Options

Nautilus provides first-class support for options trading across traditional and crypto markets. This includes option-specific instrument types, venue-provided Greeks streaming, option chain aggregation, and a local Black-Scholes Greeks calculator for risk management.

Option instrument types

The platform defines several option instrument types:

Greeks-relevant metadata varies by instrument type:

• OptionContract, CryptoOption -- full Greeks inputs: strike_price, option_kind (CALL/PUT), expiration_utc, underlying, multiplier.
• OptionSpread -- has underlying and expiration_utc, but no per-leg strike_price or option_kind.
• BinaryOption -- has expiration_utc and outcome/description, but no strike_price, option_kind, or underlying.

Subscribing to Greeks

Venues like Deribit and Bybit publish real-time Greeks alongside their options markets. Nautilus provides two subscription levels:

• Per-instrument Greeks -- subscribe to individual option contracts.
• Option chain slices -- subscribe to an aggregated view of an entire option series.

Per-instrument Greeks

Subscribe to venue-provided Greeks for a single option contract from an actor or strategy:

from nautilus_trader.model.identifiers import ClientId

client_id = ClientId("DERIBIT")
self.subscribe_option_greeks(instrument_id, client_id=client_id)

Handle incoming updates by implementing the on_option_greeks handler:

def on_option_greeks(self, greeks) -> None:
    self.log.info(
        f"{greeks.instrument_id}: "
        f"delta={greeks.delta:.4f} gamma={greeks.gamma:.6f} "
        f"vega={greeks.vega:.4f} theta={greeks.theta:.4f} "
        f"mark_iv={greeks.mark_iv} underlying={greeks.underlying_price}"
    )

To stop receiving updates:

self.unsubscribe_option_greeks(instrument_id, client_id=client_id)

Option chain subscriptions

An option chain subscription aggregates quotes and Greeks across all strikes in an option series into periodic OptionChainSlice snapshots. The DataEngine creates one OptionChainManager per series and owns the full lifecycle: routing incoming data through the manager, publishing snapshots, and managing wire subscriptions.

from nautilus_trader.core import nautilus_pyo3

series_id = nautilus_pyo3.OptionSeriesId(...)  # identifies the series (venue, underlying, expiry)

# Subscribe to 5 strikes above and below ATM, snapshot every 1000ms
strike_range = nautilus_pyo3.StrikeRange.atm_relative(strikes_above=5, strikes_below=5)
self.subscribe_option_chain(
    series_id,
    strike_range=strike_range,
    snapshot_interval_ms=1000,
)

Handle snapshots by implementing the on_option_chain handler:

def on_option_chain(self, chain) -> None:
    for strike in chain.strikes():
        call = chain.get_call(strike)
        put = chain.get_put(strike)
        if call and call.greeks:
            self.log.info(f"Call {strike}: delta={call.greeks.delta:.4f}")

Strike range filtering

StrikeRange controls which strikes are active in a chain subscription:

For ATM-based variants, subscriptions are deferred until the ATM price is determined. ATM is derived from the forward price embedded in venue-provided OptionGreeks updates (the underlying_price field). It can also be seeded from an initial forward price fetched via HTTP, allowing instant bootstrap before live WebSocket ticks arrive. As ATM shifts, the active strike set rebalances automatically.

Snapshot vs. raw mode

The snapshot_interval_ms parameter controls publishing behavior:

• Snapshot mode (snapshot_interval_ms=1000): Quotes and Greeks accumulate in a buffer and publish as an OptionChainSlice on a timer. Suitable for periodic portfolio rebalancing or UI display.
• Raw mode (snapshot_interval_ms=None): Each quote or Greeks update publishes a slice immediately. Suitable for latency-sensitive strategies that react to individual updates.

