April 17, 2023
AD Derivatives New Product Features and Blockchain Product Update/Features
- Butterly Constant Maturities
- Deribit Option Flow - Python Notebook
- ATM IV Box Plots
- Arbitrum / Zksync / Starknet - Bridge activity
- Ethereum ($ETH) Burn and Code
AD Derivatives New Product Features
March 17, 2023
Butterfly Constant Maturities
This chart depicts butterfly strategy (+call +put -2*atm) for constant maturities. Users can select different deltas (25/15/5) and time windows.
March 24, 2023
Deribit Option Flow - Python Notebook
Below are two extremely valuable features: Net Volumes and Net Positioning.
With the help of Tony Steward and Euan Sinclair, we were able to build 25+ proprietary rules to analyze the true aggressors of Deribit’s flow. This enables us to accurately tag trade aggressors and see the type of flow and resulting positioning in the market.
The pre-built Python notebook can be found here.
This feature, like many others, is too valuable to be put into the general GUI. AD Derivatives customers can access these pre-built Python notebooks features only with an API Key.
March 31, 2023
ATM IV Box Plots
This chart depicts the boxplots of ATM Volatility in constant maturity. Besides the information about the percentile distribution (.25, .5, .75), the lower and upper fences are calculated using the standard metrics of Q1-1.5 * IQR and Q3 +1.5 *IQR (where IQR = Q3 - Q1).
This powerful tool helps to identify cheap/rich implied volatility compared to its historical values.
The dotted line represents the current (the most recent) value. Data available as of 1st of Apr 2019.
April 14, 2023
Deribit Gamma Profiles
This fresh feature explores the gamma rebalancing dealers will need to execute as spot prices move around.
Remember, Gamma is highest ATM (and near expiration), therefore our feature helps traders project the new gamma values that occur as options move from becoming OTM→ATM→ITM (and vice versa).
We can also highlight the specific gamma profile of dealers in a specific expiration cycle, to really understand how dealers are positioned at a granular level.
The above charts are especially telling given the recent “Shapella” upgrade and the massive 2400/2700 Call-spread executed on Paradigm yesterday, 25,000 times!
Blockchain Product Update and Features
March 28, 2023
Arbitrum / Zksync / Starknet - Bridge activity
The code is available here and the write-up is available here. This analysis covers the activity on-chain before and after the Arbitrum airdrop announcement. The goal of this analysis is to understand users' behaviors following an airdrop. Our assumption was that we would see an increase in bridge activity to other L2 chains as wallets would either be Sybil attacking / farming for anticipated airdrops on competing L2s. From the drastic increase in unique depositors in the chart below, we can see that wallets are indeed attempting to farm for future airdrops on Zksync and Starknet.
April 7, 2023
Ethereum ($ETH) Burn and Code
The Code is available here and the write-up is available here.
Analyzing the Ethereum burn rate is an extremely important metric as it is the key reason for Ethereum to be a deflationary or inflationary asset.
Below we can see the cumulative ETH burned as a result of EIP 1559 since January.
Cumulative ETH Fees Burnt
Additionally, we can see when the most ETH is burned by day of week and hour of day.
ETH Burned - Day of the Week / Hour of the Day
Amberdata is the leading provider of digital asset data, market intelligence, and risk analytics. We deliver comprehensive data and insights into blockchain networks, crypto markets, and DeFi, empowering financial institutions with data for research, trading, risk, analytics, reporting, and compliance. Amberdata is a critical infrastructure for financial institutions entering digital assets.
For more information on Amberdata’s features, please reference the Amberdata docs, AD Derivatives Docs or request a demo of our offerings. For current customers, please reach out to your customer service representative to learn more. To visit the AD Derivatives App use the link below to utilize our features.
