Exploring Options, Open Interest, and Volatility Data
PreviousGranular Insights On Chain Using Hourly Network Data MetricsNextCalculating Total Value Locked in Liquidity Pools using DEX Data
Last updated
Was this helpful?
Last updated
Was this helpful?
Options contracts have become an increasingly liquid segment of crypytoasset derivatives. Coin Metrics currently offers options data through various endpoints in our Market Data Feed offering. Available endpoints include market greeks, implied volatility, contract prices, market quotes, open interest, and more.
This notebook demonstrates basic functionality offered by the Coin Metrics Python API Client and Market Data Feed.
Coin Metrics offers a vast assortment of data for hundreds of cryptoassets. The Python API Client allows for easy access to this data using Python without needing to create your own wrappers using requests and other such libraries.
To understand the data that Coin Metrics offers, feel free to peruse the resources below.
The Coin Metrics API v4 website contains the full set of endpoints and data offered by Coin Metrics.
The Coin Metrics Product Documentation gives detailed, conceptual explanations of the data that Coin Metrics offers.
The API Spec contains a full list of functions.
Download the entire notebook as either a jupyter notebook to run yourself or as a pdf from the two links below
0
deribit-BTC-30DEC22-10000-C-option
2022-05-11 14:09:00+00:00
2022-05-11 14:09:14.701194+00:00
12.95354
-2.40646
58.03478
0.97893
0.0
2022-05-11 14:09:13.336000+00:00
1
deribit-BTC-30DEC22-10000-P-option
2022-05-11 14:09:00+00:00
2022-05-11 14:09:14.701194+00:00
12.95354
-2.40646
-5.73063
-0.02107
0.0
2022-05-11 14:09:13.329000+00:00
2
deribit-BTC-30DEC22-100000-C-option
2021-12-30 08:02:00+00:00
2021-12-30 08:02:03.247339+00:00
158.05411
-14.17178
86.78939
0.24002
0.00001
2021-12-30 08:02:02.591000+00:00
3
deribit-BTC-30DEC22-100000-P-option
2021-12-30 08:02:00+00:00
2021-12-30 08:02:04.257489+00:00
156.75983
-13.9386
-914.15583
-0.76354
0.00001
2021-12-30 08:02:03.416000+00:00
4
deribit-BTC-30DEC22-11000-C-option
2022-11-16 09:06:00+00:00
2022-11-16 09:06:40.873351+00:00
9.65147
-11.41404
10.99731
0.90588
0.00003
2022-11-16 09:06:40.094000+00:00
0
deribit-BTC-30DEC22-10000-C-option
2022-05-11 14:09:00+00:00
1652278140000000-0
0.0
0.0
0.0
0.0
1
deribit-BTC-30DEC22-10000-P-option
2022-05-11 14:09:00+00:00
1652278140000000-0
0.012
1.9
0.01
2.3
2
deribit-BTC-30DEC22-100000-C-option
2021-12-30 08:02:00+00:00
1640851320000000-0
0.0
0.0
0.0185
2.5
3
deribit-BTC-30DEC22-100000-P-option
2021-12-30 08:02:00+00:00
1640851320000000-0
0.0
0.0
0.0
0.0
4
deribit-BTC-30DEC22-11000-C-option
2022-11-16 09:06:00+00:00
1668589560000000-0
0.0
0.0
0.0
0.0
0
deribit-BTC-30DEC22-10000-C-option
2022-05-11 14:09:00+00:00
2022-05-11 14:09:14.701194+00:00
0.695
31350.76
2022-05-11 14:09:13.336000+00:00
1
deribit-BTC-30DEC22-10000-P-option
2022-05-11 14:09:00+00:00
2022-05-11 14:09:14.701194+00:00
0.007
31350.76
2022-05-11 14:09:13.329000+00:00
