-3.12167,11.69596,-,,0.99171,0.7217,1,-,0.0001,0.7255,-,-,- 13 | BTC-27SEP24-21000-P,-,29,,-3.65372,-3.12167,11.69596,-,,-0.00829,0.0023,2.4,86.18,0.0015,0.0021,0.0028,94.6,13.1 14 | BTC-27SEP24-22000-C,-,0.4,,97.75636,-3.5549,13.44842,-,,0.99028,0.7088,1,-,0.0001,0.7127,-,-,- 15 | BTC-27SEP24-22000-P,-,57.4,,-4.29208,-3.5549,13.44842,-,,-0.00972,0.0031,0.3,86.72,0.002,0.0025,0.0032,93.33,13.4 16 | BTC-27SEP24-23000-C,-,0.8,,101.68509,-4.01815,15.34543,-,,0.98869,0.7025,2.1,79.62,0.6985,0.7,0.7025,98.84,2.1 17 | BTC-27SEP24-23000-P,-,163.1,,-5.00191,-4.01815,15.34543,-,,-0.01131,0.0037,0.3,86.1,0.0024,0.0029,0.0036,91.95,13.4 18 | BTC-27SEP24-24000-C,-,0.5,,105.59266,-4.46826,17.25889,-,,0.98705,0.264,2,78.16,0.6855,0.6872,0.6895,96.09,2 19 | BTC-27SEP24-24000-P,-,156.8,,-5.73291,-4.46826,17.25889,-,,-0.01295,0.008,0.3,85.73,0.0029,0.0033,0.0038,89.68,0.3 20 | BTC-27SEP24-25000-C,-,26,,109.38598,-4.97688,19.40822,-,,0.98516,0.6708,2,79.6,0.673,0.6746,0.677,94.95,2 21 | BTC-27SEP24-25000-P,0.1,237.4,,-6.57815,-4.97688,19.40822,-,,-0.01484,0.0042,8,85.07,0.0034,0.0038,0.0043,88.59,0.1 22 | BTC-27SEP24-26000-C,-,5.3,,113.10705,-5.50681,21.68304,-,,0.98311,0.6582,2,80.2,0.6605,0.662,0.6645,93.71,2 23 | BTC-27SEP24-26000-P,-,123.9,,-7.49565,-5.50681,21.68304,-,,-0.01689,0.006,4.3,84.59,0.004,0.0044,0.005,88.05,11.3 24 | BTC-27SEP24-27000-C,1,12.7,,116.48121,-6.25566,24.67558,-,,0.98034,0.65,2,78.29,0.6475,0.6496,0.652,92.39,2 25 | BTC-27SEP24-27000-P,-,64.8,,-8.76006,-6.25566,24.67558,-,,-0.01966,0.005,12,83.56,0.0045,0.0052,0.006,88.17,13.3 26 | BTC-27SEP24-28000-C,-,30.2,,120.23872,-6.68604,26.78307,-,,0.97834,0.615,1.9,80.04,0.6355,0.637,0.6395,91.01,1.9 27 | BTC-27SEP24-28000-P,-,107.2,,-9.64111,-6.68604,26.78307,-,,-0.02166,0.006,13.9,82.42,0.005,0.0057,0.0065,86.67,13.2 28 | BTC-27SEP24-29000-C,-,15.5,,123.37396,-7.5178,30.14786,-,,0.97508,0.6209,1.9,79.54,0.623,0.6248,0.627,89.58,1.9 29 | BTC-27SEP24-29000-P,0.4,129.8,,-11.14444,-7.5178,30.14786,-,,-0.02492,0.008,4.3,82.58,0.006,0.0067,0.0075,86.35,13.2 30 | BTC-27SEP24-30000-C,-,61.6,,126.77623,-8.11822,32.89686,-,,0.97233,0.61,1.9,78.86,0.6105,0.6124,0.615,89.12,1.9 31 | BTC-27SEP24-30000-P,-,239.4,,-12.38073,-8.11822,32.89686,-,,-0.02767,0.0075,4,82.42,0.007,0.0075,0.008,84.73,11.3 32 | BTC-27SEP24-31000-C,-,29.8,,130.13912,-8.7047,35.67715,-,,0.9695,0.607,1.9,79.25,0.5985,0.6,0.6025,87.57,1.9 33 | BTC-27SEP24-31000-P,-,141.2,,-13.65641,-8.7047,35.67715,-,,-0.0305,0.0085,14.2,80.94,0.0075,0.0083,0.009,84.14,11.3 34 | BTC-27SEP24-32000-C,-,44.4,,132.92621,-9.62289,39.48655,-,,0.9655,0.5846,1.8,79.3,0.5865,0.5881,0.5905,86.88,1.8 35 | BTC-27SEP24-32000-P,30,79.4,,-15.50789,-9.62289,39.48655,-,,-0.0345,0.011,4,81.48,0.009,0.0095,0.01,83.41,11 36 | BTC-27SEP24-33000-C,-,42.9,,135.78894,-10.43736,43.05925,-,,0.96165,0.5687,1.8,79.1,0.5745,0.5761,0.5785,86.07,1.8 37 | BTC-27SEP24-33000-P,10,100.8,,-17.28372,-10.43736,43.05925,-,,-0.03835,0.0115,6.1,80.78,0.01,0.0107,0.0115,83.42,13.1 38 | BTC-27SEP24-34000-C,-,95.9,,138.55927,-11.25678,46.7119,-,,0.95761,0.563,1.8,78.72,0.5625,0.5642,0.567,85.91,1.8 39 | BTC-27SEP24-34000-P,-,63.8,,-19.15196,-11.25678,46.7119,-,,-0.04239,0.0165,4,80.8,0.0115,0.012,0.0125,82.43,11.3 40 | BTC-27SEP24-35000-C,-,641.8,,141.32841,-12.02365,50.28774,-,,0.95355,0.564,1.8,78.97,0.551,0.5523,0.555,84.88,1.8 41 | BTC-27SEP24-35000-P,-,162.7,,-21.02138,-12.02365,50.28774,-,,-0.04645,0.014,14.1,79.85,0.0125,0.0132,0.014,82.11,11.3 42 | BTC-27SEP24-36000-C,-,35.2,,143.53847,-13.07007,54.68586,-,,0.94841,0.5381,6.8,78.25,0.539,0.5409,0.543,83.8,5 43 | BTC-27SEP24-36000-P,9,35,,-23.44988,-13.07007,54.68586,-,,-0.05159,0.015,14,80.25,0.0145,0.015,0.0155,81.64,11.3 44 | BTC-27SEP24-37000-C,-,78.5,,145.77813,-14.03507,58.91427,-,,0.94331,0.5269,6.7,78.13,0.5275,0.5294,0.5315,83.28,5 45 | BTC-27SEP24-37000-P,-,46.4,,-25.84879,-14.03507,58.91427,-,,-0.05669,0.016,14.3,79.75,0.016,0.0167,0.0175,81.68,13 46 | BTC-27SEP24-38000-C,-,34.8,,148.10164,-14.89007,62.91426,-,,0.93836,0.5185,4,79.08,0.517,0.5179,0.52,82.65,5 47 | BTC-27SEP24-38000-P,1,46.9,,-28.16385,-14.89007,62.91426,-,,-0.06164,0.0185,8,79.75,0.018,0.0183,0.019,80.95,10 48 | BTC-27SEP24-39000-C,0.1,35.7,,150.05229,-15.89519,67.35266,-,,0.93271,0.506,6.7,77.98,0.505,0.5067,0.509,82.47,5 49 | BTC-27SEP24-39000-P,3,228.5,,-30.85176,-15.89519,67.35266,-,,-0.06729,0.0205,4,79.57,0.02,0.0203,0.021,80.69,10 50 | BTC-27SEP24-40000-C,1.1,795.5,,151.88133,-16.90184,71.83839,-,,0.92683,0.4885,6.7,77.95,0.494,0.4956,0.498,82.15,5 51 | BTC-27SEP24-40000-P,-,393.1,,-33.66129,-16.90184,71.83839,-,,-0.07317,0.021,6,79.25,0.022,0.0224,0.023,80.3,10 52 | BTC-27SEP24-41000-C,19.7,53.9,,153.41757,-18.00088,76.58111,-,,0.92041,0.455,6.7,77.75,0.483,0.4848,0.487,81.71,5 53 | BTC-27SEP24-41000-P,0.1,55.7,,-36.76361,-18.00088,76.58111,-,,-0.07959,0.028,4,79.3,0.0245,0.0248,0.0255,80.29,10.3 54 | BTC-27SEP24-42000-C,-,23.1,,154.88832,-19.06436,81.26597,-,,0.91388,0.4685,5,78.38,0.473,0.4741,0.476,81.17,5 55 | BTC-27SEP24-42000-P,1,33.7,,-39.93143,-19.06436,81.26597,-,,-0.08612,0.0305,14.3,78.73,0.0265,0.0273,0.028,80.13,10.9 56 | BTC-27SEP24-43000-C,-,27.4,,156.27828,-20.0999,85.91334,-,,0.90719,0.4675,6.6,77.44,0.4615,0.4635,0.4655,80.98,5 57 | BTC-27SEP24-43000-P,-,27.1,,-43.18004,-20.0999,85.91334,-,,-0.09281,0.0335,14.3,78.52,0.029,0.0298,0.0305,79.85,10.6 58 | BTC-27SEP24-44000-C,-,329.5,,157.49334,-21.1558,90.62565,-,,0.9002,0.456,5,78.17,0.452,0.453,0.455,80.67,5 59 | BTC-27SEP24-44000-P,-,39.4,,-46.60354,-21.1558,90.62565,-,,-0.0998,0.0355,8,78.61,0.032,0.0325,0.0335,79.87,10.9 60 | BTC-27SEP24-45000-C,-,217.1,,158.51818,-22.23743,95.40197,-,,0.89288,0.4345,6.6,77.47,0.441,0.4428,0.445,80.65,5 61 | BTC-27SEP24-45000-P,3,66.7,,-50.21727,-22.23743,95.40197,-,,-0.10712,0.0365,5,78.56,0.035,0.0355,0.0365,79.75,10.9 62 | BTC-27SEP24-46000-C,-,34.7,,159.43964,-23.29787,100.13833,-,,0.88539,0.4283,5,77.86,0.4315,0.4327,0.4345,80.13,5 63 | BTC-27SEP24-46000-P,1,29,,-53.93437,-23.29787,100.13833,-,,-0.11461,0.0455,7,78.39,0.038,0.0385,0.0395,79.52,10.9 64 | BTC-27SEP24-47000-C,-,109.4,,160.32592,-24.30166,104.76766,-,,0.87782,0.4055,6.6,77.36,0.421,0.4226,0.425,80.25,6.6 65 | BTC-27SEP24-47000-P,0.2,26.9,,-57.68666,-24.30166,104.76766,-,,-0.12218,0.0445,7,78.1,0.041,0.0416,0.0425,79.19,10.6 66 | BTC-27SEP24-48000-C,-,43.1,,160.92416,-25.37594,109.51647,0.00001,,0.8698,0.4092,6.5,77.13,0.411,0.4129,0.415,79.91,5 67 | BTC-27SEP24-48000-P,25.1,315.2,,-61.72699,-25.37594,109.51647,0.00001,,-0.1302,0.046,6,78.08,0.0445,0.0451,0.046,79.11,10.8 68 | BTC-27SEP24-49000-C,-,25.2,,161.42965,-26.4204,114.19134,0.00001,,0.86163,0.3675,5.5,77.15,0.4015,0.4033,0.4055,79.8,5 69 | BTC-27SEP24-49000-P,-,61.3,,-65.86005,-26.4204,114.19134,0.00001,,-0.13837,0.0445,7,77.93,0.048,0.0486,0.0495,78.93,9.5 70 | BTC-27SEP24-50000-C,-,860.1,,161.77219,-27.46961,118.84323,0.00001,,0.85321,0.3785,6.5,77.04,0.392,0.3939,0.396,79.6,5 71 | BTC-27SEP24-50000-P,-,389.6,,-70.15608,-27.46961,118.84323,0.00001,,-0.14679,0.0565,5,78.01,0.052,0.0524,0.0535,78.97,9.8 72 | BTC-27SEP24-51000-C,-,152.8,,162.06453,-28.46686,123.37873,0.00001,,0.84471,0.3855,3,77.46,0.3835,0.3846,0.3865,79.31,5 73 | BTC-27SEP24-51000-P,3.2,31.7,,-74.50231,-28.46686,123.37873,0.00001,,-0.15529,0.0615,6,77.67,0.0555,0.0562,0.057,78.59,1.5 74 | BTC-27SEP24-52000-C,1,20.7,,162.17135,-29.47923,127.89052,0.00001,,0.83595,0.3655,4,77.45,0.3745,0.3755,0.3775,79.23,5 75 | BTC-27SEP24-52000-P,3,217.2,,-79.03405,-29.47923,127.89052,0.00001,,-0.16405,0.067,12,77.55,0.0595,0.0603,0.0615,78.73,9.7 76 | BTC-27SEP24-53000-C,-,33.3,,162.15635,-30.47497,132.32298,0.00001,,0.82703,0.365,4,77.33,0.3655,0.3666,0.3685,79.05,5 77 | BTC-27SEP24-53000-P,3,215.3,,-83.68761,-30.47497,132.32298,0.00001,,-0.17297,0.071,7,77.62,0.064,0.0646,0.0655,78.48,1.5 78 | BTC-27SEP24-54000-C,-,34.9,,161.99831,-31.46489,136.68059,0.00001,,0.81792,0.375,6.5,76.85,0.356,0.358,0.36,79.08,5 79 | BTC-27SEP24-54000-P,1,52.5,,-88.48422,-31.46489,136.68059,0.00001,,-0.18208,0.076,7,77.6,0.0685,0.0691,0.07,78.43,1.5 80 | BTC-27SEP24-55000-C,-,300.7,,161.74874,-32.42379,140.92688,0.00001,,0.80869,0.3215,6.5,76.85,0.3475,0.3495,0.3515,79.01,5 81 | BTC-27SEP24-55000-P,1,321,,-93.37236,-32.42379,140.92688,0.00001,,-0.19131,0.081,11,77.48,0.073,0.0738,0.0745,78.29,1.5 82 | BTC-27SEP24-56000-C,-,63.3,,161.4415,-33.33504,145.04359,0.00001,,0.79939,0.3446,4,77.28,0.34,0.341,0.343,78.85,5 83 | BTC-27SEP24-56000-P,5.2,49.9,,-98.31816,-33.33504,145.04359,0.00001,,-0.20061,0.0835,7,77.54,0.078,0.0785,0.0795,78.33,1.4 84 | BTC-27SEP24-57000-C,2,122.7,,160.96974,-34.25348,149.07589,0.00001,,0.78992,0.322,5.4,76.84,0.331,0.3329,0.3345,78.62,5 85 | BTC-27SEP24-57000-P,0.3,28,,-103.42849,-34.25348,149.07589,0.00001,,-0.21008,0.082,6,77.51,0.083,0.0836,0.0845,78.28,1.4 86 | BTC-27SEP24-58000-C,-,111.1,,160.41492,-35.13905,152.98078,0.00001,,0.78036,0.3455,5.4,76.83,0.323,0.3249,0.3265,78.57,5 87 | BTC-27SEP24-58000-P,-,33.1,,-108.62187,-35.13905,152.98078,0.00001,,-0.21964,0.093,6,77.4,0.088,0.0888,0.0895,78.15,1.4 88 | BTC-27SEP24-59000-C,1,133.4,,159.76227,-36.00059,156.76066,0.00001,,0.7707,0.301,4,77.23,0.316,0.3171,0.319,78.68,5 89 | BTC-27SEP24-59000-P,-,29.5,,-113.91309,-36.00059,156.76066,0.00001,,-0.2293,0.0985,6,77.46,0.0935,0.0941,0.095,78.19,1.4 90 | BTC-27SEP24-60000-C,0.4,881.8,,159.02045,-36.83514,160.40877,0.00001,,0.76098,0.2995,6.4,76.82,0.3075,0.3095,0.311,78.47,5 91 | BTC-27SEP24-60000-P,27.7,235.4,,-119.29347,-36.83514,160.40877,0.00001,,-0.23902,0.1005,7,77.44,0.099,0.0997,0.1005,78.15,1.4 92 | BTC-27SEP24-62000-C,0.9,298.9,,157.29924,-38.41413,167.2906,0.00001,,0.74136,0.289,7.4,76.96,0.293,0.2948,0.297,78.77,1.4 93 | BTC-27SEP24-62000-P,0.1,122.6,,-130.29182,-38.41413,167.2906,0.00001,,-0.25864,0.119,7,77.4,0.1105,0.1113,0.112,78.08,1.4 94 | BTC-27SEP24-65000-C,3.8,1587.2,,154.22826,-40.52611,176.53629,0.00001,,0.71168,0.266,5.3,76.96,0.272,0.2738,0.276,78.68,1.3 95 | BTC-27SEP24-65000-P,2,393.5,,-147.27849,-40.52611,176.53629,0.00001,,-0.28832,0.1375,8,77.37,0.129,0.1298,0.131,78.23,1.3 96 | BTC-27SEP24-70000-C,6.4,775.1,,147.76301,-43.56741,188.98821,0.00001,,0.66232,0.2355,6.3,77.34,0.241,0.2428,0.2445,78.75,1.3 97 | BTC-27SEP24-70000-P,1.3,152.5,,-176.93658,-43.56741,188.98821,0.00001,,-0.33768,0.165,12,77.59,0.1635,0.1647,0.167,78.99,7 98 | BTC-27SEP24-75000-C,7.3,850.9,,140.44487,-45.78501,197.8148,0.00001,,0.61409,0.2105,6.3,77.67,0.2135,0.2153,0.217,79.01,1.3 99 | BTC-27SEP24-75000-P,-,144.9,,-207.44754,-45.78501,197.8148,0.00001,,-0.38591,0.1905,11.1,77.77,0.2015,0.2031,0.2055,79.3,7 100 | BTC-27SEP24-80000-C,10.1,699.4,,132.63733,-47.24283,203.33373,0.00001,,0.56769,0.192,4,78.45,0.1905,0.1911,0.193,79.38,7.2 101 | BTC-27SEP24-80000-P,5,44.1,,-238.4479,-47.24283,203.33373,0.00001,,-0.43231,0.2599,13,77.67,0.242,0.2447,0.248,79.91,4 102 | BTC-27SEP24-85000-C,2,348.9,,124.61705,-48.0614,205.94613,0.00001,,0.52371,0.1645,3,78.69,0.169,0.1699,0.1715,79.61,9.2 103 | BTC-27SEP24-85000-P,1.2,9.8,,-269.66101,-48.0614,205.94613,0.00001,,-0.47629,0.32,13,77.98,0.2865,0.2893,0.2975,82.04,3 104 | BTC-27SEP24-90000-C,7,1964.5,,116.62451,-48.30353,206.10854,0.00001,,0.48235,0.1485,5.2,78.91,0.15,0.1512,0.1525,79.83,9.2 105 | BTC-27SEP24-90000-P,1.6,4.6,,-300.84638,-48.30353,206.10854,0.00001,,-0.51765,0.3425,13,78.06,0.333,0.3365,0.345,82.48,3 106 | BTC-27SEP24-95000-C,1.8,331.5,,108.81009,-48.06233,204.25433,0.00001,,0.44372,0.129,12.2,79.2,0.1335,0.1348,0.136,80.13,9.2 107 | BTC-27SEP24-95000-P,-,0.3,,-331.85363,-48.06233,204.25433,0.00001,,-0.55628,0.39,10,74.86,0.373,0.3859,-,-,- 108 | BTC-27SEP24-100000-C,82.3,1458.3,,101.29199,-47.45399,200.79978,0.00001,,0.408,0.12,2,79.68,0.1195,0.1204,0.1215,80.44,9.5 109 | BTC-27SEP24-100000-P,-,11.7,,-362.56456,-47.45399,200.79978,0.00001,,-0.592,0.44,10,75.12,0.4245,0.4374,-,-,- 110 | BTC-27SEP24-105000-C,0.1,136.3,,94.10766,-46.50096,196.06761,0.00001,,0.37481,0.1035,14,79.87,0.1065,0.1076,0.1085,80.65,1.3 111 | BTC-27SEP24-105000-P,-,1.2,,-392.94171,-46.50096,196.06761,0.00001,,-0.62519,0.528,10,75.44,0.478,0.4905,-,-,- 112 | BTC-27SEP24-110000-C,0.1,138,,87.33374,-45.33438,190.41012,0.00001,,0.34439,0.0915,11,80.25,0.0955,0.0964,0.0975,81.05,1.3 113 | BTC-27SEP24-110000-P,-,2.7,,-422.90846,-45.33438,190.41012,0.00001,,-0.65561,0.615,10,75.32,0.532,0.5451,-,-,- 114 | BTC-27SEP24-115000-C,11.2,388.9,,80.95447,-43.96728,184.04118,0.00001,,0.31634,0.084,14,80.48,0.0855,0.0865,0.0875,81.31,1.3 115 | BTC-27SEP24-115000-P,-,22.1,,-452.48056,-43.96728,184.04118,0.00001,,-0.68366,0.55,10,75.42,0.588,0.601,-,-,- 116 | BTC-27SEP24-120000-C,-,460.8,,75.00354,-42.4851,177.21867,0.00001,,0.29069,0.0755,1,80.86,0.077,0.0777,0.0785,81.5,1.3 117 | BTC-27SEP24-120000-P,-,0.1,,-481.62431,-42.4851,177.21867,0.00001,,-0.70931,1.638,9,75.42,0.645,0.6581,-,-,- 118 | BTC-27SEP24-125000-C,0.1,97.3,,69.46556,-40.91833,170.10711,0.00001,,0.26723,0.067,14,81,0.069,0.07,0.071,81.9,8.7 119 | BTC-27SEP24-125000-P,-,-,,-510.35512,-40.91833,170.10711,0.00001,,-0.73277,1.828,8,75.37,0.703,0.7162,-,-,- 120 | BTC-27SEP24-130000-C,1,328,,64.31152,-39.28615,162.8207,0.00001,,0.2457,0.0605,19.4,81.19,0.062,0.0631,0.064,82.12,1.7 121 | BTC-27SEP24-130000-P,-,0.1,,-538.70199,-39.28615,162.8207,0.00001,,-0.7543,1.79,-,-,-,0.7752,-,-,- 122 | BTC-27SEP24-140000-C,5.1,919.1,,55.10594,-35.95645,148.18529,0.00001,,0.20796,0.0505,11.4,81.65,0.0505,0.0515,0.0525,82.67,1.7 123 | BTC-27SEP24-140000-P,-,-,,-594.29322,-35.95645,148.18529,0.00001,,-0.79204,2.021,1,-,0.0001,0.8953,-,-,- 124 | BTC-27SEP24-160000-C,2,718.2,,40.58875,-29.58566,120.67989,0.00001,,0.15019,0.0335,11.5,82.41,0.034,0.035,0.036,83.67,1.8 125 | BTC-27SEP24-160000-P,-,-,,-701.58172,-29.58566,120.67989,0.00001,,-0.84981,2.51,-,-,-,1.1421,-,-,- 126 | BTC-27SEP24-180000-C,-,272.2,,30.02955,-23.93577,96.86589,-,,0.10941,0.027,10,83.16,0.0235,0.0241,0.025,84.33,1.9 127 | BTC-27SEP24-180000-P,-,-,,-804.91223,-23.93577,96.86589,-,,-0.89059,2.96,-,-,-,1.3947,-,-,- 128 | BTC-27SEP24-200000-C,6,208.3,,22.48713,-19.32279,77.57276,-,,0.08095,0.016,10,83.75,0.0165,0.0171,0.018,85.21,13 129 | BTC-27SEP24-200000-P,-,-,,-905.22596,-19.32279,77.57276,-,,-0.91905,-,-,-,-,1.6511,-,-,- 130 | BTC-27SEP24-240000-C,0.1,128.7,,13.19642,-12.79732,50.51419,-,,0.04672,0.0085,24.1,84.63,0.0085,0.0092,0.01,86.89,2.1 131 | BTC-27SEP24-240000-P,-,-,,-1100.05928,-12.79732,50.51419,-,,-0.95328,-,-,-,-,2.17,-,-,- 132 | -------------------------------------------------------------------------------- /BTC-26APR24-export.csv: -------------------------------------------------------------------------------- 1 | Instrument,Volume,Open,ExtValue,Rho,Theta,Vega,Gamma,NDelta,Δ|Delta,Last,Size,IV Bid,Bid,Mark,Ask,IV Ask,Size 2 | BTC-26APR24-15000-C,-,-,,7.29904,-0.00475,0.00106,-,,1,-,-,-,-,0.794,-,-,- 3 | BTC-26APR24-15000-P,-,156,,-0.00005,-0.00475,0.00106,-,,-,0.0001,-,-,-,-,0.0001,241.3,6 4 | BTC-26APR24-20000-C,-,-,,9.73134,-0.05923,0.01415,-,,0.99998,-,-,-,-,0.7254,-,-,- 5 | BTC-26APR24-20000-P,-,399.9,,-0.00078,-0.05917,0.01413,-,,-0.00002,0.0001,-,-,-,-,0.0001,198.19,5.1 6 | BTC-26APR24-25000-C,-,21,,12.15402,-0.71142,0.171,-,,0.99971,0.6362,70,-,0.655,0.6568,0.6595,245.11,70 7 | BTC-26APR24-25000-P,5.5,410.4,,-0.01111,-0.71078,0.17085,-,,-0.00029,0.0001,-,-,-,-,0.0004,189.39,17 8 | BTC-26APR24-30000-C,-,37.8,,14.55932,-2.09432,0.54353,-,,0.99899,0.5588,70,-,0.586,0.5882,0.5905,201.35,70 9 | BTC-26APR24-30000-P,2,284.1,,-0.03889,-2.09612,0.544,-,,-0.00101,0.0001,-,-,-,0.0001,0.0004,158.67,29.3 10 | BTC-26APR24-32000-C,-,13.6,,15.49565,-3.82086,0.99588,-,,0.99805,0.5535,70,-,0.5585,0.5608,0.563,187.39,70 11 | BTC-26APR24-32000-P,-,391.5,,-0.0758,-3.82392,0.99667,-,,-0.00195,0.0002,88.8,128.44,0.0001,0.0002,0.0005,151.67,29.5 12 | BTC-26APR24-34000-C,-,103.4,,16.46106,-3.92,1.09395,-,,0.99784,0.5255,70,-,0.531,0.5333,0.5355,174.82,70 13 | BTC-26APR24-34000-P,2,1754.4,,-0.08345,-3.91666,1.09302,-,,-0.00216,0.0003,75.1,119.48,0.0001,0.0002,0.0005,141.24,33.7 14 | BTC-26APR24-35000-C,-,25.8,,16.9469,-3.81181,1.10642,-,,0.99781,0.5,70,-,0.5175,0.5196,0.522,171.39,70 15 | BTC-26APR24-35000-P,1.5,149.4,,-0.08422,-3.80842,1.10544,-,,-0.00219,0.0003,75.6,115.18,0.0001,0.0002,0.0005,136.25,16.9 16 | BTC-26APR24-36000-C,-,65,,17.42334,-4.11909,1.22816,-,,0.99754,0.4838,70,-,0.5035,0.5059,0.508,162.51,70 17 | BTC-26APR24-36000-P,2.8,211.6,,-0.09446,-4.11909,1.22816,-,,-0.00246,0.0002,88.3,110.99,0.0001,0.0002,0.0005,131.38,16.9 18 | BTC-26APR24-37000-C,-,-,,17.89635,-4.5442,1.38814,-,,0.99718,0.196,-,-,-,0.4922,-,-,- 19 | BTC-26APR24-37000-P,1.4,315.6,,-0.10806,-4.5442,1.38814,-,,-0.00282,0.0002,105.2,106.94,0.0001,0.0002,0.0005,126.67,16.3 20 | BTC-26APR24-38000-C,-,-,,18.37527,-4.68713,1.47976,-,,0.99698,0.133,-,-,-,0.4785,-,-,- 21 | BTC-26APR24-38000-P,0.6,259.9,,-0.11587,-4.69152,1.48114,-,,-0.00303,0.0003,105.1,102.97,0.0001,0.0002,0.0004,118.87,12.5 22 | BTC-26APR24-39000-C,-,-,,18.8215,-6.10647,1.93264,-,,0.99593,-,-,-,-,0.4648,-,-,- 23 | BTC-26APR24-39000-P,12.9,506,,-0.15612,-6.10647,1.93264,-,,-0.00407,0.0004,0.3,110.81,0.0003,0.0003,0.0005,117.56,16.4 24 | BTC-26APR24-40000-C,-,46,,19.27586,-7.10322,2.2854,-,,0.99509,0.3805,70,-,0.4485,0.4512,0.4535,144.66,70 25 | BTC-26APR24-40000-P,10,282.5,,-0.18837,-7.10322,2.2854,-,,-0.00491,0.0005,22.5,106.65,0.0003,0.0004,0.0005,113.18,0.3 