Crypto Options

Crypto Options System with crypto options margin, crypto forward curve and crypto option pricer modules

Optimai Crypto Options System enables you to manage your crypto options book seamlessly.  It supports options features for European call/ put options on coins such as Bitcoin & Ethereum.  It takes in executed options trades via file upload or API interfaces to options exchanges, and live coin prices from crypto exchanges.  

It incorporates options margin module as well as options expiration module. The system computes realized volatility based on historical underlying prices of coins such as Bitcoin & Ethereum.  It also generates an implied volatility surface based on options bid/ ask price and implied volatility.  It computes options greeks (delta, gamma, theta, vega, rho) based on Black Scholes model using the implied volatility curve for each options position and aggregated at account level with live or target prices.  It further supports enquiry on portfolio options greeks, option greeks sensitivity analysis, portfolio option position ladder and historical realized volatility.  

To complete the options suite, the system also allows you to construct an internal volatility surface by specifying the at-the-money implied volatility curve, risk reversal and fly surface. A forward curve can be generated using futures prices from an exchange of your choice, or using your own price points.

Finally, our Option Pricer uses the internal volatility surface and forward curve to calculate the theoretical implied volatility and PV of various options. Comparing this with the current market price and implied volatility will be useful to assist the decision to purchase and write an option.

Besides Crypto Options System, Optimai also supports Cryptocurrency System.