2
deribit-BTC-30DEC22-100000-C-option
2021-12-30 08:02:00+00:00
2021-12-30 08:02:03.247339+00:00
0.069329
47033.61
2021-12-30 08:02:02.591000+00:00
3
deribit-BTC-30DEC22-100000-P-option
2021-12-30 08:02:00+00:00
2021-12-30 08:02:04.257489+00:00
1.034568
47034.05
2021-12-30 08:02:03.416000+00:00
4
deribit-BTC-30DEC22-11000-C-option
2022-11-16 09:06:00+00:00
2022-11-16 09:06:40.873351+00:00
0.3547
16744.61
2022-11-16 09:06:40.094000+00:00
0
deribit-BTC-30DEC22-10000-C-option
2022-05-11 14:09:00+00:00
0
0
2022-05-11 14:09:39.584165+00:00
2022-05-11 14:09:00+00:00
1
deribit-BTC-30DEC22-10000-P-option
2022-05-11 14:09:00+00:00
0
0
2022-05-11 14:09:39.584165+00:00
2022-05-11 14:09:00+00:00
2
deribit-BTC-30DEC22-100000-C-option
2021-12-30 08:02:00+00:00
0
0
2021-12-30 08:02:35.912527+00:00
2021-12-30 08:02:00+00:00
3
deribit-BTC-30DEC22-100000-P-option
2021-12-30 08:02:00+00:00
0
0
2021-12-30 08:02:37.918026+00:00
2021-12-30 08:02:00+00:00
4
deribit-BTC-30DEC22-11000-C-option
2022-11-16 09:06:00+00:00
0
0
2022-11-16 09:06:24.566250+00:00
2022-11-16 09:06:00+00:00
'Volatility smiles' are a popular options data visualization tool that help traders understand predicted asset volatility across various contract expiration dates. The 'smile' is plotted by mapping the strike price and implied volatility of a group of options with the same underlying asset and expiration date.
The Coin Metrics API contains two types of catalog endpoints (Python client functions in paranthesis): the catalog (catalog_*) and catalog-all (catalog_full_*). The catalog endpoint displays the set of data available to your API key. The catalog-all endpoint displays the full set of data for CM Pro users.
Catalog objects return a list of dictionaries. For catalog_full_market_implied_volatility_v2, each element of the list is an option market that supports implied volatility data.
29064
deribit-BTC-2SEP21-53000-C-option
2021-09-01 13:24:00+00:00
2021-09-02 08:00:00+00:00
29049
deribit-BTC-2SEP21-45000-P-option
2021-09-01 13:24:00+00:00
2021-09-02 08:00:00+00:00
29048
deribit-BTC-2SEP21-45000-C-option
2021-09-01 13:24:00+00:00
2021-09-02 08:00:00+00:00
29046
deribit-BTC-2SEP21-44000-C-option
2021-09-01 13:24:00+00:00
2021-09-02 08:00:00+00:00
29045
deribit-BTC-2SEP21-43000-P-option
2021-09-01 13:24:00+00:00
2021-09-02 08:00:00+00:00
...
...
...
...
24053
deribit-BTC-27DEC24-61000-P-option
2024-01-02 11:29:00+00:00
2024-02-13 17:43:00+00:00
24054
deribit-BTC-27DEC24-62000-C-option
2024-01-08 22:41:00+00:00
2024-02-13 17:43:00+00:00
24055
deribit-BTC-27DEC24-62000-P-option
2024-01-08 22:41:00+00:00
2024-02-13 17:43:00+00:00
24049
deribit-BTC-27DEC24-59000-P-option
2024-01-02 03:35:00+00:00
2024-02-13 17:43:00+00:00
27297
deribit-BTC-29MAR24-26000-P-option
2023-03-30 08:03:00+00:00
2024-02-13 17:43:00+00:00
40442 rows × 3 columns
0
deribit-BTC-10APR20-4750-C-option
deribit
option
btc
usd
btc-usd
BTC-10APR20-4750-C
btc
4750
call
True
1
2020-03-28T03:21:00.000000000Z
2020-04-10T08:00:00.000000000Z
