dataforge-labs/crypto-options-surface

Crypto options implied volatility surface

Every listed option on one venue, priced, with its greeks, sampled through the day.

An option quote is computed on demand and kept by nobody. The chain that existed at any past moment is not recoverable from the venue or from the chain it settles on: only trades leave a record, and most of these strikes never trade.

Contents

name	one row is
e22_options_surface	one instrument at one moment: strike, expiry, mark, forward, and the full greek set
e22_options_book	top of book for a near-the-money ladder: bid, ask, their sizes, and both quoted in vol terms

Reading it

iv, delta, gamma, vega, theta and rho are the venue's own values, published alongside its mark price rather than recomputed here. That is deliberate: re-deriving implied volatility needs a rate and dividend assumption, and a number the venue itself margins against is the more useful one.

Each asset's chain is fetched in one request and every row from it shares a sampled_ts, so grouping on (asset, sampled_ts) recovers one surface and adding expiry recovers one smile. round_ts is shared by the assets collected in the same pass, which is what to group on when comparing across assets at a moment.

strike and expiry are parsed from the instrument name, and both are null where the name does not match the expected shape rather than being guessed. expiry_ts comes from the venue.

What the mark costs you

The surface carries the venue's mark. e22_options_book carries what was actually quoted: best_bid_iv and best_ask_iv give the two sides in vol terms and iv_spread the distance between them. Across one ladder that distance ran from 4.2 to 18.6 vol points, and the mark sat inside the band every time, near the middle rather than at it.

The ladder is deliberate rather than exhaustive, because a book costs one request per instrument. It takes the strikes nearest the forward across several expiries and skips the expiring contract, which was measured to have no book at all. So e22_options_book covers a slice of e22_options_surface and never all of it; the two join on instrument_name within a round.

A one-sided book is a real state and is recorded as one, with the missing side null while error stays empty. error is set only where the request itself failed.

Before you build on this

• One venue, and not the largest one. This is what a single order book quoted, not a market-wide consensus. Anything inferred about crypto volatility generally needs a second source.
• Every listed instrument appears, including deep out-of-the-money strikes that never trade. A mark price is published for those too, so filter before treating the surface as tradeable.
• Put and call at the same strike and expiry carry the same implied volatility by construction. Two rows agreeing is parity, not confirmation.
• Sampled at an interval, so a move that reverses between samples is invisible. sampled_ts is ours, taken at observation, and carries our network distance to the venue.
• A fetch that fails writes one explicit error row for that asset with the measurements null. Check error before reading an absent chain as a delisting.
• Coverage per asset differs and changes as the venue lists and expires instruments; count distinct expiry per day rather than assuming a fixed ladder.

Partitions are parquet, one file per collection window, under dataset/YYYY/MM/. Every dataset here carries a FIXED 7-day sample WINDOW starting at its own first day of collection, together spanning 2026-08-29 to 2026-09-04, so you can check schema, coverage and quality before asking for more. It does not advance, so there is nothing to gain by re-downloading it. The full history is held privately, available on request.

from huggingface_hub import snapshot_download
import pandas as pd, glob

path = snapshot_download("dataforge-labs/crypto-options-surface", repo_type="dataset",
                         allow_patterns="e22_options_surface/**")
df = pd.concat(map(pd.read_parquet,
                   glob.glob(f"{path}/e22_options_surface/**/*.parquet", recursive=True)))

Coverage

e0_run_manifest lists every collection window with its poll counts and failure counts, and is published in full rather than windowed. Gaps between windows are real, cannot be filled in afterwards, and nothing here is interpolated.

License and contact

ODC-BY: use it freely, credit "DataForge (dataforge-labs)". Questions and requests for the full history via the discussions tab.