Option chain architecture

The option chain system is event-driven and built around per-series isolation. The DataEngine creates one OptionChainManager (a PyO3 wrapper around the Rust OptionChainAggregator and AtmTracker) per subscribed option series. The engine owns the lifecycle: subscription routing, timer management, and message bus publishing. The manager handles only aggregation state and ATM tracking.

Component responsibilities

DataEngine

Holds one OptionChainManager per active OptionSeriesId. On SubscribeOptionChain, it resolves instruments from the cache, creates the manager, subscribes active instruments to the data client, and sets up the snapshot timer. On each timer tick, it calls manager.check_rebalance() and manager.snapshot(), forwarding any subscription changes directly to the data client. On UnsubscribeOptionChain or when all instruments expire, it tears down the manager, cancels the timer, and unsubscribes wire-level feeds.

OptionChainManager (PyO3)

A thin PyO3 wrapper around OptionChainAggregator and AtmTracker. It does not interact with the message bus, clock, or data clients. The DataEngine feeds it market data through handle_quote() and handle_greeks(), and retrieves snapshots via snapshot(). Both handle_* methods return a boolean indicating whether ATM bootstrap occurred (first ATM price arrived), which the engine uses to trigger subscription of the real active instrument set.

OptionChainAggregator

Accumulates quotes and Greeks into call/put buffers using keep-latest semantics. Instruments that did not update since the last snapshot are still included. Greeks that arrive before any quote for an instrument are held in a pending_greeks buffer and attached when the first quote arrives. On each snapshot() call, the aggregator produces an immutable OptionChainSlice.

AtmTracker

Derives the ATM price reactively from the underlying_price field in incoming OptionGreeks events (the venue-provided forward price for that expiry). It can be pre-seeded from an HTTP forward price response for instant bootstrap without waiting for WebSocket ticks.

Bootstrap and rebalancing

For ATM-based strike ranges (AtmRelative, AtmPercent), the active instrument set cannot be determined until the ATM price is known. There are two bootstrap paths:

Instant bootstrap (forward price available):

1. DataEngine receives SubscribeOptionChain, resolves all instruments for the series from the cache, and requests forward prices from the data client.
2. When the forward price response arrives, the engine creates the manager with the ATM price pre-seeded. The manager computes the active strike set during construction.
3. The engine subscribes the active instruments immediately.

Deferred bootstrap (no forward price):

1. Same as above, but no matching forward price is found in the response.
2. The engine creates the manager with no initial ATM price. The active set is empty and no wire subscriptions are made for the chain.
3. Bootstrap depends on relevant Greeks data already flowing from other subscriptions (e.g., per-instrument subscribe_option_greeks calls). When the engine feeds an OptionGreeks event with underlying_price through handle_greeks(), the manager bootstraps and returns True. The engine then subscribes the now-active instrument set.

Once bootstrapped, the aggregator monitors ATM drift. On each snapshot timer tick, the engine calls check_rebalance() which returns any instruments to add or remove. A hysteresis threshold and cooldown period prevent thrashing near strike boundaries.

OptionGreeks data type

OptionGreeks carries venue-provided sensitivities and implied volatility for a single option contract:

OptionChainSlice data type

OptionChainSlice is a point-in-time snapshot of an entire option series.

Properties:

Call and put data are accessed through methods, not as direct properties. Each OptionStrikeData returned by these methods contains a quote (QuoteTick) and an optional greeks (OptionGreeks) for that strike.

Methods:

• strikes() -- all unique strike prices in the chain.
• strike_count(), call_count(), put_count() -- counts.
• get_call(strike), get_put(strike) -- full OptionStrikeData.
• get_call_greeks(strike), get_put_greeks(strike) -- Greeks only.
• get_call_quote(strike), get_put_quote(strike) -- quote only.
• is_empty() -- true if the chain has no data.

Adapter support

The following adapters currently support option Greeks subscriptions:

See also

• Greeks -- local Greeks calculation and portfolio risk management.
• Data -- built-in data types and the subscription model.
• Actors -- subscription and handler reference table.