Derivatives Analyzer
OpenBB-powered derivatives analysis for crypto and equity markets.
Prerequisites
bash
pip install openbb openbb-deribit
Quick Start
python
from openbb import obb obb.user.preferences.output_type = "dataframe"
Supported Assets
| Category | Symbols | Provider |
|---|---|---|
| Crypto Perpetuals | BTC, ETH, SOL, XRP, BNB | Deribit |
| Crypto Options | BTC, ETH, SOL | Deribit |
| US Equity Options | Any US stock | CBOE, yfinance |
Core Workflows
1. Crypto Perpetual Analysis
python
# Get perpetual stats info = obb.derivatives.futures.info(provider='deribit', symbol='BTC') # Returns: last_price, funding_rate, open_interest, volume, mark_price # List all instruments instruments = obb.derivatives.futures.instruments(provider='deribit')
Key metrics: current_funding, funding_8h, open_interest, mark_price, volume_usd
2. Crypto Options Analysis
python
chains = obb.derivatives.options.chains(symbol='BTC', provider='deribit') # Filter params: option_type, moneyness, strike_gt/lt, oi_gt, volume_gt
For Greeks filtering pattern, see references/greeks-filtering.md.
3. US Equity Options Analysis
python
chains = obb.derivatives.options.chains(symbol='SPY', provider='cboe') price = chains['underlying_price'].iloc[0] # Filter valid Greeks (critical step) valid = chains[(chains['dte'] >= 7) & (chains['dte'] <= 60) & (chains['delta'] != 0)]
For complete workflow, see references/equity-options.md.
Scripts
| Script | Purpose |
|---|---|
scripts/perpetual_analysis.py | Crypto perpetual funding & OI analysis |
scripts/options_greeks.py | Options Greeks analysis & visualization |
scripts/iv_surface.py | Implied volatility surface plotting |
scripts/vol_signals.py | Volatility trading signals (TS, Skew, Fly, VRP) |
References
- •greeks-filtering.md - Greeks data filtering patterns
- •equity-options.md - US equity options workflow
- •crypto-derivatives.md - Crypto derivatives guide
- •volatility-trading-strategies.md - Vol trading strategies (Jeff Liang methodology)
- •advanced-options-framework.md - Enhanced skew analysis, Greeks management, position sizing (Greeks.live methodology)
Volatility Trading Framework
Core PnL Formula
code
Vol Trade PnL = Vega PnL + Gamma Carry + Residuals - Fees Smile Carry = Volga Carry + Vanna Carry
Key Indicators
| Indicator | Formula | Signal |
|---|---|---|
| Term Structure | Far IV - Near IV | Contango = sell calendar |
| Fly | (25D Call + Put IV)/2 - ATM IV | High = more vol premium |
| Skew | 25D Put IV - Call IV | Right turn = bullish |
| VRP | IV - RV | Positive = sell vol |
For complete strategy guide, see volatility-trading-strategies.md.
Common Patterns
Filter ATM Options (±5%)
python
atm = chains[(chains['strike'] >= price * 0.95) & (chains['strike'] <= price * 1.05)] calls = atm[atm['option_type'] == 'call'] puts = atm[atm['option_type'] == 'put']
Calculate Straddle Cost
python
straddle = options.results.straddle(days=expiry) cost = straddle.loc["Cost"].values[0] dte = straddle.loc["DTE"].values[0] implied_move = ((1 + cost / price) ** (1 / dte) - 1) * 100
Error Handling
| Error | Cause | Solution |
|---|---|---|
No data found | Invalid symbol | Verify symbol format (e.g., 'BTC' not 'BTC-USD') |
Provider not available | Missing extension | Run pip install openbb-deribit |
Empty DataFrame | Market closed | Check market hours; try different expiration |
KeyError: 'delta' | Greeks unavailable | Use provider with Greeks (cboe > yfinance) |
Rate Limits
| Provider | Limit | Notes |
|---|---|---|
| Deribit | 20 req/sec | No API key for public data |
| CBOE | Generous | No explicit limit |
| yfinance | ~2000/hour | May throttle on heavy use |
Advanced Analysis Framework
Three-Chart System (Greeks.live Methodology)
| Chart | Purpose | Key Metric |
|---|---|---|
| ATM IV + HV | VRP identification | IV - RV spread |
| Term Structure | Calendar opportunities | Contango/Backwardation |
| 25Δ Skew | Directional bias + tail risk | Risk Reversal |
25-Delta Indicators
python
# Risk Reversal: Directional bias rr = call_25d_iv - put_25d_iv # Positive = bullish # Butterfly: Tail risk premium fly = (call_25d_iv + put_25d_iv) / 2 - atm_iv # High = more premium
Position Sizing Rules
| Rule | Threshold |
|---|---|
| Max single trade loss | ≤ 2% account |
| Total options allocation | ≤ 20% account |
| Single asset concentration | ≤ 50% options |
IV Regime Adjustment
| IV Percentile | Size Multiplier | Rationale |
|---|---|---|
| < 25% | 1.5x | Options cheap |
| 25-75% | 1.0x | Normal |
| > 75% | 0.5x | Options expensive |
For complete framework, see advanced-options-framework.md.