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+{
+ "cells": [
+ {
+ "cell_type": "markdown",
+ "metadata": {},
+ "source": [
+ "# Configuration"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 1,
+ "metadata": {
+ "is_executing": true
+ },
+ "outputs": [],
+ "source": [
+ "# Import libraries\n",
+ "import pandas as pd\n",
+ "import datetime as dt\n",
+ "import numpy as np\n",
+ "import os as os\n",
+ "import plotly.graph_objects as go\n",
+ "import requests as requests\n",
+ "\n",
+ "from PIL import Image\n",
+ "from datetime import date\n",
+ "from datetime import timedelta\n",
+ "from amberdata_derivatives import AmberdataDerivatives\n",
+ "\n",
+ "# Load environment variables\n",
+ "from dotenv import load_dotenv\n",
+ "load_dotenv()\n",
+ "\n",
+ "# Retrieve API key from .env file\n",
+ "API_KEY = os.getenv('API_KEY')\n",
+ "\n",
+ "# Amberdata Logo\n",
+ "AMBERDATA_LOGO = Image.open(\"amberdata_logo_bug_color_100p.png\")"
+ ]
+ },
+ {
+ "cell_type": "markdown",
+ "metadata": {},
+ "source": [
+ "# Amberdata SDK"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 2,
+ "metadata": {},
+ "outputs": [],
+ "source": [
+ "# Create SDK client\n",
+ "amberdata_client = AmberdataDerivatives(api_key=API_KEY)\n",
+ "\n",
+ "# Headers for REST calls\n",
+ "headers = {\n",
+ " \"accept\" : \"application/json\",\n",
+ " \"Accept-Encoding\" : \"gzip\",\n",
+ " \"x-api-key\" : API_KEY\n",
+ "}"
+ ]
+ },
+ {
+ "cell_type": "markdown",
+ "metadata": {},
+ "source": [
+ "# Helper Functions"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 3,
+ "metadata": {},
+ "outputs": [],
+ "source": [
+ "def svi_raw(params, k):\n",
+ " '''\n",
+ " This function is the raw SVI formula.\n",
+ " Return volatility (varianace squared)\n",
+ " \n",
+ " params: list of 5 SVI parameters\n",
+ " k: list of log moneyness values to fit \n",
+ " ''' \n",
+ " a, b, sigma, rho, m = params\n",
+ " return np.sqrt(a + b * (rho * (k - m) + np.sqrt((k - m) ** 2 + sigma ** 2)))\n",
+ "\n",
+ "def apply_svi(row):\n",
+ " params = [row['sviA'], row['sviB'], row['sviSigma'], row['sviRho'], row['sviM']]\n",
+ " k = row['moneyness']\n",
+ " return svi_raw(params, k) * 100"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 4,
+ "metadata": {},
+ "outputs": [],
+ "source": [
+ "def fecth_svi(exchange, currency):\n",
+ " try:\n",
+ " base_url = \"https://api.amberdata.com\"\n",
+ " endpoint = f\"/markets/derivatives/analytics/volatility/svi-historical?currency={currency}&exchange={exchange}&timeInterval=minute\"\n",
+ " url = f\"{base_url}{endpoint}\"\n",
+ " response = requests.get(url, headers=headers)\n",
+ " response.raise_for_status() \n",
+ "\n",
+ " data = response.json()\n",
+ " svi = pd.json_normalize(data['payload']['data'])\n",
+ "\n",
+ " svi['timestamp'] = pd.to_datetime(svi['timestamp'], unit='ms')\n",
+ " svi['atmIv'] = svi_raw([svi['sviA'], svi['sviB'], svi['sviSigma'], svi['sviRho'], svi['sviM']], 0) * 100\n",
+ "\n",
+ " svi.sort_values('timestamp', ascending=False, inplace=True)\n",
+ "\n",
+ " return svi\n",
+ " except requests.RequestException as e:\n",
+ " print (f\"Erorr: {e}\")"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 5,
+ "metadata": {},
+ "outputs": [],
+ "source": [
+ "def fetch_level_1_quotes(exchange, currency, hours_ago):\n",
+ " svi_timestamp_last = pd.to_datetime(svi_ts['timestamp'].unique()[0]).strftime('%Y-%m-%dT%H:%M:%S.%f')\n",
+ " svi_timestamp_last_end = (pd.to_datetime(svi_ts['timestamp'].unique()[0]) + timedelta(minutes=1)).strftime('%Y-%m-%dT%H:%M:%S')\n",
+ "\n",
+ " data = amberdata_client.get_volatility_level_1_quotes(\n",
+ " exchange = exchange,\n",
+ " currency = currency,\n",
+ " startDate = svi_timestamp_last,\n",
+ " endDate = svi_timestamp_last_end\n",
+ " )\n",
+ "\n",
+ " quotes = pd.json_normalize(data['payload']['data'])\n",
+ " quotes['timestamp'] = pd.to_datetime(quotes['timestamp'] ).dt.tz_localize(None)\n",
+ " quotes['expirationTimestamp'] = pd.to_datetime(quotes['expirationTimestamp']).dt.tz_localize(None)\n",
