Options Analytics with Genesis Volatility

LedgerX and Genesis Volatility have teamed up to provide options analytics, available on the Market Data page! 

GVol’s analytics provide LedgerX traders with the ability to:

  • Analyze trade activity on LedgerX
  • Identify opportunities
  • Manage risk
  • Make informed trade decisions

Start analyzing LedgerX bitcoin options volatility, open interest, and trade volume with GVol!

 
 

Data Explained by the Experts at GVol

Order Book Skew

The volatility skew, also known as the smile, represents an option’s implied volatility given different strike prices or delta values.

The Black-Scholes model assumes constant volatility throughout the life of an option, yet, the underlying may behave differently depending on where it’s trading.

For example, if crypto currencies were to drop 50% tomorrow (or double in value), the volatility would probably increase, therefore, out-of-money strikes and deltas are typically priced with richer volatilities.

A good way of measuring skew is by calculating the ratio of an out-of-money option versus an at-the-money option. This relationship typically changes in low volatility environments versus high volatility environments.

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Orderbook Term Structure
The volatility term structure represents the implied volatility given different expiration dates.

The Black-Scholes model assumes constant volatility throughout the life of the option. Volatility is known to “Cluster”, meaning low and high volatility periods are clustered together. Because of this, the average volatility over the life of the option will be different given the current volatility environment and how much time is left until expiration.

Usually, high volatility environments will have higher implied volatilities for short-term options versus long-term options, pricing a revision to the mean.

The inverse is true for low volatility environments.

A good way of measuring term structure is by measuring the ratio of short-term versus long-term option implied volatility.

Open Interest: Calls/Puts, Expiration & Strike

Open Interest reflects the number of outstanding contracts in the market. Each contract has a buyer and a seller.

Usually, market makers post bids and asks for contracts in the marketplace, frequently updating their quotes. Once a market participant trades against one of these quotes a contract comes into existence. This increases both the market maker's inventory as well as the market participant’s inventory.

Note, market makers are not necessarily involved, sometimes two participants will meet in the middle and trade together, increasing open interest.

Trades can also decrease open interest or leave it unaffected, this depends on how the trade affects overall inventory.

We can see the total open interest for each option expiration cycle.

24hr Volume: Calls/Puts, Expiration & Strike

This allows traders to quickly identify liquidity by finding where most activity occurred.

24hr Change in OI: Calls/Puts, Expiration & Strike
OI means “Open Interest”

Change in OI compares OI between now and the past 24hrs. 

All contracts that have expired between comparison dates are excluded. Meaning, only the change in OI for non-expired contracts are tallied

Open Interest reflects the number of outstanding contracts in the market. Each contract has a buyer and a seller.

Usually market makers post bids and asks for contracts in the marketplace, frequently updating their quotes. Once a market participant trades against one of these quotes a contract comes into existence. This increases both the market maker's inventory as well as the market participant’s inventory.

Note, market makers are not necessarily involved, sometimes two participants will meet in the middle and trade together, increasing open interest.

Trades can also decrease open interest or leave it unaffected, this depends on how the trade affects overall inventory.

Time & Sales

Times & Sales data will reflect actual trades. 

This is useful for traders to monitor the flow. 

 

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