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Visualize order books and spot arbitrage opportunities.
Plots historical values for a range of spot indicators, and volatility at various times to expiration.
Instruments
Lists all instruments (put / call) from four Centralized Exchanges (Deribit, Binance, Bybit, Delta) for a given currency (BTC / ETH) and time to expiration.
Exchange: Select an exchange (Deribit, Binance, Bybit, Delta) to pull data from.
Currency: Select cryptocurrency.
Texp: Select time to expiration (in days).
Order Book
For all instruments, lists open interest and the best bid/ask prices and amounts. Also shows the mark price, implied volatility, and volume.
Exchange: Select exchange (Deribit, Binance, Bybit, Delta) to pull data from.
Currency: Select cryptocurrency.
Texp: Select time to expiration (in days).
Bid-ask smile
Plots implied volatility (bid, ask, mark) for various strikes for a given exchange, currency (BTC / ETH) and time to expiration. Trace shows implied volatility estimated using the SABR model ("stochastic alpha, beta, rho"). The mark price is also typically estimated with this model.
Exchange: Select exchange (Deribit, Binance, Bybit, Delta) to pull data from.
Currency: Select cryptocurrency.
Texp: Select time to expiration (in days). If βAllβ is selected, the plot displays a 3D volatility surface. Click on the surface to select a specific time to expiration and display the bid-ask smile using the SABR model (stochastic alpha beta rho). If a specific time to expiration is selected, the plot displays a 2D volatility surface, namely the implied volatility for the bid, ask and mark prices, as well as the values estimated using the SABR model (trace).
Click on a specific plot to reveal additional information:
Bid (green): Bid order book information for both calls and puts for a specific strike.
Ask (red): Bid order book information for both calls and puts for a specific strike.
Mark (orange): Open interest, volume and βthe Greeksβ (vega, theta, rho, gamma, delta).
Product: Select call or put to show the number of contracts for both bid and ask. Plot only shows after a specific strike price is selected
Texp Range: Select a range for times to expiration displayed in the 3D volatility surface.
Opportunities
Shows arbitrage opportunities when there is a difference between the buy and sell prices across different exchanges. If table is empty, there are no opportunities.
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