+ " quotes['expirationTimestampDate'] = pd.to_datetime(quotes['expirationTimestamp'].dt.date).dt.tz_localize(None)\n",
+ "\n",
+ " quotes.loc[(quotes['strike'] < quotes['underlyingPrice']) & (quotes['putCall'] == 'P'), 'moneyness'] = 'OTM'\n",
+ " quotes.loc[(quotes['strike'] >= quotes['underlyingPrice']) & (quotes['putCall'] == 'P'), 'moneyness'] = 'ITM'\n",
+ " quotes.loc[(quotes['strike'] < quotes['underlyingPrice']) & (quotes['putCall'] == 'C'), 'moneyness'] = 'ITM'\n",
+ " quotes.loc[(quotes['strike'] >= quotes['underlyingPrice']) & (quotes['putCall'] == 'C'), 'moneyness'] = 'OTM'\n",
+ "\n",
+ " return quotes[quotes['moneyness']=='OTM']"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 6,
+ "metadata": {},
+ "outputs": [],
+ "source": [
+ "def generate_equidistant_strikes(quotes, step_size, timestamp_column='expirationTimestamp_quotes'):\n",
+ " df = pd.DataFrame()\n",
+ "\n",
+ " for expiration in quotes[timestamp_column].unique():\n",
+ " quotes_at_expiry = quotes[quotes[timestamp_column] == expiration]\n",
+ " strikes = quotes_at_expiry.sort_values('strike')['strike'].unique()\n",
+ "\n",
+ " # Define the minimum and maximum strikes\n",
+ " strike_min = min(strikes)\n",
+ " strike_max = max(strikes)\n",
+ "\n",
+ " # Generate equidistant strikes using np.arange()\n",
+ " new_strikes = np.arange(strike_min, strike_max + step_size, step_size) # Add step_size to include max\n",
+ "\n",
+ " # Create the DataFrame for the generated strikes\n",
+ " df_strikes = pd.DataFrame(new_strikes, columns=['strike'])\n",
+ " df_strikes['expirationTimestamp'] = expiration\n",
+ "\n",
+ " # Concatenate the results to the final DataFrame\n",
+ " df = pd.concat([df, df_strikes])\n",
+ "\n",
+ " return df"
+ ]
+ },
+ {
+ "cell_type": "markdown",
+ "metadata": {},
+ "source": [
+ "# Retrieve SVI"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 7,
+ "metadata": {},
+ "outputs": [],
+ "source": [
+ "currency = 'BTC'\n",
+ "exchange = 'deribit'"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 8,
+ "metadata": {},
+ "outputs": [
+ {
+ "data": {
+ "text/html": [
+ "
\n",
+ "\n",
+ "
\n",
+ " \n",
+ " \n",
+ " | \n",
+ " currency | \n",
+ " daysToExpiration | \n",
+ " expirationTimestamp | \n",
+ " forwardDifference | \n",
+ " indexPrice | \n",
+ " sviA | \n",
+ " sviB | \n",
+ " sviM | \n",
+ " sviRho | \n",
+ " sviSigma | \n",
+ " timestamp | \n",
+ " atmIv | \n",
+ " underlyingPrice | \n",
+ "
\n",
+ " \n",
+ " \n",
+ " \n",
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+ " BTC | \n",
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+ "
\n",
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+ " BTC | \n",
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\n",
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+ " 4 | \n",
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+ " 2024-12-06 | \n",
+ " 790.101562 | \n",
+ " 91483.93 | \n",
+ " -0.755652 | \n",
+ " 3.945145 | \n",
+ " -0.370972 | \n",
+ " -0.659142 | \n",
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+ " 2024-11-19 04:50:00 | \n",
+ " 58.672428 | \n",
+ " 92274.031562 | \n",
+ "
\n",
+ " \n",
+ " 5 | \n",
+ " BTC | \n",
+ " 38.13 | \n",
+ " 2024-12-27 | \n",
+ " 1596.632812 | \n",
+ " 91483.93 | \n",
+ " -1.726728 | \n",
+ " 2.195435 | \n",
+ " -0.208575 | \n",
+ " -0.213065 | \n",
+ " 0.957562 | \n",
+ " 2024-11-19 04:50:00 | \n",
+ " 57.207133 | \n",
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+ "
\n",
+ " \n",
+ " 6 | \n",
+ " BTC | \n",
+ " 73.13 | \n",
+ " 2025-01-31 | \n",
+ " 2745.367188 | \n",
+ " 91483.93 | \n",
+ " -0.017598 | \n",
+ " 0.866943 | \n",
+ " -0.341216 | \n",
+ " -0.492430 | \n",
+ " 0.442194 | \n",
+ " 2024-11-19 04:50:00 | \n",
+ " 56.652768 | \n",
+ " 94229.297187 | \n",
+ "
\n",
+ " \n",
+ " 7 | \n",
+ " BTC | \n",
+ " 129.13 | \n",
+ " 2025-03-28 | \n",
+ " 4592.578125 | \n",
+ " 91483.93 | \n",
+ " -0.286381 | \n",
+ " 0.755752 | \n",
+ " -0.317493 | \n",
+ " -0.294539 | \n",