26 | BTC-26APR24-41000-C,0.6,1213.7,,19.72547,-8.18876,2.68041,-,,0.99413,0.374,70,-,0.435,0.4375,0.44,141.37,77 27 | BTC-26APR24-41000-P,8.1,1519.2,,-0.22513,-8.1815,2.67804,-,,-0.00587,0.0005,14,106.04,0.0004,0.0005,0.0006,111.42,12.4 28 | BTC-26APR24-42000-C,-,90.3,,20.17924,-9.0295,3.02569,-,,0.99327,0.415,9.3,-,0.4215,0.4238,0.426,133.47,8.7 29 | BTC-26APR24-42000-P,22.9,370.3,,-0.2582,-9.0295,3.02569,-,,-0.00673,0.0006,52.6,101.96,0.0004,0.0006,0.0007,109.3,12.9 30 | BTC-26APR24-43000-C,-,275.1,,20.61182,-10.51271,3.57609,-,,0.99186,0.344,20,-,0.4095,0.4102,0.412,126.58,20 31 | BTC-26APR24-43000-P,1,881.4,,-0.31223,-10.51271,3.57609,-,,-0.00814,0.0007,14,102.97,0.0006,0.0007,0.0008,106.93,11.9 32 | BTC-26APR24-44000-C,-,1013.1,,21.04229,-11.93279,4.13409,-,,0.99039,0.384,20,-,0.3955,0.3966,0.3985,123.22,20 33 | BTC-26APR24-44000-P,3.8,693.3,,-0.36874,-11.94318,4.13769,-,,-0.00962,0.0007,14.2,100.9,0.0007,0.0008,0.0009,104.4,9.2 34 | BTC-26APR24-45000-C,-,159.1,,21.46194,-13.55578,4.78184,-,,0.98865,0.332,13.6,-,0.3805,0.383,0.3855,124.2,15 35 | BTC-26APR24-45000-P,3.5,567,,-0.43532,-13.55578,4.78184,-,,-0.01135,0.0008,14.2,98.6,0.0008,0.0009,0.0011,103.13,16 36 | BTC-26APR24-46000-C,159,224.3,,21.85897,-15.71633,5.62013,-,,0.98632,0.374,70,-,0.3665,0.3695,0.3725,123.88,76 37 | BTC-26APR24-46000-P,2,285.6,,-0.52437,-15.70307,5.61539,-,,-0.01367,0.001,18.5,97.59,0.001,0.0011,0.0013,101.44,12.5 38 | BTC-26APR24-47000-C,40,308.3,,22.25921,-17.57071,6.4078,-,,0.98407,0.3605,14.3,-,0.3535,0.356,0.3585,117.03,14.9 39 | BTC-26APR24-47000-P,21.5,323,,-0.61126,-17.57071,6.4078,-,,-0.01593,0.0014,14,96.07,0.0012,0.0013,0.0015,99.43,14 40 | BTC-26APR24-48000-C,-,197.4,,22.63141,-20.01841,7.41641,-,,0.98109,0.285,78.9,-,0.34,0.3425,0.3445,110.99,8.7 41 | BTC-26APR24-48000-P,8.2,236.3,,-0.72566,-20.01841,7.41641,-,,-0.01891,0.0015,8.8,95.2,0.0015,0.0016,0.0016,96.19,1.2 42 | BTC-26APR24-49000-C,-,277.6,,23.00505,-22.17059,8.38577,-,,0.97814,0.277,82.2,-,0.3265,0.329,0.331,107.31,11.5 43 | BTC-26APR24-49000-P,7.1,459.6,,-0.83863,-22.17059,8.38577,-,,-0.02186,0.0019,44,92.05,0.0016,0.0018,0.002,95.54,12.2 44 | BTC-26APR24-50000-C,-,2019.7,,23.33323,-25.26237,9.69324,-,,0.97403,0.2625,70,-,0.3125,0.3156,0.318,106.79,70 45 | BTC-26APR24-50000-P,48.8,2107.4,,-0.99608,-25.24234,9.68556,-,,-0.02594,0.0022,45.8,91.32,0.002,0.0022,0.0023,93.59,10.7 46 | BTC-26APR24-51000-C,-,48.6,,23.6609,-28.02614,10.96374,-,,0.9699,0.235,20,80.32,0.301,0.3022,0.304,100.5,20 47 | BTC-26APR24-51000-P,47.8,631,,-1.15712,-28.04801,10.9723,-,,-0.03014,0.0023,44,89.34,0.0023,0.0025,0.0027,92.01,8.9 48 | BTC-26APR24-52000-C,1,803.9,,23.92383,-32.02755,12.67307,0.00001,,0.96411,0.268,85,-,0.286,0.289,0.2915,101.45,15.1 49 | BTC-26APR24-52000-P,26.3,491.3,,-1.38099,-32.05168,12.68262,0.00001,,-0.03593,0.003,22,88.95,0.0029,0.003,0.0032,90.67,9.4 50 | BTC-26APR24-53000-C,-,143,,24.17867,-35.73252,14.37536,0.00001,,0.9581,0.2145,70,67.49,0.273,0.2758,0.2785,99.88,70 51 | BTC-26APR24-53000-P,14.9,307.4,,-1.61143,-35.73252,14.37536,0.00001,,-0.0419,0.0032,26.3,87.42,0.0034,0.0036,0.0038,89.44,26 52 | BTC-26APR24-54000-C,-,612.6,,24.395,-39.84359,16.27601,0.00001,,0.95111,0.2135,70,65.91,0.2595,0.2627,0.2655,97.54,70 53 | BTC-26APR24-54000-P,49.6,1404.1,,-1.88345,-39.8719,16.28758,0.00001,,-0.04894,0.0039,30.6,86.01,0.004,0.0042,0.0044,87.8,8.7 54 | BTC-26APR24-55000-C,20,1833.7,,24.50873,-45.63346,18.75283,0.00001,,0.94153,0.251,15.5,72.47,0.247,0.2499,0.2525,95.39,15.5 55 | BTC-26APR24-55000-P,46.1,1876.8,,-2.25257,-45.60279,18.74022,0.00001,,-0.05841,0.0048,30.8,85.07,0.0048,0.0052,0.0055,87.79,82.3 56 | BTC-26APR24-56000-C,1,1031.4,,24.64989,-50.10127,20.94609,0.00001,,0.93262,0.22,12.6,74.9,0.2345,0.237,0.2395,92.81,14 57 | BTC-26APR24-56000-P,116.6,663.8,,-2.59774,-50.06872,20.93248,0.00001,,-0.06732,0.006,67.6,83.27,0.0055,0.006,0.0065,86.75,86.9 58 | BTC-26APR24-57000-C,-,176.8,,24.71888,-55.34594,23.45702,0.00001,,0.92188,0.1745,12.2,73.83,0.2215,0.2244,0.227,91.42,11.7 59 | BTC-26APR24-57000-P,67.3,367,,-3.01765,-55.34594,23.45702,0.00001,,-0.07812,0.0063,126.4,82.13,0.0065,0.007,0.0075,85.24,72.3 60 | BTC-26APR24-58000-C,0.2,633.7,,24.68052,-61.9053,26.41422,0.00001,,0.90848,0.2145,70,74.02,0.209,0.212,0.215,90.88,76 61 | BTC-26APR24-58000-P,21.6,572.3,,-3.54262,-61.9053,26.41422,0.00001,,-0.09152,0.008,46.9,82,0.008,0.0084,0.009,84.75,72.1 62 | BTC-26APR24-59000-C,0.1,117.7,,24.61272,-68.03413,29.34629,0.00001,,0.89433,0.168,20,79,0.1985,0.1998,0.2015,86.41,31.2 63 | BTC-26APR24-59000-P,55.3,254.5,,-4.0937,-67.99689,29.33023,0.00001,,-0.10557,0.0095,50.9,81.27,0.0095,0.0099,0.0105,83.75,74.6 64 | BTC-26APR24-60000-C,20.1,1463.9,,24.4496,-74.91126,32.54128,0.00002,,0.87785,0.196,14.4,77.31,0.186,0.1879,0.19,86.27,16.8 65 | BTC-26APR24-60000-P,286.5,1708.7,,-4.74304,-74.87322,32.52476,0.00002,,-0.12205,0.0111,7,81.15,0.0115,0.0118,0.012,82.27,40.2 66 | BTC-26APR24-61000-C,2.4,184.2,,24.22942,-81.68571,35.76414,0.00002,,0.85998,0.162,15.1,75.13,0.1735,0.1763,0.179,86.4,17.4 67 | BTC-26APR24-61000-P,45.4,428,,-5.45353,-81.68571,35.76414,0.00002,,-0.14002,0.014,16.2,80.41,0.0135,0.0139,0.014,81.43,11 68 | BTC-26APR24-62000-C,0.3,572.4,,23.93973,-88.35355,39.0267,0.00002,,0.84039,0.1334,16.1,74.93,0.162,0.1649,0.168,86.13,18.5 69 | BTC-26APR24-62000-P,42.6,526.8,,-6.22982,-88.35355,39.0267,0.00002,,-0.15961,0.0165,93.9,79.14,0.0155,0.0162,0.0165,81.02,15.7 70 | BTC-26APR24-63000-C,0.1,113.6,,23.55382,-95.46448,42.37037,0.00002,,0.81856,0.1225,20,77.46,0.1525,0.1539,0.1555,82.62,12.2 71 | BTC-26APR24-63000-P,54.7,1188.9,,-7.10235,-95.46448,42.37037,0.00002,,-0.18144,0.0186,19,79.25,0.0185,0.019,0.0195,80.97,62.2 72 | BTC-26APR24-64000-C,12,180.9,,23.09178,-102.33412,45.65837,0.00002,,0.7949,0.1335,70.3,74.25,0.14,0.1433,0.147,85.42,76 73 | BTC-26APR24-64000-P,288.2,1365.1,,-8.05099,-102.33412,45.65837,0.00002,,-0.2051,0.0215,49.3,78.68,0.0215,0.0221,0.0225,80.28,50.7 74 | BTC-26APR24-65000-C,48.2,1630,,22.54307,-109.33955,48.86325,0.00002,,0.76935,0.141,0.3,77.56,0.132,0.1332,0.135,82.02,20 75 | BTC-26APR24-65000-P,149.2,1058.6,,-9.08631,-109.33955,48.86325,0.00002,,-0.23065,0.0255,4.7,79.15,0.0255,0.0257,0.026,79.9,14.2 76 | BTC-26APR24-66000-C,31.3,1182.6,,21.93103,-115.70975,51.86763,0.00003,,0.74233,0.1285,0.2,77.86,0.1225,0.1235,0.1245,80.67,0.1 77 | BTC-26APR24-66000-P,148.4,1555.4,,-10.17886,-115.68042,51.85448,0.00003,,-0.2575,0.029,55.6,78.26,0.029,0.0297,0.03,79.66,11.7 78 | BTC-26APR24-67000-C,140.1,572.1,,21.25687,-121.76666,54.62892,0.00003,,0.71409,0.1195,77.3,74.04,0.1105,0.1143,0.1175,83.39,77 79 | BTC-26APR24-67000-P,35.9,272.5,,-11.34571,-121.76666,54.62892,0.00003,,-0.28591,0.033,36.8,78.22,0.0335,0.0342,0.0345,79.55,35.1 80 | BTC-26APR24-68000-C,235.3,542.8,,20.51613,-127.25657,57.113,0.00003,,0.68444,0.107,20.4,76.58,0.1035,0.1055,0.1065,80.41,11.4 81 | BTC-26APR24-68000-P,333.3,1293,,-12.57306,-127.25657,57.113,0.00003,,-0.31556,0.038,15.6,78.23,0.0385,0.0392,0.0395,79.5,27.7 82 | BTC-26APR24-69000-C,37.4,423.4,,19.73779,-131.96905,59.24372,0.00003,,0.65416,0.102,20.3,77.65,0.096,0.0972,0.098,80.11,11.7 83 | BTC-26APR24-69000-P,12.7,250.8,,-13.83104,-131.9534,59.23669,0.00003,,-0.34564,0.045,7.1,78.38,0.044,0.0446,0.045,79.61,27 84 | BTC-26APR24-70000-C,57,4068.1,,18.923,-135.86289,61.00434,0.00003,,0.62331,0.089,0.1,78.11,0.0885,0.0893,0.0905,80.5,22.6 85 | BTC-26APR24-70000-P,201.3,858.4,,-15.13941,-135.86289,61.00434,0.00003,,-0.37669,0.05,44.2,77.9,0.0495,0.0505,0.051,79.69,36.5 86 | BTC-26APR24-71000-C,76.2,1443.3,,18.0801,-139.17853,62.37555,0.00003,,0.59225,0.0845,23.9,77.38,0.0805,0.0821,0.083,80.3,25 87 | BTC-26APR24-71000-P,21.6,326.9,,-16.46891,-139.17853,62.37555,0.00003,,-0.40775,0.0565,0.3,78.77,0.0565,0.057,0.0575,79.94,46.7 88 | BTC-26APR24-72000-C,34.9,655.7,,17.20426,-141.70645,63.34639,0.00003,,0.56074,0.074,24.4,78.57,0.0745,0.0753,0.0755,79.72,4.1 89 | BTC-26APR24-72000-P,37.7,895.3,,-17.82394,-141.70812,63.34714,0.00003,,-0.43905,0.06,3,78.47,0.063,0.0639,0.0645,80.2,33.9 90 | BTC-26APR24-73000-C,182.5,861,,16.33521,-143.35917,63.9169,0.00003,,0.52988,0.0705,30.8,78.56,0.068,0.0689,0.0695,80.27,32.2 91 | BTC-26APR24-73000-P,20.4,160.4,,-19.19448,-143.3515,63.91348,0.00003,,-0.47033,0.071,3,78.77,0.0705,0.0713,0.072,80.47,38.7 92 | BTC-26APR24-74000-C,373.3,877.8,,15.45802,-144.21022,64.09662,0.00003,,0.49924,0.063,46.3,78.68,0.062,0.063,0.0635,80.39,20.5 93 | BTC-26APR24-74000-P,10.3,112.3,,-20.55827,-144.19663,64.09058,0.00003,,-0.50097,0.078,3,78.62,0.078,0.0791,0.08,80.89,9.2 94 | BTC-26APR24-75000-C,396.5,2333.1,,14.5805,-144.24408,63.89754,0.00003,,0.46903,0.059,60.7,78.94,0.0565,0.0576,0.058,80.65,21.4 95 | BTC-26APR24-75000-P,3,840.2,,-21.91494,-144.24408,63.89754,0.00003,,-0.53097,0.0885,21.1,78.57,0.086,0.0874,0.0885,81.41,20.6 96 | BTC-26APR24-76000-C,231.2,1081.1,,13.73154,-143.57541,63.37136,0.00003,,0.44004,0.055,47.2,79.22,0.0515,0.0526,0.053,80.94,31.5 97 | BTC-26APR24-76000-P,8,43.5,,-23.25783,-143.55067,63.36044,0.00003,,-0.56017,0.0915,17.8,78.04,0.094,0.0961,0.098,82.64,21.3 98 | BTC-26APR24-77000-C,107.8,489.3,,12.89436,-142.18495,62.52267,0.00003,,0.41177,0.0486,39.7,79.68,0.047,0.0479,0.0485,81.42,38.3 99 | BTC-26APR24-77000-P,-,39.8,,-24.57429,-142.18495,62.52267,0.00003,,-0.58823,0.13,20.3,78.29,0.103,0.1052,0.107,82.95,17.9 100 | BTC-26APR24-78000-C,135.4,589.5,,12.07197,-140.04302,61.37382,0.00003,,0.38425,0.0445,0.2,80.34,0.043,0.0436,0.044,81.52,23.8 101 | BTC-26APR24-78000-P,-,24.3,,-25.88328,-140.04302,61.37382,0.00003,,-0.61575,0.2335,15.4,78.53,0.1125,0.1146,0.1165,83.28,14.1 102 | BTC-26APR24-79000-C,69.5,204.9,,11.29522,-137.5601,60.01763,0.00003,,0.35844,0.042,7.8,80.52,0.039,0.0397,0.04,81.74,18.8 103 | BTC-26APR24-79000-P,-,4.4,,-27.14664,-137.5601,60.01763,0.00003,,-0.64156,0.1435,0.2,-,0.0005,0.1245,-,-,- 104 | BTC-26APR24-80000-C,634.9,4420.2,,10.5451,-134.62291,58.44546,0.00003,,0.33373,0.036,1.5,80.96,0.0355,0.0362,0.0365,82.21,42 105 | BTC-26APR24-80000-P,-,34.3,,-28.39001,-134.58054,58.42706,0.00003,,-0.66646,0.239,13.7,79.13,0.1325,0.1346,0.1365,84.12,12.5 106 | BTC-26APR24-82000-C,108.5,576.5,,9.13482,-127.21649,54.78247,0.00003,,0.2876,0.031,58.5,81.34,0.029,0.0298,0.03,82.67,2.3 107 | BTC-26APR24-82000-P,-,0.2,,-30.76685,-127.21649,54.78247,0.00003,,-0.7124,0.212,21.8,78.18,0.1525,0.1558,0.1595,87.48,23.6 108 | BTC-26APR24-84000-C,84.9,831.5,,7.87742,-119.06044,50.7231,0.00002,,0.24699,0.027,40.7,82.36,0.024,0.0247,0.025,83.8,27.4 109 | BTC-26APR24-84000-P,-,4.7,,-32.99747,-119.06044,50.7231,0.00002,,-0.75301,0.239,28.1,73.5,0.1715,0.1781,0.185,92.97,27.8 110 | BTC-26APR24-85000-C,169.4,1925.8,,7.32288,-115.07043,48.69057,0.00002,,0.2292,0.0235,18.2,83.08,0.022,0.0226,0.0225,83.83,19.2 111 | BTC-26APR24-85000-P,-,0.7,,-34.03861,-115.07043,48.69057,0.00002,,-0.7708,0.212,32.5,73.58,0.183,0.1897,0.1965,93.89,33 112 | BTC-26APR24-86000-C,24.8,334.5,,6.77663,-110.39782,46.52176,0.00002,,0.21168,0.021,26,83.54,0.02,0.0205,0.0205,84.33,3.2 113 | BTC-26APR24-86000-P,-,1.5,,-35.0766,-110.3433,46.49878,0.00002,,-0.78846,0.31,25.5,72.92,0.1945,0.2013,0.208,94.31,25 114 | BTC-26APR24-88000-C,164.4,472.3,,5.79321,-101.08653,42.20876,0.00002,,0.18034,0.017,95.3,83.54,0.016,0.0169,0.017,85.28,24.9 115 | BTC-26APR24-88000-P,-,-,,-37.0281,-101.08653,42.20876,0.00002,,-0.81966,-,34.3,71.63,0.218,0.2252,0.232,96.3,35 116 | BTC-26APR24-90000-C,95.2,2549.8,,4.9551,-92.25479,38.09161,0.00002,,0.15382,0.0145,29.5,85.05,0.0135,0.014,0.014,86.02,3.8 