HomeCharts

Exploring Options, Open Interest, and Volatility Data

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.

Resources

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.

File Download

Download the entire notebook as either a jupyter notebook to run yourself or as a pdf from the two links below

Notebook Setup

from os import environ
import pandas as pd
import numpy as np
import seaborn as sns
import logging
from datetime import date, timedelta
from coinmetrics.api_client import CoinMetricsClient
import logging
import calendar
from datetime import date
import matplotlib.ticker as mtick
import matplotlib.pyplot as plt
%matplotlib inline
sns.set_theme()
sns.set(rc={'figure.figsize':(18,8)})
sns.set_palette("YlGn",3)
sns.set_style("ticks", {"xtick.major.size":20,"ytick.major.size":20})
sns.set_style("whitegrid",{'axes.grid' : True,'grid.linestyle': '--', 'grid.color': '#b0b0b0','axes.edgecolor': 'white',
              'font.family': ['arial'],'axes.facecolor':'#4b5359'})
logging.basicConfig(
    format='%(asctime)s %(levelname)-8s %(message)s',
    level=logging.INFO,
    datefmt='%Y-%m-%d %H:%M:%S'
)
# We recommend privately storing your API key in your local environment.
try:
    api_key = environ["CM_API_KEY"]
    logging.info("Using API key found in environment")
except KeyError:
    api_key = ""
    logging.info("API key not found. Using community client")
client = CoinMetricsClient(api_key)
2024-02-13 13:17:42 INFO     Using API key found in environment

Query Examples

Retrieving Market Greeks

greeks_deribit = client.get_market_greeks(
    markets='deribit-BTC-30DEC22-*-option',
    limit_per_market=1
).to_dataframe()
greeks_deribit.head()
markettimedatabase_timevegathetarhodeltagammaexchange_time

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

Retrieving Market Quotes

quotes_deribit = client.get_market_quotes(
    markets='deribit-BTC-30DEC22-*-option',
    limit_per_market=1,
).to_dataframe()
quotes_deribit.head()
markettimecoin_metrics_idask_priceask_sizebid_pricebid_size

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

Retrieving Contract Prices

prices_deribit = client.get_market_contract_prices(
    markets='deribit-BTC-30DEC22-*-option',
    limit_per_market=1,
).to_dataframe()
prices_deribit.head()
markettimedatabase_timemark_priceindex_priceexchange_time

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

Retrieving Open Interest

oi_deribit = client.get_market_open_interest(
    markets='deribit-BTC-30DEC22-*-option',
    limit_per_market=1,
).to_dataframe()
oi_deribit.head()
markettimecontract_countvalue_usddatabase_timeexchange_time

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

Plotting Options 'Volatility Smiles'

'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.

asset = 'btc'

Catalog Endpoint

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.

markets_deribit = client.catalog_full_market_implied_volatility_v2(
    exchange='deribit',
    market_type='option',
    base=asset,
    page_size=10000
).to_dataframe()
markets_deribit.sort_values(by='max_time')
marketmin_timemax_time

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

markets_deribit["min_time"] = pd.to_datetime(markets_deribit.min_time)
markets_deribit["max_time"] = pd.to_datetime(markets_deribit.max_time)
# Select contracts that are still trading as of yesterday
end_date = (date.today() - timedelta(days=1)).strftime("%Y-%m-%d") 
deribit_current = markets_deribit.loc[(markets_deribit["max_time"] >= end_date)]

Collect Contract Reference Data

ref_data = client.reference_data_markets(
    exchange = 'deribit',
    type = 'option',
    base = asset,
    page_size=10000
).to_dataframe()
ref_data.head()
marketexchangetypebasequotepairsymbolsize_assetstrikeoption_contract_typeis_europeancontract_sizelistingexpirationsettlement_pricestatusorder_amount_minorder_price_incrementorder_taker_feeorder_maker_fee

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

deribit_current = pd.merge(deribit_current, ref_data[['market','expiration','option_contract_type','strike']], on='market', how='left')
# Set max expiration date
max_expiry = (date.today() + timedelta(days=365)).strftime("%Y-%m-%d")
max_expiry = (pd.to_datetime(max_expiry)).strftime("%Y-%m-%d")
deribit_current = pd.DataFrame(deribit_current.loc[(deribit_current["expiration"] < max_expiry)])
deribit_current = deribit_current.sort_values(by=['expiration'])
deribit_current
marketmin_timemax_timeexpirationoption_contract_typestrike

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

Retrieve Implied Volatility

iv_asset_contracts = client.get_market_implied_volatility(
    markets='deribit-*-option',
    start_time = end_date,
    limit_per_market=1,
    page_size=10000
).to_dataframe()
iv_asset_contracts = iv_asset_contracts.loc[iv_asset_contracts['market'].isin(deribit_current['market'].to_list())]
iv_asset_contracts
markettimedatabase_timeiv_bidiv_askiv_markexchange_time

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

iv_only = iv_asset_contracts.drop(['time', 'database_time','iv_bid','iv_ask','exchange_time'], axis=1).drop_duplicates()
iv_only
marketiv_mark

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

merged = pd.merge(deribit_current, iv_only, on="market").drop_duplicates()
calls = pd.DataFrame(merged.loc[merged['option_contract_type'] == 'call'])
calls['expiration'] = pd.to_datetime(calls['expiration']).dt.strftime('%b %d, %Y')
calls = calls.dropna(subset=['strike'])
calls['strike'] = calls['strike'].astype('int64')
calls['iv_mark'] = calls['iv_mark'].astype('float64')
calls['expiration'] = calls['expiration'].astype('category')
calls = calls.dropna(subset=['strike', 'iv_mark'])
calls = calls[np.isfinite(calls['strike']) & np.isfinite(calls['iv_mark'])]
calls
marketmin_timemax_timeexpirationoption_contract_typestrikeiv_mark