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+ " 2024-11-19 04:50:00 | \n",
+ " 55.638382 | \n",
+ " 96076.508125 | \n",
+ "
\n",
+ " \n",
+ " 8 | \n",
+ " BTC | \n",
+ " 220.13 | \n",
+ " 2025-06-27 | \n",
+ " 7401.367188 | \n",
+ " 91483.93 | \n",
+ " -0.180211 | \n",
+ " 0.508398 | \n",
+ " -0.354522 | \n",
+ " -0.273714 | \n",
+ " 1.003030 | \n",
+ " 2024-11-19 04:50:00 | \n",
+ " 55.795113 | \n",
+ " 98885.297187 | \n",
+ "
\n",
+ " \n",
+ " 9 | \n",
+ " BTC | \n",
+ " 311.13 | \n",
+ " 2025-09-26 | \n",
+ " 9885.843750 | \n",
+ " 91483.93 | \n",
+ " 0.155109 | \n",
+ " 0.278608 | \n",
+ " -0.413718 | \n",
+ " -0.371803 | \n",
+ " 0.583693 | \n",
+ " 2024-11-19 04:50:00 | \n",
+ " 55.819520 | \n",
+ " 101369.773750 | \n",
+ "
\n",
+ " \n",
+ " 1 | \n",
+ " BTC | \n",
+ " 2.13 | \n",
+ " 2024-11-21 | \n",
+ " 136.632812 | \n",
+ " 91483.93 | \n",
+ " -1.228577 | \n",
+ " 16.827271 | \n",
+ " -0.188760 | \n",
+ " -0.753713 | \n",
+ " 0.144973 | \n",
+ " 2024-11-19 04:50:00 | \n",
+ " 61.839081 | \n",
+ " 91620.562812 | \n",
+ "
\n",
+ " \n",
+ " 2 | \n",
+ " BTC | \n",
+ " 3.13 | \n",
+ " 2024-11-22 | \n",
+ " 205.593750 | \n",
+ " 91483.93 | \n",
+ " -0.727882 | \n",
+ " 7.008953 | \n",
+ " -0.129213 | \n",
+ " -0.492925 | \n",
+ " 0.181737 | \n",
+ " 2024-11-19 04:50:00 | \n",
+ " 62.339995 | \n",
+ " 91689.523750 | \n",
+ "
\n",
+ " \n",
+ "
\n",
+ "
"
+ ],
+ "text/plain": [
+ " currency daysToExpiration expirationTimestamp forwardDifference \\\n",
+ "0 BTC 1.13 2024-11-20 71.468750 \n",
+ "3 BTC 10.13 2024-11-29 525.070312 \n",
+ "4 BTC 17.13 2024-12-06 790.101562 \n",
+ "5 BTC 38.13 2024-12-27 1596.632812 \n",
+ "6 BTC 73.13 2025-01-31 2745.367188 \n",
+ "7 BTC 129.13 2025-03-28 4592.578125 \n",
+ "8 BTC 220.13 2025-06-27 7401.367188 \n",
+ "9 BTC 311.13 2025-09-26 9885.843750 \n",
+ "1 BTC 2.13 2024-11-21 136.632812 \n",
+ "2 BTC 3.13 2024-11-22 205.593750 \n",
+ "\n",
+ " indexPrice sviA sviB sviM sviRho sviSigma \\\n",
+ "0 91483.93 -0.423201 11.782528 -0.083799 -0.610320 0.082929 \n",
+ "3 91483.93 -0.419579 3.154503 -0.167105 -0.439751 0.272763 \n",
+ "4 91483.93 -0.755652 3.945145 -0.370972 -0.659142 0.369113 \n",
+ "5 91483.93 -1.726728 2.195435 -0.208575 -0.213065 0.957562 \n",
+ "6 91483.93 -0.017598 0.866943 -0.341216 -0.492430 0.442194 \n",
+ "7 91483.93 -0.286381 0.755752 -0.317493 -0.294539 0.822936 \n",
+ "8 91483.93 -0.180211 0.508398 -0.354522 -0.273714 1.003030 \n",
+ "9 91483.93 0.155109 0.278608 -0.413718 -0.371803 0.583693 \n",
+ "1 91483.93 -1.228577 16.827271 -0.188760 -0.753713 0.144973 \n",
+ "2 91483.93 -0.727882 7.008953 -0.129213 -0.492925 0.181737 \n",
+ "\n",
+ " timestamp atmIv underlyingPrice \n",
+ "0 2024-11-19 04:50:00 60.275160 91555.398750 \n",
+ "3 2024-11-19 04:50:00 59.806185 92009.000312 \n",
+ "4 2024-11-19 04:50:00 58.672428 92274.031562 \n",
+ "5 2024-11-19 04:50:00 57.207133 93080.562812 \n",
+ "6 2024-11-19 04:50:00 56.652768 94229.297187 \n",
+ "7 2024-11-19 04:50:00 55.638382 96076.508125 \n",
+ "8 2024-11-19 04:50:00 55.795113 98885.297187 \n",
+ "9 2024-11-19 04:50:00 55.819520 101369.773750 \n",
+ "1 2024-11-19 04:50:00 61.839081 91620.562812 \n",
+ "2 2024-11-19 04:50:00 62.339995 91689.523750 "
+ ]
+ },
+ "execution_count": 8,
+ "metadata": {},
+ "output_type": "execute_result"
+ }
+ ],
+ "source": [
+ "svi = fecth_svi(exchange, currency)\n",
+ "svi['timestamp'] = pd.to_datetime(svi['timestamp'], unit='ms')\n",
+ "svi['expirationTimestamp'] = pd.to_datetime(svi['expirationTimestamp']).dt.tz_localize(None)\n",
+ "svi['underlyingPrice'] = svi['indexPrice'] + svi['forwardDifference']\n",
+ "svi.sort_values('timestamp', ascending=False, inplace=True)\n",
+ "\n",
+ "svi_ts = svi[svi['timestamp'] == svi['timestamp'].max()-timedelta(hours=0)]\n",
+ "\n",
+ "svi_ts"
+ ]
+ },
+ {
+ "cell_type": "markdown",
+ "metadata": {},
+ "source": [
+ "# Retrieve Level-1-Quotes"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 9,
+ "metadata": {},
+ "outputs": [
+ {
