crypto-options-surface: 2026-08-29

README.md

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+---
+license: odc-by
+pretty_name: "Implied volatility surface for on-chain crypto options"
+tags:
+  - options
+  - implied-volatility
+  - derivatives
+  - greeks
+  - cryptocurrency
+  - ethereum
+  - bitcoin
+  - solana
+  - time-series
+  - finance
+task_categories:
+  - time-series-forecasting
+size_categories:
+  - 1M<n<10M
+---
+
+# Crypto options implied volatility surface
+
+Every listed option on one venue, priced, with its greeks, sampled through the day.
+
+An option quote is computed on demand and kept by nobody. The chain that existed at any past
+moment is not recoverable from the venue or from the chain it settles on: only trades leave a
+record, and most of these strikes never trade.
+
+## Contents
+
+| name | one row is |
+|---|---|
+| `e22_options_surface` | one instrument at one moment: strike, expiry, mark, forward, and the full greek set |
+| `e22_options_book` | top of book for a near-the-money ladder: bid, ask, their sizes, and both quoted in vol terms |
+
+## Reading it
+
+`iv`, `delta`, `gamma`, `vega`, `theta` and `rho` are the venue's own values, published
+alongside its mark price rather than recomputed here. That is deliberate: re-deriving implied
+volatility needs a rate and dividend assumption, and a number the venue itself margins against
+is the more useful one.
+
+Each asset's chain is fetched in one request and every row from it shares a `sampled_ts`,
+so grouping on `(asset, sampled_ts)` recovers one surface and adding `expiry` recovers one
+smile. `round_ts` is shared by the assets collected in the same pass, which is what to
+group on when comparing across assets at a moment.
+
+`strike` and `expiry` are parsed from the instrument name, and both are null where the name
+does not match the expected shape rather than being guessed. `expiry_ts` comes from the venue.
+
+## What the mark costs you
+
+The surface carries the venue's mark. `e22_options_book` carries what was actually quoted:
+`best_bid_iv` and `best_ask_iv` give the two sides in vol terms and `iv_spread` the distance
+between them. Across one ladder that distance ran from 4.2 to 18.6 vol points, and the mark sat
+inside the band every time, near the middle rather than at it.
+
+The ladder is deliberate rather than exhaustive, because a book costs one request per
+instrument. It takes the strikes nearest the forward across several expiries and skips the
+expiring contract, which was measured to have no book at all. So `e22_options_book` covers a
+slice of `e22_options_surface` and never all of it; the two join on `instrument_name` within a
+round.
+
+A one-sided book is a real state and is recorded as one, with the missing side null while
+`error` stays empty. `error` is set only where the request itself failed.
+
+## Before you build on this
+
+- One venue, and not the largest one. This is what a single order book quoted, not a
+  market-wide consensus. Anything inferred about crypto volatility generally needs a second
+  source.
+- Every listed instrument appears, including deep out-of-the-money strikes that never trade.
+  A mark price is published for those too, so filter before treating the surface as tradeable.
+- Put and call at the same strike and expiry carry the same implied volatility by construction.
+  Two rows agreeing is parity, not confirmation.
+- Sampled at an interval, so a move that reverses between samples is invisible. `sampled_ts`
+  is ours, taken at observation, and carries our network distance to the venue.
+- A fetch that fails writes one explicit error row for that asset with the measurements null.
+  Check `error` before reading an absent chain as a delisting.
+- Coverage per asset differs and changes as the venue lists and expires instruments; count
+  distinct `expiry` per day rather than assuming a fixed ladder.
+
+Partitions are parquet, one file per collection window, under `dataset/YYYY/MM/`. This repo carries a FIXED 7-day sample (2026-08-25 to 2026-08-31) so you can check schema, coverage and quality before asking for more. It does not advance, so there is nothing to gain by re-downloading it. The full history is held privately, available on request.
+
+```python
+from huggingface_hub import snapshot_download
+import pandas as pd, glob
+
+path = snapshot_download("dataforge-labs/crypto-options-surface", repo_type="dataset",
+                         allow_patterns="e22_options_surface/**")
+df = pd.concat(map(pd.read_parquet,
+                   glob.glob(f"{path}/e22_options_surface/**/*.parquet", recursive=True)))
+```
+
+## Coverage
+
+`e0_run_manifest` lists every collection window with its poll counts and failure counts, and is
+published in full rather than windowed. Gaps between windows are real, cannot be filled in
+afterwards, and nothing here is interpolated.
+
+## License and contact
+
+ODC-BY: use it freely, credit "DataForge (dataforge-labs)". Questions and requests for the full
+history via the discussions tab.

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