name: derivatives-analyzer
description: |
OpenBB-based derivatives trading analysis toolkit covering crypto perpetual contracts, crypto options, and US equity options. Use when analyzing: (1) Crypto perpetuals - funding rates, open interest, mark price via Deribit; (2) BTC/ETH/SOL options - Greeks, IV surface, option chains; (3) US stock options - SPY/AAPL/NVDA chains, Greeks visualization, unusual activity detection; (4) Any derivatives Greeks analysis (delta, gamma, theta, vega); (5) Implied volatility and options pricing; (6) Volatility trading strategies - VRP, term structure, skew, fly, straddle delta hedge, calendar spreads, smile carry. Triggers: "analyze BTC perpetual", "show ETH options", "SPY options chain", "Greeks analysis", "IV surface", "funding rate", "options Greeks", "straddle price", "vol signals", "VRP analysis", "term structure", "skew analysis", "volatility trading".
Derivatives Analyzer
OpenBB-powered derivatives analysis for crypto and equity markets.
Prerequisites
pip install openbb openbb-deribit
Quick Start
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
# 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
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
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
Volatility Trading Framework
Core PnL Formula
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%)
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
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
# 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.
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