+ "data": {
+ "text/html": [
+ "\n",
+ "\n",
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\n",
+ " \n",
+ " \n",
+ " | \n",
+ " ask | \n",
+ " askIv | \n",
+ " askVolume | \n",
+ " bid | \n",
+ " bidIv | \n",
+ " bidVolume | \n",
+ " currency_quotes | \n",
+ " delta | \n",
+ " exchange | \n",
+ " exchangeTimestamp | \n",
+ " ... | \n",
+ " forwardDifference | \n",
+ " indexPrice_svi | \n",
+ " sviA | \n",
+ " sviB | \n",
+ " sviM | \n",
+ " sviRho | \n",
+ " sviSigma | \n",
+ " timestamp_svi | \n",
+ " atmIv | \n",
+ " underlyingPrice_svi | \n",
+ "
\n",
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+ " \n",
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+ " 0 | \n",
+ " 0.0003 | \n",
+ " 117.06 | \n",
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+ " 0.00 | \n",
+ " 0.0 | \n",
+ " BTC | \n",
+ " 0.00290 | \n",
+ " deribit | \n",
+ " 2024-11-19T04:50:04.174Z | \n",
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+ " -0.423201 | \n",
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+ " BTC | \n",
+ " 0.00515 | \n",
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\n",
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+ " 2 | \n",
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+ " 0.00 | \n",
+ " 0.0 | \n",
+ " BTC | \n",
+ " 0.00888 | \n",
+ " deribit | \n",
+ " 2024-11-19T04:50:01.153Z | \n",
+ " ... | \n",
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+ " 18.9 | \n",
+ " BTC | \n",
+ " 0.01987 | \n",
+ " deribit | \n",
+ " 2024-11-19T04:50:02.160Z | \n",
+ " ... | \n",
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+ " 91483.93 | \n",
+ " -0.423201 | \n",
+ " 11.782528 | \n",
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\n",
+ " \n",
+ " 4 | \n",
+ " 0.0010 | \n",
+ " 75.94 | \n",
+ " 7.5 | \n",
+ " 0.0006 | \n",
+ " 68.72 | \n",
+ " 19.2 | \n",
+ " BTC | \n",
+ " 0.04766 | \n",
+ " deribit | \n",
+ " 2024-11-19T04:50:04.174Z | \n",
+ " ... | \n",
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\n",
+ " \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ "
\n",
+ " \n",
+ " 405 | \n",
+ " 0.0265 | \n",
+ " 59.58 | \n",
+ " 2.5 | \n",
+ " 0.0230 | \n",
+ " 57.02 | \n",
+ " 20.7 | \n",
+ " BTC | \n",
+ " -0.08040 | \n",
+ " deribit | \n",
+ " 2024-11-19T04:50:02.262Z | \n",
+ " ... | \n",
+ " 9885.84375 | \n",
+ " 91483.93 | \n",
+ " 0.155109 | \n",
+ " 0.278608 | \n",
+ " -0.413718 | \n",
+ " -0.371803 | \n",
+ " 0.583693 | \n",
+ " 2024-11-19 04:50:00 | \n",
+ " 55.81952 | \n",
+ " 101369.77375 | \n",
+ "
\n",
+ " \n",
+ " 406 | \n",
+ " 0.0200 | \n",
+ " 61.64 | \n",
+ " 6.8 | \n",
+ " 0.0165 | \n",
+ " 58.47 | \n",
+ " 28.2 | \n",
+ " BTC | \n",
+ " -0.06037 | \n",
+ " deribit | \n",
+ " 2024-11-19T04:50:02.262Z | \n",
+ " ... | \n",
+ " 9885.84375 | \n",
+ " 91483.93 | \n",
+ " 0.155109 | \n",
+ " 0.278608 | \n",
+ " -0.413718 | \n",
+ " -0.371803 | \n",
+ " 0.583693 | \n",
+ " 2024-11-19 04:50:00 | \n",
+ " 55.81952 | \n",
+ " 101369.77375 | \n",
+ "
\n",
+ " \n",
+ " 407 | \n",
+ " 0.0110 | \n",
+ " 67.11 | \n",
+ " 25.5 | \n",
+ " 0.0095 | \n",
+ " 64.94 | \n",
+ " 0.1 | \n",
+ " BTC | \n",
+ " -0.03324 | \n",
+ " deribit | \n",
+ " 2024-11-19T04:50:02.262Z | \n",
+ " ... | \n",
+ " 9885.84375 | \n",
+ " 91483.93 | \n",
+ " 0.155109 | \n",
+ " 0.278608 | \n",
+ " -0.413718 | \n",
+ " -0.371803 | \n",
+ " 0.583693 | \n",
+ " 2024-11-19 04:50:00 | \n",
+ " 55.81952 | \n",
+ " 101369.77375 | \n",
+ "
\n",
+ " \n",
+ " 408 | \n",
+ " 0.0060 | \n",
+ " 75.73 | \n",
+ " 41.1 | \n",
+ " 0.0040 | \n",
+ " 70.34 | \n",
+ " 0.2 | \n",
+ " BTC | \n",
+ " -0.01559 | \n",
+ " deribit | \n",
+ " 2024-11-19T04:50:02.262Z | \n",
+ " ... | \n",
+ " 9885.84375 | \n",
+ " 91483.93 | \n",
+ " 0.155109 | \n",
+ " 0.278608 | \n",
+ " -0.413718 | \n",
+ " -0.371803 | \n",
+ " 0.583693 | \n",
+ " 2024-11-19 04:50:00 | \n",
+ " 55.81952 | \n",
+ " 101369.77375 | \n",
+ "
\n",
+ " \n",
+ " 409 | \n",
+ " 0.0021 | \n",
+ " 83.76 | \n",
+ " 1.0 | \n",
+ " 0.0010 | \n",