6931.78
offline
0.1
0.0005
0.0004
0.0004
1
deribit-BTC-10APR20-4750-P-option
deribit
option
btc
usd
btc-usd
BTC-10APR20-4750-P
btc
4750
put
True
1
2020-03-28T03:21:00.000000000Z
2020-04-10T08:00:00.000000000Z
6931.78
offline
0.1
0.0005
0.0004
0.0004
2
deribit-BTC-10APR20-5000-C-option
deribit
option
btc
usd
btc-usd
BTC-10APR20-5000-C
btc
5000
call
True
1
2020-03-26T08:19:00.000000000Z
2020-04-10T08:00:00.000000000Z
6931.78
offline
0.1
0.0005
0.0004
0.0004
3
deribit-BTC-10APR20-5000-P-option
deribit
option
btc
usd
btc-usd
BTC-10APR20-5000-P
btc
5000
put
True
1
2020-03-26T08:19:00.000000000Z
2020-04-10T08:00:00.000000000Z
6931.78
offline
0.1
0.0005
0.0004
0.0004
4
deribit-BTC-10APR20-5250-P-option
deribit
option
btc
usd
btc-usd
BTC-10APR20-5250-P
btc
5250
put
True
1
2020-03-26T08:00:08.000000000Z
2020-04-10T08:00:00.000000000Z
6931.78
offline
0.1
0.0005
0.0004
0.0004
0
deribit-BTC-12FEB24-41000-C-option
2024-02-09 08:03:00+00:00
2024-02-12 08:00:00+00:00
2024-02-12T08:00:00.000000000Z
call
41000
36
deribit-BTC-12FEB24-48750-C-option
2024-02-11 08:03:00+00:00
2024-02-12 08:00:00+00:00
2024-02-12T08:00:00.000000000Z
call
48750
37
deribit-BTC-12FEB24-48750-P-option
2024-02-11 08:03:00+00:00
2024-02-12 08:00:00+00:00
2024-02-12T08:00:00.000000000Z
put
48750
38
deribit-BTC-12FEB24-49000-C-option
2024-02-09 08:03:00+00:00
2024-02-12 08:00:00+00:00
2024-02-12T08:00:00.000000000Z
call
49000
39
deribit-BTC-12FEB24-49000-P-option
2024-02-09 08:03:00+00:00
2024-02-12 08:00:00+00:00
2024-02-12T08:00:00.000000000Z
put
49000
...
...
...
...
...
...
...
557
deribit-BTC-27DEC24-120000-P-option
2023-12-28 08:02:00+00:00
2024-02-13 17:43:00+00:00
2024-12-27T08:00:00.000000000Z
put
120000
558
deribit-BTC-27DEC24-125000-C-option
2023-12-28 08:02:00+00:00
2024-02-13 17:43:00+00:00
2024-12-27T08:00:00.000000000Z
call
125000
559
deribit-BTC-27DEC24-125000-P-option
2023-12-28 08:02:00+00:00
2024-02-13 17:43:00+00:00
2024-12-27T08:00:00.000000000Z
put
125000
547
deribit-BTC-27DEC24-10000-P-option
2023-12-28 08:02:00+00:00
2024-02-13 17:43:00+00:00
2024-12-27T08:00:00.000000000Z
put
10000
579
deribit-BTC-27DEC24-28000-P-option
2023-12-28 18:57:00+00:00
2024-02-13 17:43:00+00:00
2024-12-27T08:00:00.000000000Z
put
28000
1008 rows × 6 columns
0
deribit-BTC-12FEB24-41000-C-option
2024-02-12 00:00:00+00:00
2024-02-12 00:00:15.649992+00:00
0.0
0.0
0.677
2024-02-12 00:00:13.899000+00:00
1
deribit-BTC-12FEB24-41000-P-option
2024-02-12 00:00:00+00:00
2024-02-12 00:00:14.602653+00:00
0.0
2.1273
0.677
2024-02-12 00:00:13.900000+00:00
2
deribit-BTC-12FEB24-42000-C-option
2024-02-12 00:00:00+00:00
2024-02-12 00:00:03.599239+00:00
0.0
3.0076
0.6176
2024-02-12 00:00:02.821000+00:00
3
deribit-BTC-12FEB24-42000-P-option
2024-02-12 00:00:00+00:00
2024-02-12 00:00:03.599239+00:00
0.0
2.1175
0.6176
2024-02-12 00:00:00.808000+00:00
4
deribit-BTC-12FEB24-42500-C-option
2024-02-12 00:00:00+00:00
2024-02-12 00:00:12.040598+00:00
0.0
0.0
0.5786
2024-02-12 00:00:09.872000+00:00
...
...
...
...
...
...
...
...