117 | BTC-26APR24-90000-P,-,340.3,,-38.84354,-92.20004,38.069,0.00002,,-0.8463,0.2707,70,77.24,0.2455,0.2498,0.253,91.94,70 118 | BTC-26APR24-94000-C,122.9,330.6,,3.59742,-75.20287,30.43154,0.00001,,0.11112,0.0095,96.9,86.28,0.009,0.0096,0.01,88.69,44 119 | BTC-26APR24-94000-P,-,-,,-42.14353,-75.20287,30.43154,0.00001,,-0.88888,-,29.1,64.79,0.293,0.3003,0.307,102.14,28.5 120 | BTC-26APR24-95000-C,32.4,910.5,,3.31241,-71.08801,28.64695,0.00001,,0.1022,0.0092,118.3,86.24,0.008,0.0087,0.009,88.81,26.7 121 | BTC-26APR24-95000-P,-,1.2,,-42.91817,-71.03821,28.62689,0.00001,,-0.89789,0.461,-,-,-,0.3132,-,-,- 122 | BTC-26APR24-100000-C,65.9,3298.5,,2.23505,-54.22678,21.25651,0.00001,,0.06867,0.0057,25,90.24,0.0055,0.0056,0.006,91.93,45.3 123 | BTC-26APR24-100000-P,-,1.9,,-46.42771,-54.18422,21.23982,0.00001,,-0.93139,0.5735,-,-,-,0.3787,-,-,- 124 | BTC-26APR24-105000-C,11.6,1604,,1.53954,-41.58692,15.81731,0.00001,,0.04718,0.0038,23.3,92.28,0.0035,0.0037,0.0039,94.14,8.2 125 | BTC-26APR24-105000-P,-,0.6,,-49.55407,-41.58692,15.81731,0.00001,,-0.95282,0.5745,-,-,-,0.4455,-,-,- 126 | BTC-26APR24-120000-C,101.3,898.1,,0.53791,-18.63499,6.56667,-,,0.0164,0.0016,10.9,98.23,0.001,0.0012,0.0014,102.74,25.1 127 | BTC-26APR24-120000-P,-,0.2,,-57.85478,-18.63499,6.56667,-,,-0.9836,0.74,-,-,-,0.6489,-,-,- 128 | BTC-26APR24-140000-C,127.1,835.8,,0.17431,-7.62317,2.44762,-,,0.0053,0.0003,16.7,103.79,0.0002,0.0004,0.0006,116.06,17.2 129 | BTC-26APR24-140000-P,-,-,,-67.9507,-7.61503,2.445,-,,-0.9947,-,-,-,-,0.9227,-,-,- 130 | -------------------------------------------------------------------------------- /read_prices.py: -------------------------------------------------------------------------------- 1 | import pandas as pd 2 | import os 3 | from datetime import datetime as dt 4 | import numpy as np 5 | import matplotlib.pyplot as plt 6 | import math 7 | from matplotlib.lines import Line2D 8 | import SABR_calibration as s 9 | import SABR_functions as sabr 10 | import plotly.graph_objects as go 11 | from plotly.subplots import make_subplots 12 | 13 | 14 | class option_prices(): 15 | def __init__(self, name, min_vol_ba_spread=15): 16 | 17 | header = ["instrument", 'volume', 'open', 'extvalue', 'rho', 'theta', 'vega', 'gamma', 18 | 'ndelta', 'delta', 'last', 'bid_size', 'iv_bid', 'bid', 'mark', 'ask', 'iv_ask', 'ask_size'] 19 | columns_to_transform = ['strike', 'volume', 'open', 'extvalue', 'rho', 'theta', 'vega', 'gamma', 20 | 'ndelta', 'delta', 'last', 'bid_size', 'iv_bid', 'bid', 'mark', 'ask', 'iv_ask', 'ask_size'] 21 | 22 | found = False 23 | 24 | """ 25 | THE ACTUAL FUCK IS THIS GARB??? NEEDED TO INPUT A STRIKE (x) AND VOL (y) ARRAY 26 | 27 | This way API can come in and create an instance of option_prices 28 | 29 | """ 30 | for file in os.listdir(): 31 | if ".csv" in str(file) and name in file: 32 | self.df = pd.read_csv(file, header=0, names=header) 33 | self.df[['underlying', 'date', 'strike', 'type'] 34 | ] = self.df['instrument'].str.split('-', expand=True) 35 | 36 | self.df[columns_to_transform] = self.df[columns_to_transform].apply( 37 | pd.to_numeric, errors='coerce') 38 | self.df["vol_mid"] = (self.df["iv_bid"]+self.df["iv_ask"])/2 39 | self.df["mark_mid"] = (self.df["bid"]+self.df["ask"])/2 40 | found = True 41 | 42 | if found == False: 43 | print("Error, couldn't find option price file") 44 | 45 | def liquidity_filering(df, spread): 46 | df["vol_bid_ask_spread"] = df["iv_ask"] - \ 47 | df["iv_bid"] 48 | df = df[df["vol_bid_ask_spread"] < spread] 49 | return df 50 | 51 | self.filterfree_df = self.df 52 | self.df = liquidity_filering(self.df, spread=min_vol_ba_spread) 53 | self.puts = self.df[self.df["type"] == "P"] 54 | self.calls = self.df[self.df["type"] == "C"] 55 | self.underlying = self.df["underlying"].iloc[0] 56 | exp_date_str = self.df["date"].iloc[0] 57 | self.exp = dt.strptime(exp_date_str, "%d%b%y") 58 | self.atm = self.find_atm_pcp() 59 | # ASSUMES CURRENT PRICING DATE !!!! > in years tho 60 | self.ttm = (self.exp - dt.today()).days/365 + \ 61 | (self.exp - dt.today()).seconds/(3600*24*365) 62 | 63 | def plot_bid_ask(self, puts=True, calls=True): 64 | 65 | plt.figure(figsize=(12, 8)) 66 | df = self.df 67 | if not calls: 68 | df = df[df["type"] != "C"] 69 | if not puts: 70 | df = df[df["type"] != "P"] 71 | for option in df.iterrows(): 72 | if not math.isnan(option[1]["iv_bid"]): 73 | plt.scatter(option[1]["strike"], option[1]["iv_bid"], 74 | color="r") 75 | if not math.isnan(option[1]["iv_ask"]): 76 | plt.scatter(option[1]["strike"], option[1] 77 | ["iv_ask"], color="c") 78 | 79 | legend_elements = [Line2D([0], [0], marker='o', color='cyan', label='Ask', markerfacecolor='cyan', markersize=10), 80 | Line2D([0], [0], marker='o', color='red', label='Bid', markerfacecolor='red', markersize=10)] 81 | # Add legend with custom handles and labels 82 | plt.legend(handles=legend_elements, loc='best') 83 | plt.title( 84 | f"{self.underlying} options implied volatility for {self.exp} expiry", fontweight="bold") 85 | plt.xlabel(f"Strike (in {self.underlying}/USDT)") 86 | plt.ylabel(f"Implied volatility (in %)") 87 | plt.show() 88 | 89 | def find_atm_pcp(self): 90 | # deriving the fwd price from atm price 91 | df = self.filterfree_df.groupby("strike") 92 | found_atm_fwd = [] 93 | for strike in df: 94 | if not strike[1]["mark_mid"].isna().any(): 95 | i = strike[1] 96 | call = i[i["type"] == "C"] 97 | put = i[i["type"] == "P"] 98 | """ 99 | Original PCP assuming 0 interest rate: 100 | Call Price - Put Price = Spot Price - Strike Price 101 | 102 | PCP if Price call price in units: 103 | Spot = - (Strike)/(Call - Put - 1) 104 | 105 | since option price is in units and not in USD 106 | """ 107 | spot = - float(call["strike"]) / \ 108 | (float(call["mark_mid"]) - float(put["mark_mid"])-1) 109 | found_atm_fwd.append(spot) 110 | return round(np.mean(found_atm_fwd), 2) 111 | 112 | def calibrate_SABR(self, method="Newton-CG", init_values=[0.99, 1, -0.1, 0.99], number_of_tries=10): 113 | # Calls asks 114 | print("Calls asks:") 115 | 116 | best_params = None 117 | best_mse = float('inf') # Initialize with positive infinity 118 | k = np.array(self.calls["strike"]) 119 | v = np.array(self.calls["iv_ask"]) / 100 120 | 121 | for _ in range(number_of_tries): 122 | init_values = [np.random.uniform(0.01, 1), 123 | 1, 124 | np.random.uniform(-1, 1), 125 | np.random.uniform(0.01, 1)] 126 | [alpha, beta, rho, nu], mse = s.calibrate_SABR(strikes=k, 127 | volatilities=v, 128 | forward=self.atm, 129 | TTM=self.ttm, 130 | method=method, 131 | init_param=init_values) 132 | if mse < best_mse: 133 | best_mse = mse 134 | best_params = [alpha, beta, rho, nu] 135 | print(f"-> Best MSE: {round(best_mse, 8)} ") 136 | self.SABR_call_params_asks = best_params 137 | 138 | # Calls bids 139 | print("Call bids:") 140 | 141 | best_params = None 142 | best_mse = float('inf') # Initialize with positive infinity 143 | v = np.array(self.calls["iv_bid"])/100 144 | 145 | for _ in range(number_of_tries): 146 | init_values = [np.random.uniform(0.01, 1), 147 | 1, 148 | np.random.uniform(-1, 1), 149 | np.random.uniform(0.01, 1)] 150 | [alpha, beta, rho, nu], mse = s.calibrate_SABR(strikes=k, 151 | volatilities=v, 152 | forward=self.atm, 153 | TTM=self.ttm, 154 | method=method, 155 | init_param=init_values 156 | ) 157 | if mse < best_mse: 158 | best_mse = mse 159 | best_params = [alpha, beta, rho, nu] 160 | print(f"-> Best MSE: {round(best_mse, 8)} ") 161 | 162 | self.SABR_call_params_bids = best_params 163 | 164 | # Puts asks 165 | print("Put asks:") 166 | 167 | best_params = None 168 | best_mse = float('inf') # Initialize with positive infinity 169 | k = np.array(self.puts["strike"]) 170 | v = np.array(self.puts["iv_ask"])/100 171 | 172 | for _ in range(number_of_tries): 173 | init_values = [np.random.uniform(0.01, 1), 174 | 1, 175 | np.random.uniform(-1, 1), 176 | np.random.uniform(0.01, 1)] 177 | [alpha, beta, rho, nu], mse = s.calibrate_SABR(strikes=k, 178 | volatilities=v, 179 | forward=self.atm, 180 | TTM=self.ttm, 181 | method=method, 182 | init_param=init_values) 183 | if mse < best_mse: 184 | best_mse = mse 185 | best_params = [alpha, beta, rho, nu] 186 | print(f"-> Best MSE: {round(best_mse, 8)} ") 187 | self.SABR_put_params_asks = best_params 188 | 189 | # Puts bids 190 | print("Put bids:") 191 | best_params = None 192 | best_mse = float('inf') # Initialize with positive infinity 193 | v = np.array(self.puts["iv_bid"])/100 194 | 195 | for _ in range(number_of_tries): 196 | init_values = [np.random.uniform(0.01, 1), 197 | 1, 198 | np.random.uniform(-1, 1), 199 | np.random.uniform(0.01, 1)] 200 | [alpha, beta, rho, nu], mse = s.calibrate_SABR(strikes=k, 201 | volatilities=v, 202 | forward=self.atm, 203 | TTM=self.ttm, 204 | method=method, 205 | init_param=init_values) 206 | if mse < best_mse: 207 | best_mse = mse 208 | best_params = [alpha, beta, rho, nu] 209 | 210 | print(f"-> Best MSE: {round(best_mse, 8)} ") 211 | self.SABR_put_params_bids = best_params 212 | 213 | def plot_bid_ask_SABR_calls(self): 214 | 215 | plt.figure(figsize=(12, 8)) 216 | k = np.array(self.calls["strike"]) 217 | v = np.array(self.calls["iv_ask"])/100 218 | x, y = np.linspace(k[0]-5000, k[-1]+5000, 1000), [] 219 | 220 | # asks 221 | alpha, beta, rho, nu = self.SABR_call_params_asks 222 | for i in x: 223 | y.append(sabr.strike_volatility_SABR(k=i, 224 | f=self.atm, 225 | alpha=alpha, 226 | beta=beta, 227 | nu=nu, 228 | rho=rho, 229 | t=self.ttm)) 230 | 231 | plt.plot(x, 100*np.array(y), label="Ask SABR Calibration") 232 | plt.scatter(k, 100*v, marker="+", color="c", label="Asks IV") 233 | plt.title( 234 | "Calibration of SABR to BTC call options' implied volatility bid and asks", fontweight="bold") 235 | plt.xlabel("Strike (in USD)") 236 | plt.grid(alpha=0.3) 237 | plt.ylabel("Implied vol (in %)") 238 | 239 | # bids 240 | alpha, beta, rho, nu = self.SABR_call_params_bids 241 | y = [] 242 | v = np.array(self.calls["iv_bid"])/100 243 | for i in x: 244 | y.append(sabr.strike_volatility_SABR(k=i, 245 | f=self.atm, 246 | alpha=alpha, 247 | beta=beta, 248 | nu=nu, 249 | rho=rho, 250 | t=self.ttm)) 251 | plt.plot(x, 100*np.array(y), label="Bid SABR Calibration") 252 | plt.scatter(k, 100*v, marker="+", color="orange", label="Bids IV") 253 | 254 | plt.axvline(self.atm, linestyle="--", linewidth=0.5, 255 | label="Forward price", color="0") 256 | 257 | plt.legend() 258 | plt.show() 259 | 260 | def plot_bid_ask_SABR_puts(self): 261 | plt.figure(figsize=(12, 8)) 262 | k = np.array(self.puts["strike"]) 263 | v = np.array(self.puts["iv_ask"])/100 264 | x, y = np.linspace(k[0]-5000, k[-1]+5000, 1000), [] 265 | 266 | # asks 267 | alpha, beta, rho, nu = self.SABR_put_params_asks 268 | for i in x: 269 | y.append(sabr.strike_volatility_SABR(k=i, 270 | f=self.atm, 271 | alpha=alpha, 272 | beta=beta, 273 | nu=nu, 274 | rho=rho, 275 | t=self.ttm)) 276 | 277 | plt.plot(x, 100*np.array(y), label="Ask SABR Calibration") 278 | plt.scatter(k, 100*v, marker="+", color="c", label="Asks IV") 279 | plt.title( 280 | "Calibration of SABR to BTC put options' implied volatility bid and asks", fontweight="bold") 281 | plt.xlabel("Strike (in USD)") 282 | plt.grid(alpha=0.3) 283 | plt.ylabel("Implied vol (in %)") 284 | 285 | # bids 286 | alpha, beta, rho, nu = self.SABR_put_params_bids 287 | y = [] 288 | v = np.array(self.puts["iv_bid"])/100 289 | for i in x: 290 | y.append(sabr.strike_volatility_SABR(k=i, 291 | f=self.atm, 292 | alpha=alpha, 293 | beta=beta, 294 | nu=nu, 295 | rho=rho, 296 | t=self.ttm)) 297 | plt.plot(x, 100*np.array(y), label="Bid SABR Calibration") 298 | plt.scatter(k, 100*v, marker="+", color="orange", label="Bids IV") 299 | 300 | plt.axvline(self.atm, linestyle="--", linewidth=0.5, 301 | label="Forward price", color="0") 302 | plt.legend() 303 | plt.show() 304 | 305 | def plot_pcp(self): 306 | 307 | # calibrate data first 308 | 309 | # option 1: Synthetic long (sell put buy calls) 310 | 311 | plt.figure(figsize=(12, 8)) 312 | 313 | alpha, beta, rho, nu = self.SABR_put_params_bids 314 | k_p = np.array(self.puts["strike"]) 315 | k_c = np.array(self.calls["strike"]) 316 | x, y = np.linspace(k_p[0]-5000, k_c[-1]+5000, 1000), [] 317 | v = np.array(self.puts["iv_bid"])/100 318 | for i in x: 319 | y.append(sabr.strike_volatility_SABR(k=i, 320 | f=self.atm, 321 | alpha=alpha, 322 | beta=beta, 323 | nu=nu, 324 | rho=rho, 325 | t=self.ttm)) 326 | plt.plot(x, 100*np.array(y), label="SABR Bid Calibration", color="blue") 327 | plt.scatter(k_p, 100*v, marker="+", color="blue", label="Put Bids IV") 328 | 329 | # calls 330 | 331 | alpha, beta, rho, nu = self.SABR_call_params_asks 332 | y = [] 333 | k = np.array(self.calls["strike"]) 334 | v = np.array(self.calls["iv_ask"])/100 335 | for i in x: 336 | y.append(sabr.strike_volatility_SABR(k=i, 337 | f=self.atm, 338 | alpha=alpha, 339 | beta=beta, 340 | nu=nu, 341 | rho=rho, 342 | t=self.ttm)) 343 | plt.plot(x, 100*np.array(y), 344 | label="SABR call Ask Calibration", color="orange") 345 | plt.scatter(k, 100*v, marker="+", color="orange", label="Bids IV") 346 | plt.legend() 347 | plt.show() 348 | 349 | def plot_pdf_cdf(self, bins=200): 350 | 351 | bins = bins+1 # bins is no of butterflies 352 | grid = np.linspace(start=np.min(self.df["strike"]), 353 | stop=np.max(self.df["strike"]) + 40000, 354 | num=bins) # create a grid in all options that are liquid enough 355 | pdf = [] 356 | 357 | payoff = grid[1] - grid[0] # gonna be the same for ea bfly 358 | for i in range(len(grid[:-2])): 359 | 360 | alpha, beta, rho, nu = self.SABR_call_params_asks 361 | 362 | option_1_iv_b = sabr.strike_volatility_SABR(k=grid[i], 363 | f=self.atm, 364 | alpha=alpha, 365 | beta=beta, 366 | nu=nu, 367 | rho=rho, 368 | t=self.ttm) # long so hit ask 369 | option_2_iv_b = sabr.strike_volatility_SABR(k=grid[i+1], 370 | f=self.atm, 371 | alpha=alpha, 372 | beta=beta, 373 | nu=nu, 374 | rho=rho, 375 | t=self.ttm) # long so hit ask 376 | option_3_iv_b = sabr.strike_volatility_SABR(k=grid[i+2], 377 | f=self.atm, 378 | alpha=alpha, 379 | beta=beta, 380 | nu=nu, 381 | rho=rho, 382 | t=self.ttm) # long so hit ask 383 | # asks 384 | 385 | alpha, beta, rho, nu = self.SABR_call_params_bids 386 | 387 | option_1_iv_a = sabr.strike_volatility_SABR(k=grid[i], 388 | f=self.atm, 389 | alpha=alpha, 390 | beta=beta, 391 | nu=nu, 392 | rho=rho, 393 | t=self.ttm) # long so hit ask 394 | option_2_iv_a = sabr.strike_volatility_SABR(k=grid[i+1], 395 | f=self.atm, 396 | alpha=alpha, 397 | beta=beta, 398 | nu=nu, 399 | rho=rho, 400 | t=self.ttm) # long so hit ask 401 | option_3_iv_a = sabr.strike_volatility_SABR(k=grid[i+2], 402 | f=self.atm, 403 | alpha=alpha, 404 | beta=beta, 405 | nu=nu, 406 | rho=rho, 407 | t=self.ttm) # long so hit ask 408 | 409 | option_1_iv = (option_1_iv_a+option_1_iv_b)/2 410 | option_2_iv = (option_2_iv_a+option_2_iv_b)/2 411 | option_3_iv = (option_3_iv_a+option_3_iv_b)/2 412 | 413 | option_1_price = sabr.get_gk_price(w=1, 414 | forward=self.atm, 415 | term_rate=0, 416 | base_rate=0, 417 | ttm=self.ttm, 418 | vol=option_1_iv, 419 | strike=grid[i]) 420 | 421 | option_3_price = sabr.get_gk_price(w=1, 422 | forward=self.atm, 423 | term_rate=0, 424 | base_rate=0, 425 | ttm=self.ttm, 426 | vol=option_3_iv, 427 | strike=grid[i+2]) 428 | 429 | option_2_price = sabr.get_gk_price(w=1, 430 | forward=self.atm, 431 | term_rate=0, 432 | base_rate=0, 433 | ttm=self.ttm, 434 | vol=option_2_iv, 435 | strike=grid[i+1]) 436 | 437 | # print(f"2. {option_2_iv}") 438 | pdf.append(-option_1_price + 2*option_2_price - option_3_price) 439 | 440 | # both premium and payoff expressed in $ 441 | cdf = np.cumsum(-np.array(pdf) / payoff) 442 | 443 | fig = make_subplots(rows=1, cols=2, subplot_titles=("PDF", "CDF")) 444 | 445 | # Add PDF plot 446 | fig.add_trace(go.Scatter( 447 | x=grid[:-2], y=100 * -np.array(pdf) / payoff, mode='lines', name='PDF'), row=1, col=1) 448 | 449 | # Add CDF plot 450 | fig.add_trace(go.Scatter( 451 | x=grid[:-2], y=100 * cdf, mode='lines', name='CDF'), row=1, col=2) 452 | 453 | # Update layout 454 | fig.update_layout( 455 | title=f"Implied PDF and CDF of {self.underlying} options expiring {self.exp.strftime('%A, %B %d, %Y')}", 456 | xaxis_title="Strike (in $)", 457 | yaxis_title="Probability (in %)", 458 | plot_bgcolor='rgba(0,0,0,0)', # Transparent background 459 | height=600, 460 | width=1000, 461 | showlegend=True 462 | ) 463 | 464 | # Add grids to both subplots 465 | fig.update_xaxes(showgrid=True, gridwidth=1, 466 | gridcolor='rgba(0,0,0,0.1)', row=1, col=1) 467 | fig.update_yaxes(showgrid=True, gridwidth=1, 468 | gridcolor='rgba(0,0,0,0.1)', row=1, col=1) 469 | fig.update_xaxes(showgrid=True, gridwidth=1, 470 | gridcolor='rgba(0,0,0,0.1)', row=1, col=2) 471 | fig.update_yaxes(showgrid=True, gridwidth=1, 472 | gridcolor='rgba(0,0,0,0.1)', row=1, col=2) 473 | 474 | # Add a horizontal line at y=0 in each subplot 475 | fig.add_shape(type="line", x0=grid[:-2].min(), y0=0, x1=grid[:-2].max(), y1=0, line=dict(color="black", width=1), 476 | row=1, col=1) 477 | fig.add_shape(type="line", x0=grid[:-2].min(), y0=0, x1=grid[:-2].max(), y1=0, line=dict(color="black", width=1), 478 | row=1, col=2) 479 | 480 | # Show the plot 481 | fig.show() 482 | --------------------------------------------------------------------------------