+ " 75.57 | \n",
+ " 55.8 | \n",
+ " BTC | \n",
+ " -0.00532 | \n",
+ " deribit | \n",
+ " 2024-11-19T04:50:02.262Z | \n",
+ " ... | \n",
+ " 9885.84375 | \n",
+ " 91483.93 | \n",
+ " 0.155109 | \n",
+ " 0.278608 | \n",
+ " -0.413718 | \n",
+ " -0.371803 | \n",
+ " 0.583693 | \n",
+ " 2024-11-19 04:50:00 | \n",
+ " 55.81952 | \n",
+ " 101369.77375 | \n",
+ "
\n",
+ " \n",
+ "
\n",
+ "
410 rows × 47 columns
\n",
+ "
"
+ ],
+ "text/plain": [
+ " ask askIv askVolume bid bidIv bidVolume currency_quotes \\\n",
+ "0 0.0003 117.06 3.7 0.0000 0.00 0.0 BTC \n",
+ "1 0.0002 98.53 0.1 0.0000 0.00 0.0 BTC \n",
+ "2 0.0002 85.41 1.0 0.0000 0.00 0.0 BTC \n",
+ "3 0.0004 79.44 0.1 0.0002 71.74 18.9 BTC \n",
+ "4 0.0010 75.94 7.5 0.0006 68.72 19.2 BTC \n",
+ ".. ... ... ... ... ... ... ... \n",
+ "405 0.0265 59.58 2.5 0.0230 57.02 20.7 BTC \n",
+ "406 0.0200 61.64 6.8 0.0165 58.47 28.2 BTC \n",
+ "407 0.0110 67.11 25.5 0.0095 64.94 0.1 BTC \n",
+ "408 0.0060 75.73 41.1 0.0040 70.34 0.2 BTC \n",
+ "409 0.0021 83.76 1.0 0.0010 75.57 55.8 BTC \n",
+ "\n",
+ " delta exchange exchangeTimestamp ... forwardDifference \\\n",
+ "0 0.00290 deribit 2024-11-19T04:50:04.174Z ... 71.46875 \n",
+ "1 0.00515 deribit 2024-11-19T04:50:00.146Z ... 71.46875 \n",
+ "2 0.00888 deribit 2024-11-19T04:50:01.153Z ... 71.46875 \n",
+ "3 0.01987 deribit 2024-11-19T04:50:02.160Z ... 71.46875 \n",
+ "4 0.04766 deribit 2024-11-19T04:50:04.174Z ... 71.46875 \n",
+ ".. ... ... ... ... ... \n",
+ "405 -0.08040 deribit 2024-11-19T04:50:02.262Z ... 9885.84375 \n",
+ "406 -0.06037 deribit 2024-11-19T04:50:02.262Z ... 9885.84375 \n",
+ "407 -0.03324 deribit 2024-11-19T04:50:02.262Z ... 9885.84375 \n",
+ "408 -0.01559 deribit 2024-11-19T04:50:02.262Z ... 9885.84375 \n",
+ "409 -0.00532 deribit 2024-11-19T04:50:02.262Z ... 9885.84375 \n",
+ "\n",
+ " indexPrice_svi sviA sviB sviM sviRho sviSigma \\\n",
+ "0 91483.93 -0.423201 11.782528 -0.083799 -0.610320 0.082929 \n",
+ "1 91483.93 -0.423201 11.782528 -0.083799 -0.610320 0.082929 \n",
+ "2 91483.93 -0.423201 11.782528 -0.083799 -0.610320 0.082929 \n",
+ "3 91483.93 -0.423201 11.782528 -0.083799 -0.610320 0.082929 \n",
+ "4 91483.93 -0.423201 11.782528 -0.083799 -0.610320 0.082929 \n",
+ ".. ... ... ... ... ... ... \n",
+ "405 91483.93 0.155109 0.278608 -0.413718 -0.371803 0.583693 \n",
+ "406 91483.93 0.155109 0.278608 -0.413718 -0.371803 0.583693 \n",
+ "407 91483.93 0.155109 0.278608 -0.413718 -0.371803 0.583693 \n",
+ "408 91483.93 0.155109 0.278608 -0.413718 -0.371803 0.583693 \n",
+ "409 91483.93 0.155109 0.278608 -0.413718 -0.371803 0.583693 \n",
+ "\n",
+ " timestamp_svi atmIv underlyingPrice_svi \n",
+ "0 2024-11-19 04:50:00 60.27516 91555.39875 \n",
+ "1 2024-11-19 04:50:00 60.27516 91555.39875 \n",
+ "2 2024-11-19 04:50:00 60.27516 91555.39875 \n",
+ "3 2024-11-19 04:50:00 60.27516 91555.39875 \n",
+ "4 2024-11-19 04:50:00 60.27516 91555.39875 \n",
+ ".. ... ... ... \n",
+ "405 2024-11-19 04:50:00 55.81952 101369.77375 \n",
+ "406 2024-11-19 04:50:00 55.81952 101369.77375 \n",
+ "407 2024-11-19 04:50:00 55.81952 101369.77375 \n",
+ "408 2024-11-19 04:50:00 55.81952 101369.77375 \n",
+ "409 2024-11-19 04:50:00 55.81952 101369.77375 \n",
+ "\n",
+ "[410 rows x 47 columns]"
+ ]
+ },
+ "execution_count": 9,
+ "metadata": {},
+ "output_type": "execute_result"
+ }
+ ],
+ "source": [
+ "quotes = fetch_level_1_quotes(exchange, currency, hours_ago=0)\n",
+ "quotes_and_svi = quotes.merge(svi_ts, left_on='expirationTimestampDate', right_on='expirationTimestamp', suffixes=('_quotes','_svi'))\n",
+ "\n",
+ "quotes_and_svi"
+ ]
+ },
+ {
+ "cell_type": "markdown",
+ "metadata": {},
+ "source": [
+ "# Generate Strikes"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 10,
+ "metadata": {},
+ "outputs": [
+ {
+ "data": {
+ "text/html": [
+ "\n",
+ "\n",
+ "
\n",
+ " \n",
+ " \n",
+ " | \n",
+ " strike | \n",
+ " expirationTimestamp | \n",
+ "
\n",
+ " \n",
+ " \n",
+ " \n",
+ " 0 | \n",
+ " 80000 | \n",
+ " 2024-11-20 08:00:00 | \n",