1001
deribit-BTC-29MAR24-80000-P-option
2024-02-12 00:00:00+00:00
2024-02-12 00:00:16.038858+00:00
0.0
0.8866
0.6928
2024-02-12 00:00:13.898000+00:00
1002
deribit-BTC-29MAR24-85000-C-option
2024-02-12 00:00:00+00:00
2024-02-12 00:00:04.033371+00:00
0.7072
0.7288
0.7195
2024-02-12 00:00:03.827000+00:00
1003
deribit-BTC-29MAR24-85000-P-option
2024-02-12 00:00:00+00:00
2024-02-12 00:00:10.038068+00:00
0.0
0.8934
0.7194
2024-02-12 00:00:08.863000+00:00
1004
deribit-BTC-29MAR24-90000-C-option
2024-02-12 00:00:00+00:00
2024-02-12 00:00:04.033371+00:00
0.7248
0.7476
0.7409
2024-02-12 00:00:02.820000+00:00
1005
deribit-BTC-29MAR24-90000-P-option
2024-02-12 00:00:00+00:00
2024-02-12 00:00:11.038214+00:00
0.0
0.9518
0.7408
2024-02-12 00:00:09.870000+00:00
1006 rows × 7 columns
0
deribit-BTC-12FEB24-41000-C-option
0.677
1
deribit-BTC-12FEB24-41000-P-option
0.677
2
deribit-BTC-12FEB24-42000-C-option
0.6176
3
deribit-BTC-12FEB24-42000-P-option
0.6176
4
deribit-BTC-12FEB24-42500-C-option
0.5786
...
...
...
1001
deribit-BTC-29MAR24-80000-P-option
0.6928
1002
deribit-BTC-29MAR24-85000-C-option
0.7195
1003
deribit-BTC-29MAR24-85000-P-option
0.7194
1004
deribit-BTC-29MAR24-90000-C-option
0.7409
1005
deribit-BTC-29MAR24-90000-P-option
0.7408
1006 rows × 2 columns
0
deribit-BTC-12FEB24-41000-C-option
2024-02-09 08:03:00+00:00
2024-02-12 08:00:00+00:00
Feb 12, 2024
call
41000
0.6770
1
deribit-BTC-12FEB24-48750-C-option
2024-02-11 08:03:00+00:00
2024-02-12 08:00:00+00:00
Feb 12, 2024
call
48750
0.3703
3
deribit-BTC-12FEB24-49000-C-option
2024-02-09 08:03:00+00:00
2024-02-12 08:00:00+00:00
Feb 12, 2024
call
49000
0.3908
5
deribit-BTC-12FEB24-49250-C-option
2024-02-11 08:14:00+00:00
2024-02-12 08:00:00+00:00
Feb 12, 2024
call
49250
0.4235
7
deribit-BTC-12FEB24-49500-C-option
2024-02-09 08:03:00+00:00
2024-02-12 08:00:00+00:00
Feb 12, 2024
call
49500
0.4815
...
...
...
...
...
...
...
...
994
deribit-BTC-27DEC24-105000-C-option
2023-12-28 08:02:00+00:00
2024-02-13 17:43:00+00:00
Dec 27, 2024
call
105000
0.6558
996
deribit-BTC-27DEC24-110000-C-option
2023-12-28 08:02:00+00:00
2024-02-13 17:43:00+00:00
Dec 27, 2024
call
110000
0.6580
998
deribit-BTC-27DEC24-115000-C-option
2023-12-28 08:02:00+00:00
2024-02-13 17:43:00+00:00
Dec 27, 2024
call
115000
0.6633
1000
deribit-BTC-27DEC24-120000-C-option
2023-12-28 08:02:00+00:00
2024-02-13 17:43:00+00:00
Dec 27, 2024
call
120000
0.6656
1002
deribit-BTC-27DEC24-125000-C-option
2023-12-28 08:02:00+00:00
2024-02-13 17:43:00+00:00
Dec 27, 2024
call
125000
0.6690
503 rows × 7 columns
1356
deribit-ETH-23FEB24-2400-C-option
97938.0
256834569.96
972
deribit-BTC-29MAR24-50000-C-option
5204.3
254888763.251
992
deribit-BTC-29MAR24-60000-C-option
4830.8
236604371.64
1716
deribit-ETH-29MAR24-3000-C-option
86689.0
227343636.28
994
deribit-BTC-29MAR24-65000-C-option
4572.5
223940793.825
...
...
...
...
