Developing a New Widget for Analyzing Deribit Data

As you know, we have developed a prototype (Market Screener) that allows us to retrieve all trading data from Deribit and combine them as positions of an overall strategy. Our idea is to provide an overall picture of all positions of all market participants, thus viewing the analysis and opinions of all participants as a unified whole. This could potentially help predict the market direction with certain probabilities.

For each expiration date, we are considering the probabilities of reaching a specific price level for the underlying asset. The market, depending on its usual volatility, cannot move too far from the current price. The probability of larger market movements within a certain time frame varies.

Now, we want to develop a widget that allows us to derive these probabilities directly from the market and obtain a strategy curve that is associated with probabilities for a specific expiry by multiplying it with the curves derived from the overall strategy.

To achieve this, we want to use Delta. As we know, Delta is a good indicator for estimating the probability of reaching a certain price level by a specific expiration date. We plan to use the Deltas of the options chain for OTM options and create a curve that, in a sense, represents the probability of reaching a price level. This curve can then be multiplied with the curve of the overall market strategy to derive a probability-weighted market view.

We would like to hear your thoughts on this idea:

What do you think of this idea?
What challenges do you foresee?
How can we improve this concept?

We look forward to your constructive suggestions and feedback!

5 comments

Crypto Options Traders

skool.com/crypto-options-trading-2253

Premier Hub for Crypto Options Traders.