+ "
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+ " \n",
+ " 1 | \n",
+ " 80050 | \n",
+ " 2024-11-20 08:00:00 | \n",
+ "
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+ " \n",
+ " 2 | \n",
+ " 80100 | \n",
+ " 2024-11-20 08:00:00 | \n",
+ "
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+ " \n",
+ " 3 | \n",
+ " 80150 | \n",
+ " 2024-11-20 08:00:00 | \n",
+ "
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+ " \n",
+ " 4 | \n",
+ " 80200 | \n",
+ " 2024-11-20 08:00:00 | \n",
+ "
\n",
+ " \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ "
\n",
+ " \n",
+ " 5196 | \n",
+ " 279800 | \n",
+ " 2025-09-26 08:00:00 | \n",
+ "
\n",
+ " \n",
+ " 5197 | \n",
+ " 279850 | \n",
+ " 2025-09-26 08:00:00 | \n",
+ "
\n",
+ " \n",
+ " 5198 | \n",
+ " 279900 | \n",
+ " 2025-09-26 08:00:00 | \n",
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\n",
+ " \n",
+ " 5199 | \n",
+ " 279950 | \n",
+ " 2025-09-26 08:00:00 | \n",
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+ " \n",
+ " 5200 | \n",
+ " 280000 | \n",
+ " 2025-09-26 08:00:00 | \n",
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+ " \n",
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30930 rows × 2 columns
\n",
+ "
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+ ],
+ "text/plain": [
+ " strike expirationTimestamp\n",
+ "0 80000 2024-11-20 08:00:00\n",
+ "1 80050 2024-11-20 08:00:00\n",
+ "2 80100 2024-11-20 08:00:00\n",
+ "3 80150 2024-11-20 08:00:00\n",
+ "4 80200 2024-11-20 08:00:00\n",
+ "... ... ...\n",
+ "5196 279800 2025-09-26 08:00:00\n",
+ "5197 279850 2025-09-26 08:00:00\n",
+ "5198 279900 2025-09-26 08:00:00\n",
+ "5199 279950 2025-09-26 08:00:00\n",
+ "5200 280000 2025-09-26 08:00:00\n",
+ "\n",
+ "[30930 rows x 2 columns]"
+ ]
+ },
+ "execution_count": 10,
+ "metadata": {},
+ "output_type": "execute_result"
+ }
+ ],
+ "source": [
+ "strikes = generate_equidistant_strikes(quotes_and_svi, step_size=50)\n",
+ "strikes"
+ ]
+ },
+ {
+ "cell_type": "markdown",
+ "metadata": {},
+ "source": [
+ "# Generate Curves"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 11,
+ "metadata": {},
+ "outputs": [
+ {
+ "data": {
+ "text/html": [
+ "\n",
+ "\n",
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\n",
+ " \n",
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+ " expirationTimestamp | \n",
+ " ask | \n",
+ " askIv | \n",
+ " askVolume | \n",
+ " bid | \n",
+ " bidIv | \n",
+ " bidVolume | \n",
+ " currency_quotes | \n",
+ " delta | \n",
+ " ... | \n",
+ " indexPrice_svi | \n",
+ " sviA | \n",
+ " sviB | \n",
+ " sviM | \n",
+ " sviRho | \n",
+ " sviSigma | \n",
+ " timestamp_svi | \n",
+ " atmIv | \n",
+ " underlyingPrice_svi | \n",
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+ "
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+ " \n",
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+ " 0 | \n",
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+ " 0.0001 | \n",
+ " 96.79 | \n",
+ " 3.9 | \n",
+ " BTC | \n",
+ " -0.00963 | \n",
+ " ... | \n",
+ " 91483.93 | \n",
+ " -0.423201 | \n",
+ " 11.782528 | \n",
+ " -0.083799 | \n",
+ " -0.610320 | \n",
+ " 0.082929 | \n",
+ " 2024-11-19 04:50:00 | \n",
+ " 60.27516 | \n",
+ " 91555.39875 | \n",
+ " 102.913460 | \n",
+ "
\n",
+ " \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ " ... | \n",
+ "
\n",
+ " \n",
+ " 30925 | \n",
+ " 279800 | \n",
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+ " 22.2 | \n",
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+ " 11.9 | \n",
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+ " 0.10533 | \n",
+ " ... | \n",
+ " 91483.93 | \n",
+ " 0.155109 | \n",
+ " 0.278608 | \n",
+ " -0.413718 | \n",
+ " -0.371803 | \n",
+ " 0.583693 | \n",
+ " 2024-11-19 04:50:00 | \n",
+ " 55.81952 | \n",
+ " 101369.77375 | \n",
+ " 66.117225 | \n",
+ "
\n",
+ " \n",
+ " 30926 | \n",
+ " 279850 | \n",
+ " 2025-09-26 08:00:00 | \n",
+ " 0.0260 | \n",
+ " 66.64 | \n",
+ " 22.2 | \n",
+ " 0.0225 | \n",
