OptionGreeks

OptionGreeks represents venue-provided option sensitivities and implied volatility for one option instrument. It is a native Data enum variant and can be recorded, replayed, and queried through the catalog.

Fields

Field	Rust type	Python type	Required/default	Notes
`instrument_id`	`InstrumentId`	`InstrumentId`	Required	Option instrument for the Greeks.
`convention`	`GreeksConvention`	`GreeksConvention`	Default	Numeraire convention for the values.
`greeks`	`OptionGreekValues`	Separate floats	Required	Delta, gamma, vega, theta, and rho.
`mark_iv`	`Option<f64>`	`float \| None`	`None`	Mark implied volatility.
`bid_iv`	`Option<f64>`	`float \| None`	`None`	Bid implied volatility.
`ask_iv`	`Option<f64>`	`float \| None`	`None`	Ask implied volatility.
`underlying_price`	`Option<f64>`	`float \| None`	`None`	Underlying price used for the calculation.
`open_interest`	`Option<f64>`	`float \| None`	`None`	Open interest when published.
`ts_event`	`UnixNanos`	`int`	Required	Event timestamp in nanoseconds.
`ts_init`	`UnixNanos`	`int`	Required	Initialization timestamp in nanoseconds.

Behavior

OptionGreeks dereferences to its core OptionGreekValues on the Rust surface.
The Python constructor accepts delta, gamma, vega, theta, and optional rho as separate float arguments.
Option chain subscriptions use underlying_price and deltas to resolve ATM and delta-based strike windows.

Example

use nautilus_core::UnixNanos;
use nautilus_model::{
    data::{OptionGreekValues, OptionGreeks},
    enums::GreeksConvention,
    identifiers::InstrumentId,
};

let greeks = OptionGreeks {
    instrument_id: InstrumentId::from("BTC-20240628-65000-C.DERIBIT"),
    convention: GreeksConvention::PriceAdjusted,
    greeks: OptionGreekValues {
        delta: 0.51,
        gamma: 0.0002,
        vega: 12.5,
        theta: -3.2,
        rho: 0.1,
    },
    mark_iv: Some(0.55),
    bid_iv: Some(0.54),
    ask_iv: Some(0.56),
    underlying_price: Some(65_000.0),
    open_interest: Some(120.0),
    ts_event: UnixNanos::from(1_000_000_000),
    ts_init: UnixNanos::from(1_000_000_100),
};

Greeks covers venue-provided and locally computed Greeks.
Options covers option chain subscriptions.
Python API Reference lists Python members.

OptionGreeks

Fields

Behavior

Example

Related guides

On this page