| --- |
| license: odc-by |
| pretty_name: "Crypto options marks, implied volatility and order books" |
| tags: |
| - options |
| - implied-volatility |
| - derivatives |
| - greeks |
| - order-book |
| - bitcoin |
| - ethereum |
| - solana |
| - cryptocurrency |
| - time-series |
| task_categories: |
| - time-series-forecasting |
| size_categories: |
| - 1M<n<10M |
| configs: |
| - config_name: options_surface |
| data_files: |
| - split: train |
| path: options_surface/**/*.parquet |
| default: true |
| - config_name: options_order_book |
| data_files: |
| - split: train |
| path: options_order_book/**/*.parquet |
| - config_name: collection_runs |
| data_files: |
| - split: train |
| path: collection_runs/**/*.parquet |
| --- |
| |
| # Crypto options surface and order books |
|
|
| Snapshots of listed options on Aevo, including marks, implied volatility, Greeks and a selected set of order books. The tables support analysis of volatility surfaces and the relationship between published marks and quoted prices. |
|
|
| ## Contents |
|
|
| | Table | Record | |
| |---|---| |
| | `options_surface` | An instrument's strike, expiry, mark, forward, implied volatility and Greeks | |
| | `options_order_book` | Best bid and ask, available sizes and quoted implied volatility for a selected instrument | |
|
|
| ## Using the data |
|
|
| The venue supplies `iv`, `delta`, `gamma`, `vega`, `theta` and `rho`; these values are not recalculated by the collector. Group on `(asset, sampled_ts)` to reconstruct a sampled surface, then add `expiry` to examine a volatility smile. `round_ts` groups assets fetched during the same collection pass, although requests need not complete simultaneously. |
|
|
| The order-book panel covers a near-the-money strike ladder across selected expiries. Join it to the surface on `instrument_name` within the same round. `best_bid_iv`, `best_ask_iv` and `iv_spread` describe the quoted volatility range. |
|
|
| `strike` and `expiry` are parsed from instrument names and remain null when parsing fails. `expiry_ts` is supplied by the venue. |
|
|
| ## Limitations |
|
|
| - The dataset covers one venue. A listed mark does not establish liquidity or an executable price. |
| - Order books cover a subset of the surface. Check both available size and spread before using a quote in execution analysis. |
| - A one-sided book has a null missing side. Request failures are recorded separately in `error`. |
| - Sampling misses changes between observations, and collection timestamps include network latency. |
| - Put and call implied volatilities at the same strike and expiry may reflect the venue's shared pricing model; agreement is not independent validation. |
|
|
| ## Files and access |
|
|
| Data is stored as Parquet files under `table_name/YYYY/MM/`, with partitions for collection windows. Each measurement table has a fixed 7-day sample beginning at its configured collection start date. The sample windows in this repository span 2026-08-29 to 2026-09-04. Availability within each window depends on successful collection. The public sample dates remain fixed as additional history accumulates privately. Contact DataForge through the discussions tab to enquire about additional history. |
|
|
| ### Load a table |
|
|
| Install `datasets` and `pandas` to run this example. The `train` split contains all observations in the selected table; it is not a predefined modelling split. |
|
|
| ```python |
| from datasets import load_dataset |
| |
| data = load_dataset("dataforge-labs/crypto-options-surface", |
| "options_surface", split="train") |
| df = data.to_pandas() |
| ``` |
|
|
| ## Coverage |
|
|
| `collection_runs` records collection windows, poll counts and failures. It is published in full and may cover dates beyond the fixed data sample. Collection gaps are not interpolated. Use this table together with measurement timestamps and error fields to assess coverage. |
|
|
| ## License and contact |
|
|
| The public sample is published under ODC-BY. Attribute it to "DataForge (dataforge-labs)". For questions about the data or access to additional history, open a discussion in this repository. |
|
|
| <details> |
| <summary>Earlier file paths</summary> |
|
|
| Each table is stored under a directory with the same descriptive name. The file contents and date partitions are unchanged. Scripts using an earlier directory name should use the corresponding table name below, or pin downloads to revision `before-folder-rename-20260915` to access the original layout. Internal collector IDs are retained in the private archive and may appear in raw coverage records. |
|
|
| | Current table and directory | Earlier directory | |
| |---|---| |
| | `options_surface` | `e22_options_surface/` | |
| | `options_order_book` | `e22_options_book/` | |
| | `collection_runs` | `e0_run_manifest/` | |
|
|
| </details> |
|
|