+ " 64.56 | \n",
+ " 11.9 | \n",
+ " BTC | \n",
+ " 0.10533 | \n",
+ " ... | \n",
+ " 91483.93 | \n",
+ " 0.155109 | \n",
+ " 0.278608 | \n",
+ " -0.413718 | \n",
+ " -0.371803 | \n",
+ " 0.583693 | \n",
+ " 2024-11-19 04:50:00 | \n",
+ " 55.81952 | \n",
+ " 101369.77375 | \n",
+ " 66.119311 | \n",
+ "
\n",
+ " \n",
+ " 30927 | \n",
+ " 279900 | \n",
+ " 2025-09-26 08:00:00 | \n",
+ " 0.0260 | \n",
+ " 66.64 | \n",
+ " 22.2 | \n",
+ " 0.0225 | \n",
+ " 64.56 | \n",
+ " 11.9 | \n",
+ " BTC | \n",
+ " 0.10533 | \n",
+ " ... | \n",
+ " 91483.93 | \n",
+ " 0.155109 | \n",
+ " 0.278608 | \n",
+ " -0.413718 | \n",
+ " -0.371803 | \n",
+ " 0.583693 | \n",
+ " 2024-11-19 04:50:00 | \n",
+ " 55.81952 | \n",
+ " 101369.77375 | \n",
+ " 66.121396 | \n",
+ "
\n",
+ " \n",
+ " 30928 | \n",
+ " 279950 | \n",
+ " 2025-09-26 08:00:00 | \n",
+ " 0.0260 | \n",
+ " 66.64 | \n",
+ " 22.2 | \n",
+ " 0.0225 | \n",
+ " 64.56 | \n",
+ " 11.9 | \n",
+ " BTC | \n",
+ " 0.10533 | \n",
+ " ... | \n",
+ " 91483.93 | \n",
+ " 0.155109 | \n",
+ " 0.278608 | \n",
+ " -0.413718 | \n",
+ " -0.371803 | \n",
+ " 0.583693 | \n",
+ " 2024-11-19 04:50:00 | \n",
+ " 55.81952 | \n",
+ " 101369.77375 | \n",
+ " 66.123481 | \n",
+ "
\n",
+ " \n",
+ " 30929 | \n",
+ " 280000 | \n",
+ " 2025-09-26 08:00:00 | \n",
+ " 0.0225 | \n",
+ " 68.07 | \n",
+ " 23.8 | \n",
+ " 0.0190 | \n",
+ " 65.75 | \n",
+ " 15.0 | \n",
+ " BTC | \n",
+ " 0.09027 | \n",
+ " ... | \n",
+ " 91483.93 | \n",
+ " 0.155109 | \n",
+ " 0.278608 | \n",
+ " -0.413718 | \n",
+ " -0.371803 | \n",
+ " 0.583693 | \n",
+ " 2024-11-19 04:50:00 | \n",
+ " 55.81952 | \n",
+ " 101369.77375 | \n",
+ " 66.125565 | \n",
+ "
\n",
+ " \n",
+ "
\n",
+ "
30930 rows × 49 columns
\n",
+ "
"
+ ],
+ "text/plain": [
+ " strike expirationTimestamp ask askIv askVolume bid bidIv \\\n",
+ "0 80000 2024-11-20 08:00:00 0.0003 111.18 11.9 0.0001 96.79 \n",
+ "1 80050 2024-11-20 08:00:00 0.0003 111.18 11.9 0.0001 96.79 \n",
+ "2 80100 2024-11-20 08:00:00 0.0003 111.18 11.9 0.0001 96.79 \n",
+ "3 80150 2024-11-20 08:00:00 0.0003 111.18 11.9 0.0001 96.79 \n",
+ "4 80200 2024-11-20 08:00:00 0.0003 111.18 11.9 0.0001 96.79 \n",
+ "... ... ... ... ... ... ... ... \n",
+ "30925 279800 2025-09-26 08:00:00 0.0260 66.64 22.2 0.0225 64.56 \n",
+ "30926 279850 2025-09-26 08:00:00 0.0260 66.64 22.2 0.0225 64.56 \n",
+ "30927 279900 2025-09-26 08:00:00 0.0260 66.64 22.2 0.0225 64.56 \n",
+ "30928 279950 2025-09-26 08:00:00 0.0260 66.64 22.2 0.0225 64.56 \n",
+ "30929 280000 2025-09-26 08:00:00 0.0225 68.07 23.8 0.0190 65.75 \n",
+ "\n",
+ " bidVolume currency_quotes delta ... indexPrice_svi sviA \\\n",
+ "0 3.9 BTC -0.00963 ... 91483.93 -0.423201 \n",
+ "1 3.9 BTC -0.00963 ... 91483.93 -0.423201 \n",
+ "2 3.9 BTC -0.00963 ... 91483.93 -0.423201 \n",
+ "3 3.9 BTC -0.00963 ... 91483.93 -0.423201 \n",
+ "4 3.9 BTC -0.00963 ... 91483.93 -0.423201 \n",
+ "... ... ... ... ... ... ... \n",
+ "30925 11.9 BTC 0.10533 ... 91483.93 0.155109 \n",
+ "30926 11.9 BTC 0.10533 ... 91483.93 0.155109 \n",
+ "30927 11.9 BTC 0.10533 ... 91483.93 0.155109 \n",
+ "30928 11.9 BTC 0.10533 ... 91483.93 0.155109 \n",
+ "30929 15.0 BTC 0.09027 ... 91483.93 0.155109 \n",
+ "\n",
+ " sviB sviM sviRho sviSigma timestamp_svi atmIv \\\n",
+ "0 11.782528 -0.083799 -0.610320 0.082929 2024-11-19 04:50:00 60.27516 \n",
+ "1 11.782528 -0.083799 -0.610320 0.082929 2024-11-19 04:50:00 60.27516 \n",
+ "2 11.782528 -0.083799 -0.610320 0.082929 2024-11-19 04:50:00 60.27516 \n",
+ "3 11.782528 -0.083799 -0.610320 0.082929 2024-11-19 04:50:00 60.27516 \n",
+ "4 11.782528 -0.083799 -0.610320 0.082929 2024-11-19 04:50:00 60.27516 \n",
+ "... ... ... ... ... ... ... \n",
+ "30925 0.278608 -0.413718 -0.371803 0.583693 2024-11-19 04:50:00 55.81952 \n",
+ "30926 0.278608 -0.413718 -0.371803 0.583693 2024-11-19 04:50:00 55.81952 \n",
+ "30927 0.278608 -0.413718 -0.371803 0.583693 2024-11-19 04:50:00 55.81952 \n",
+ "30928 0.278608 -0.413718 -0.371803 0.583693 2024-11-19 04:50:00 55.81952 \n",