1511
deribit-ETH-27DEC24-6000-P-option
1.0
2622.57
1599
deribit-ETH-27SEP24-7500-P-option
1.0
2622.53
1593
deribit-ETH-27SEP24-6000-P-option
1.0
2622.52
1177
deribit-ETH-15FEB24-2200-P-option
1.0
2622.37
1737
deribit-ETH-29MAR24-5000-P-option
1.0
2622.27
1387 rows × 3 columns
0
deribit-BTC-12FEB24-48750-C-option
2024-02-12T08:00:00.000000000Z
48750
call
61.3
2959931.187
1
deribit-BTC-12FEB24-48750-P-option
2024-02-12T08:00:00.000000000Z
48750
put
4.7
226944.294
2
deribit-BTC-12FEB24-49000-C-option
2024-02-12T08:00:00.000000000Z
49000
call
141.1
6813157.422
3
deribit-BTC-12FEB24-49250-C-option
2024-02-12T08:00:00.000000000Z
49250
call
6.6
318687.732
4
deribit-BTC-12FEB24-49500-C-option
2024-02-12T08:00:00.000000000Z
49500
call
28.6
1380979.028
...
...
...
...
...
...
...
820
deribit-BTC-27DEC24-120000-P-option
2024-12-27T08:00:00.000000000Z
120000
put
1.3
63681.397
821
deribit-BTC-27DEC24-125000-C-option
2024-12-27T08:00:00.000000000Z
125000
call
37.9
1856453.805
822
deribit-BTC-27DEC24-125000-P-option
2024-12-27T08:00:00.000000000Z
125000
put
1.6
78372.704
823
deribit-BTC-27DEC24-10000-P-option
2024-12-27T08:00:00.000000000Z
10000
put
20.7
1013795.748
824
deribit-BTC-27DEC24-28000-P-option
2024-12-27T08:00:00.000000000Z
28000
put
132.1
6470647.695
825 rows × 6 columns
0
deribit-BTC-12FEB24-48750-C-option
Feb 12, 2024
48750
call
61.3
2959931.187
1
deribit-BTC-12FEB24-48750-P-option
Feb 12, 2024
48750
put
4.7
226944.294
2
deribit-BTC-12FEB24-49000-C-option
Feb 12, 2024
49000
call
141.1
6813157.422
3
deribit-BTC-12FEB24-49250-C-option
Feb 12, 2024
49250
call
6.6
318687.732
4
deribit-BTC-12FEB24-49500-C-option
Feb 12, 2024
49500
call
28.6
1380979.028
...
...
...
...
...
...
...
820
deribit-BTC-27DEC24-120000-P-option
Dec 27, 2024
120000
put
1.3
63681.397
821
deribit-BTC-27DEC24-125000-C-option
Dec 27, 2024
125000
call
37.9
1856453.805
822
deribit-BTC-27DEC24-125000-P-option
Dec 27, 2024
125000
put
1.6
78372.704
823
deribit-BTC-27DEC24-10000-P-option
Dec 27, 2024
10000
put
20.7
1013795.748
824
deribit-BTC-27DEC24-28000-P-option
Dec 27, 2024
28000
put
132.1
6470647.695
825 rows × 6 columns
0
Apr 26, 2024
call
746759409.804
1
Apr 26, 2024
put
362391927.898
2
Dec 27, 2024
call
327845484.001
3
Dec 27, 2024
put
76852459.777
4
Feb 12, 2024
call
61221827.396
5
Feb 12, 2024
put
53636084.351
6
Feb 13, 2024
call
60612528.457
7
Feb 13, 2024
put
55888112.274
8
Feb 14, 2024
call
62115453.667
9
Feb 14, 2024
put
47578321.782
10
Feb 15, 2024
call
15652452.769
11
Feb 15, 2024
put
19036582.686
12
Feb 16, 2024
call
486055096.137
13
Feb 16, 2024
put
407674392.781
14
Feb 23, 2024
call
1849252067.898
15
Feb 23, 2024
put
1101826630.192
16
Jun 28, 2024
call
1703153232.984
17
Jun 28, 2024
put
446922981.015
18
Mar 01, 2024
call
150328051.677
19
Mar 01, 2024
put
105881633.482
20
Mar 29, 2024
call
2641595742.536
21
Mar 29, 2024
put
1245411237.802
22
Sep 27, 2024
call
480871248.568
23
Sep 27, 2024
put
169771991.037
0
February
2534909426.324
1
March
2791923794.213
2
April
746759409.804
3
June
1703153232.984
4
September
480871248.568
5
December
327845484.001