DERIVATIVES / 06

Derivatives · Option Chain

Open interest, implied volatility, delta and theoretical price for calls and puts at every strike. The at-the-money row is highlighted in the middle.

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02.09 1d 03.09 2d 04.09 3d 05.09 4d 11.09 10d 18.09 17d 25.09 24d 30.10 59d 27.11 87d 25.12 115d 26.03 206d 25.06 297d

Chain · 10 days

spot $2,412 · call OI 57.8K · put OI 98.3K

CALL				STRIKE	PUT
OI	IV	Δ	Mark	·	Mark	Δ	IV	OI
7.9K	54.2%	0.049	$4	2.8K	$392	-0.951	54.2%	160
4.8K	52.3%	0.065	$6	2.8K	$344	-0.935	52.3%	320
6.1K	50.4%	0.09	$8	2.7K	$296	-0.91	50.4%	478
7K	48.8%	0.124	$11	2.6K	$250	-0.876	48.8%	1.1K
4.5K	47.3%	0.173	$17	2.6K	$205	-0.827	47.3%	969
6.7K	46.1%	0.239	$24	2.5K	$163	-0.761	46.1%	3.1K
4.6K	45.1%	0.324	$36	2.5K	$124	-0.676	45.1%	6.2K
9.7K	44.4%	0.427	$52	2.5K	$90	-0.573	44.4%	7.1K
3K	44.0%	0.542	$74	2.4KATM	$63	-0.458	44.0%	3.6K
2.5K	44.0%	0.655	$103	2.4K	$41	-0.345	44.0%	9.5K
442	44.6%	0.756	$138	2.3K	$26	-0.244	44.6%	4.6K
220	45.6%	0.836	$178	2.3K	$16	-0.164	45.6%	4.7K
192	47.1%	0.893	$221	2.2K	$10	-0.107	47.1%	9.3K
22	49.2%	0.931	$268	2.1K	$6	-0.069	49.2%	10.6K
·	51.7%	0.955	$316	2.1K	$4	-0.045	51.7%	5.6K
·	54.7%	0.97	$364	2.0K	$3	-0.03	54.7%	4.7K
70	58.1%	0.979	$414	2K	$2	-0.021	58.1%	23.2K
·	61.9%	0.985	$463	1.9K	$1	-0.015	61.9%	3.2K

▸ How is this computed?

The left half is CALLS, the right half PUTS. OI = open interest, IV = implied volatility, Δ = delta, Mark = the Black-Scholes theoretical price from OKX's IV (OKX does not publish a USD mark). The highlighted row is ATM — the strike nearest spot.