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

calls = calls.sort_values(by='expiration')
calls.dtypes
market                       string[python]
min_time                datetime64[ns, UTC]
max_time                datetime64[ns, UTC]
expiration                         category
option_contract_type         string[python]
strike                                int64
iv_mark                             float64
dtype: object
l = sns.lineplot(data=calls, x="strike", y="iv_mark", hue='expiration')
l.set_xlabel("\nStrike Price", fontsize = 17)
l.set_ylabel("Implied Volatility \n", fontsize = 17)
l.set_xlim([0, calls['strike'].max()])

l.set_xticks(l.get_xticks().tolist())
l.set_xticklabels(['${:,.0f}'.format(x) for x in l.get_xticks().tolist()],fontsize=14)
l.set_yticks(l.get_yticks().tolist())
l.set_yticklabels(['{:.2f}'.format(y) for y in l.get_yticks().tolist()],fontsize=14)
plt.setp(l.get_yticklabels()[0], visible=False)    
leg = plt.legend(loc='upper right',ncol=2,fontsize=13.5)
for text in leg.get_texts():
    text.set_color("white")
l.set_title('\n' + asset.upper() + ' Volatility Smiles\n', fontsize = 25)
plt.suptitle('\n\n         Deribit Options by Expiration',fontsize=16);

Plotting Calls vs. Puts by Open Interest

options_oi = client.get_market_open_interest(
    markets='deribit-*-option',
    limit_per_market=1,
    paging_from='end',
    start_time=end_date,
    page_size=10000
).to_dataframe()
options_oi['value_usd'] = pd.to_numeric(options_oi['value_usd'])
options_oi = options_oi.loc[options_oi['value_usd'] > 0]
options_oi = options_oi.sort_values('value_usd',ascending=False)
oi_only = options_oi[['market','contract_count','value_usd']]
oi_only
marketcontract_countvalue_usd

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

asset_deribit_oi = deribit_current[['market','expiration','strike','option_contract_type']]
oi_merged = pd.merge(asset_deribit_oi, oi_only, on="market").drop_duplicates()
oi_merged
marketexpirationstrikeoption_contract_typecontract_countvalue_usd

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

oi_merged.expiration = pd.to_datetime(oi_merged.expiration).dt.strftime('%b %d, %Y')
oi_merged
marketexpirationstrikeoption_contract_typecontract_countvalue_usd

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

oi_merged_sum = oi_merged.groupby(
        ['expiration', 'option_contract_type']).value_usd.sum().reset_index()
oi_merged_sum
expirationoption_contract_typevalue_usd

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

calls_oi = pd.DataFrame(oi_merged_sum.loc[oi_merged_sum['option_contract_type'] == 'call'])
puts_oi = pd.DataFrame(oi_merged_sum.loc[oi_merged_sum['option_contract_type'] == 'put'])
# Convert 'expiration' to datetime and extract month
calls_oi['expiration'] = pd.to_datetime(calls_oi['expiration'])
calls_oi['Expiration Month'] = calls_oi['expiration'].dt.month

puts_oi['expiration'] = pd.to_datetime(puts_oi['expiration'])
puts_oi['Expiration Month'] = puts_oi['expiration'].dt.month

# Group by 'expiration_month' and sum 'value_usd'
calls_oi_grouped = calls_oi.groupby('Expiration Month')['value_usd'].sum()
puts_oi_grouped = puts_oi.groupby('Expiration Month')['value_usd'].sum()

# Convert Series to DataFrame and reset index
calls_oi_df = calls_oi_grouped.reset_index()
puts_oi_df = puts_oi_grouped.reset_index()

# Replace month numbers with month names
calls_oi_df['Expiration Month'] = calls_oi_df['Expiration Month'].apply(lambda x: calendar.month_name[x])
puts_oi_df['Expiration Month'] = puts_oi_df['Expiration Month'].apply(lambda x: calendar.month_name[x])
calls_oi_df
Expiration Monthvalue_usd

0

February

2534909426.324

1

March

2791923794.213

2

April

746759409.804

3

June

1703153232.984

4

September

480871248.568

5

December

327845484.001

# Add a new column to distinguish between calls and puts
calls_oi_df['type'] = 'calls'
puts_oi_df['type'] = 'puts'

# Concatenate the dataframes
df = pd.concat([calls_oi_df, puts_oi_df])
df = df.rename(columns={"value_usd": "Open Interest (USD)"})

# Plot the bars side by side
p = sns.barplot(data=df, x='Expiration Month', y='Open Interest (USD)', hue='type', palette=['green', 'red'])
p.set_title('\nBTC Options Open Interest (USD)\nby Expiration Month\n',fontsize=16)
# Format y-axis in billions
fmt = '${x:,.0f}B'
p.legend_.remove()

tick = mtick.FuncFormatter(lambda x, pos: '${:,.2f}B'.format(x*1e-9))
p.yaxis.set_major_formatter(tick)
2024-02-13 13:18:16 INFO     Using categorical units to plot a list of strings that are all parsable as floats or dates. If these strings should be plotted as numbers, cast to the appropriate data type before plotting.
2024-02-13 13:18:16 INFO     Using categorical units to plot a list of strings that are all parsable as floats or dates. If these strings should be plotted as numbers, cast to the appropriate data type before plotting.
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