+ "30929 0.278608 -0.413718 -0.371803 0.583693 2024-11-19 04:50:00 55.81952 \n",
+ "\n",
+ " underlyingPrice_svi sviIv \n",
+ "0 91555.39875 104.509988 \n",
+ "1 91555.39875 104.110275 \n",
+ "2 91555.39875 103.710938 \n",
+ "3 91555.39875 103.311993 \n",
+ "4 91555.39875 102.913460 \n",
+ "... ... ... \n",
+ "30925 101369.77375 66.117225 \n",
+ "30926 101369.77375 66.119311 \n",
+ "30927 101369.77375 66.121396 \n",
+ "30928 101369.77375 66.123481 \n",
+ "30929 101369.77375 66.125565 \n",
+ "\n",
+ "[30930 rows x 49 columns]"
+ ]
+ },
+ "execution_count": 11,
+ "metadata": {},
+ "output_type": "execute_result"
+ }
+ ],
+ "source": [
+ "curves = strikes.merge(quotes_and_svi, left_on=['strike','expirationTimestamp'], right_on=['strike','expirationTimestamp_quotes'],how='left').ffill() \n",
+ "\n",
+ "curves['moneyness'] = np.log(curves['strike'] / curves['underlyingPrice_svi'])\n",
+ "curves['sviIv'] = curves.apply(apply_svi, axis=1)\n",
+ "\n",
+ "curves"
+ ]
+ },
+ {
+ "cell_type": "markdown",
+ "metadata": {},
+ "source": [
+ "# Plot Curves"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 12,
+ "metadata": {
+ "scrolled": false
+ },
+ "outputs": [
+ {
+ "data": {
+ "text/html": [
+ " \n",
+ " "
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+ "text": "BTC - 2025-09-26 - $101,369.77",
+ "x": 0.5
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+ "source": [
+ "import matplotlib.pyplot as plt\n",
+ "\n",
+ "for expiration in curves.expirationTimestamp.unique():\n",
+ " try:\n",
+ " fig = go.Figure()\n",
+ "\n",
+ " curves_at_expiry = curves[curves['expirationTimestamp'] == expiration].sort_values('strike')\n",
+ " quotes_at_expiry = quotes[quotes['expirationTimestamp'] == expiration].sort_values('strike')\n",
+ "\n",
+ " fig.add_trace(go.Scatter(x=curves_at_expiry.strike, y=curves_at_expiry.sviIv, name=\"SVI current\", legendrank=1, line=dict(color='green')))\n",
+ " fig.add_trace(go.Scatter(x=quotes_at_expiry.strike, y=quotes_at_expiry.bidIv, name='bid', legendrank=3, mode='markers', marker_symbol=\"cross-thin\", marker_color=\"grey\", marker_line_width=1, visible='legendonly'))\n",
+ " fig.add_trace(go.Scatter(x=quotes_at_expiry.strike, y=quotes_at_expiry.askIv, name='ask', legendrank=4, mode='markers', marker_symbol=\"x-thin\", marker_color=\"grey\", marker_line_width=1, visible='legendonly'))\n",
+ "\n",
+ " fig.add_vline(\n",
+ " x = curves_at_expiry['underlyingPrice_svi'].values[0],\n",
+ " line_dash = 'dashdot',\n",
+ " line_width = 2,\n",
+ " line_color = \"green\"\n",
+ " )\n",
+ "\n",
+ " curves_at_expiry.replace('C', 'call', inplace=True)\n",
+ " curves_at_expiry.replace('P', 'put', inplace=True)\n",
+ "\n",
+ " fig.add_annotation(\n",
+ " text = str(pd.to_datetime(curves_at_expiry.timestamp_quotes.values[0])),\n",
+ " opacity = 0.5,\n",
+ " xref = \"paper\",\n",
+ " yref = \"paper\",\n",
+ " x = 1,\n",
+ " y = 0.05,\n",
+ " showarrow = False,\n",
+ " font = dict(color='green')\n",
+ " )\n",
+ "\n",
+ " fig.update_layout(\n",
+ " title = currency + \" - \" + str(expiration)[0:10] + \" - $\" + \"{:,}\".format(round(curves_at_expiry['underlyingPrice_svi'].values[0], 2)),\n",
+ " title_x = 0.50,\n",
+ " xaxis_title = \"\",\n",
+ " yaxis_title = \"iv\",\n",
+ " legend = dict(orientation=\"h\", yanchor=\"bottom\", y=-0.20, xanchor=\"center\", x=0.5),\n",
+ " template = 'plotly_white'\n",
+ " )\n",
+ "\n",
+ " fig.layout.images = [dict(\n",
+ " source = AMBERDATA_LOGO,\n",
+ " xref = \"paper\",\n",
+ " yref = \"paper\",\n",
+ " x = 0.96,\n",
+ " y = 1.05,\n",
+ " sizex = 0.13,\n",
+ " sizey = 0.13,\n",
+ " xanchor = \"center\",\n",
+ " yanchor = \"bottom\"\n",
+ " )]\n",
+ "\n",
+ " fig.update_xaxes(showline=True, showgrid=True, tickmode='auto')\n",
+ "\n",
+ " fig.show()\n",
+ "\n",
+ " except Exception as e:\n",
+ " print(f\"Error: {e}\")"
+ ]
+ }
+ ],
+ "metadata": {
+ "kernelspec": {
+ "display_name": "Python 3",
+ "language": "python",
+ "name": "python3"
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