Options strategy builder
CryptoKeyhole’s options strategy builder prices any position in Deribit BTC or ETH options, from a single call to an iron condor, on our own fitted volatility surface: what it costs, where it breaks even, its Greeks and what happens when the price and volatility move. It places no trades.
- Net premium
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- Break-even
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- Max profit
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- Max loss
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- Delta, coins
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- Gamma per 1%
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- Vega per point
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- Theta per day
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Legs
| Side | Instrument | Expiry | Strike | Size | IV | Value |
|---|
If the price and volatility move today
Profit or loss in US dollars if the price moves by the amount at the top and implied volatility by the amount at the side, valued today.
How it works
Each leg is priced with Black-76 on its expiry’s forward price at the implied volatility of its listed strike. The premium of the position is what the legs’ prices add up to; a negative total means the position pays you to open it.
The solid line is the position’s value at the first expiry of its legs: expired legs pay their intrinsic value at each settlement price and any later legs are priced with Black-76 at today’s implied volatility, their forward moving with the price. The dashed line values the whole position today at each price. The band is the expected move to that first expiry, from its at-the-money implied volatility.
The grid shows the profit or loss if the price moved by the percentage at the top and implied volatility by the points at the side, valued today. Greeks are the sums of each leg’s Black-76 Greeks at today’s surface.
Questions
How are the options priced?
Each leg uses the Black-76 model on that expiry’s forward price and its implied volatility from our ten-minute snapshot of Deribit’s option chain. At a listed strike the venue’s mark implied volatility is used where it passes our filters; otherwise the value comes from the expiry’s fitted smile, the same fit behind our volatility surface charts.
What does the expected move on the chart mean?
The shaded band is the range the option market implies for the first expiry in the position: one standard deviation either side of the current index price, using that expiry’s at-the-money implied volatility. Prices move outside the band about a third of the time on these assumptions.
What do the dashed line and the solid line show?
The solid line is the position’s profit or loss at its first expiry, if the price ends at each level. The dashed line is what the position would make or lose today at each price, with today’s implied volatility; the two meet at expiry.
What do delta, gamma, vega and theta mean here?
Delta: the coins of exposure the position has now. Gamma: the dollars the position’s value changes through the curvature of a one-percent move. Vega: the change in dollars for one point of implied volatility. Theta: the dollars of value lost or gained with one day passing. All totals assume today’s implied volatility.
Why is the price not exactly what the exchange shows?
Marks are a ten-minute snapshot (delayed by an hour on the free plan) and no account fees, margin or bid-ask spread is included. Real prices will differ, more so on wide or thin markets.
Can I place trades here?
No. CryptoKeyhole does not take orders. The builder only shows the prices and risks of a position you describe.
Implied volatility and forward prices from CryptoKeyhole’s ten-minute snapshots of Deribit’s BTC and ETH option chains (an hour delayed on the free plan). Prices are model values from Black-76 on each expiry’s forward, not firm quotes, and include no fees or spreads.