Options Pricing & Execution Bot

A quantitative options trading bot that combines real-time pricing models, Greeks computation, and automated execution — built for crypto options markets on Deribit (CEX) and Lyra (DeFi).

Pricing Engine:

• Black-Scholes-Merton model with dividend yield adjustment
• Binomial tree model for American-style options
• Monte Carlo simulation for exotic payoffs
• Real-time implied volatility (IV) calculation from market prices
• IV surface construction across strikes and expiries
• Volatility smile and skew analysis

Greeks Calculator:

• Delta, Gamma, Theta, Vega, Rho — computed per position and portfolio-wide
• Real-time Greeks dashboard updating every second
• Greeks P&L attribution — see which Greek drives your daily P&L
• Scenario analysis — simulate price/vol/time changes and see Greeks impact

Automated Strategies:

• Delta-neutral hedging — continuously rebalances futures position to flatten delta
• Volatility selling — sells overpriced options when IV > realised vol by configurable threshold
• Straddle/Strangle bot — opens positions before high-impact events, closes after vol crush
• Wheel strategy — sells puts → gets assigned → sells calls → repeat
• Calendar spreads — exploits term structure mispricing

Execution:

• Deribit REST + WebSocket API integration
• Lyra V2 on-chain execution (Optimism)
• Smart order routing — picks best venue by spread and liquidity
• Configurable order types: limit, market, IOC, post-only
• Position sizing via Kelly criterion adjusted for options leverage

Risk Controls:

• Max portfolio Vega and Gamma exposure limits
• Per-strategy max loss
• Margin utilisation alerts
• Auto-close at configurable drawdown
• Greeks-based kill switch (e.g., portfolio delta exceeds ±0.5 BTC)

Tech Stack:

• Python 3.11+ (NumPy, SciPy for pricing)
• WebSocket streams for real-time market data
• PostgreSQL for trade history and analytics
• React dashboard with Greeks visualisation
• Docker Compose deployment

Includes 6 months of historical BTC/ETH options data for backtesting. Paper trading by default.