BlockScholes – Crypto Options CRYPTO

BlockScholes – Crypto Options

Block Scholes is an institutional-grade research and analytics platform aiming to deliver a robust set of charts and tools for professional traders. Our tools are powered by a data engine that can handle incredibly large amounts of data at the highest frequency (tick). Both our financial quantitative tools and the data engine are built by our team, who have extensive experience building the same systems at Bloomberg, Goldman Sachs and Credit Suisse.

BlockScholes Data Coverage

We have signed a partnership agreement with Deribit and Bybit, the largest and 2nd largest crypto exchanges for BTC and ETH options. We have an institutional grade data collection engine that collects all the data from these exchanges and for the options we then use two industry standard models to derive implied volatility data at the highest frequency. The two models are namely the SABR and SVI models. Given that Deribit and Bybit capture more than 90% of the total crypto options market, our aggregated implied vol data will be a much more accurate representation of the market versus calibrating to a single exchange. As such we think beside back testing and market analysis our data could be used to reference end of day closes and for mark to market purposes.

Key Benefits

  • BlockScholes providing sophisticated tools for investors to analyse Crypto Options Markets 
  • Institutional grade research and analytics platform
  • Partnership with 2 of the largest crypto derivatives exchanges
  • Capturing more than 90% of the total crypto options market
  • Derived data include implied volatility surfaces for BTC and ETH
  • Derived Forwards
  • Historical data files
  • Daily full tick or end of day
  • Intraday updates 

Our data purchase process

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