BlockScholes Data – Overview

BlockScholes Data – What’s happening tomorrow?

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.

At a glance:

  • Block Scholes provides 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

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. The agreement gives us full ownership of the implied volatility data that we derive from the Deribit and Bybit options prices and the derived constant maturity future prices, with frequency as high as the tick.

We have an institutional grade data collection engine that collects all the data from these exchanges, and for the options we then use 2 industry-standard models to derive implied volatility data at the highest frequency. The 2 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.

Why take blockscholes data?

  • Exceptional quality crypto options data from a dedicated platform 
  • Soon Block Scholes will be a regulated entity in the UK, Europe and Switzerland, all our data is required to meet the highest standards and withstand regulatory scrutiny
  • Interesting to international and local, regional market participants
  • Exclusively available direct from BlockScholes
  • Data sourced from highly liquid crypto exchanges
  • Suitable for both pre and post trade analytics
  • The only data source offering min by min implied volatility data with institutional grade arbitrage free checks
Use cases
Front office users:Trading, pricing engines, pre-trade analysis. Buy and Sell side, all sizes where trading in crypto markets.
Middle and back office:Risk management, end of day settlement, mark to market, evaluated pricing and valuations, pricing, accounts, compliance, analysts, data science post-trade analysis.
Small investment firms:Market surveillance, risk management, investment management and asset allocation.
Other participants:Other market participants who are not actively trading on the crypto market but considering.

To find out more, contact us on team@eosedata.com

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