Deribit

 

Setup

For option expirations that do not have a future associated with it, users will need to assign the desired future to that expiration. Details can be found in Metro Settings Documentation

Modeling

To generate implied volatilities on Deribit market data disseminated in coin, Metro converts prices to the same units as the strike prices. When a volatility surface is defined, Metro converts those values back to coin

Option bid/ask premiums are represented in coin. Because of this, when using any of Metros current models, deltas and gammas have been modified to represent the change more accurately in coin value as the underlying moves.

Please note the following:

  1. Deep in-the-money call deltas will approach 0
  2. Deep in-the-money put deltas can be less than -1
  3. The absolute sum of deltas at a strike will not necessarily be 1

Trade sheets

TV_Fiat: Used to convert TV crypto coin to TV fiat currency. This may be useful when trading across fiat and coin exchanges.

Coin TV * Underlying value for expiration

The underlying value for expiration will be determined by underlying source selection in trade sheets configuration. 

This calculation is used when converting a spread coin TV to TV_Fiat as well

 TV_Fiat in spread box will not evaluate a vol leg added to spread

For exchanges that trade in fiat currency (CME BTC for example) this cell will display a value of 0

.

The Vol Adjustment tool is currently only usable with “Vol” selected. Trying to adjust values with “Straddle” selected will not work given the conversion to coin that must take place.

Exchange Trades and Trade Control Fiat Columns

FiatTV: Converts coin TV to fiat currency TV

FiatPrice: Converts coin trade price to fiat currency trade price

These columns will only populate for coin based exchanges and will be left blank otherwise. 

Columns will not populate if all legs in a strategy do not share the same underlying. 

Using EOD Wizard:

Daily settlements are not currently available. To generate a set of baseline prices used to calculate committed TV PNL and Mark to Market PNL use the “Get Mid-market” option in the EOD Wizard Current Mark tab. In the case of futures, the mid-market will be used to generate the option TV settlements values. For option settlements, the mid-market value of the option instrument will be used as the settlement value.

If you have another symbol that does get daily settlements (like CME BTC), utilizing the filter in the EOD wizard will allow you to bring in those settlements separately from the “Get Mid-market” mentioned above

It is recommended that you run the EOD wizard daily. Please consult with the Metro support team if you would like to consider other options.

Additional Notes

Metro Book Depth

For less liquid expirations, users may find the Book Depth compression functionality helpful. Documentation can be found here.