Deribit implied vol, skew, and crypto dealer gamma (GEX) — in a few lines of Python.
Pull the DVOL index, 25-delta skew, and compute net dealer Gamma Exposure from the live Deribit options chain. Public API only — no key, no account, no auth.
import deribit_gex as dg
dg.gex("BTC")
# {'currency': 'BTC', 'spot': 64188.0,
# 'gex_equity_convention': 50_500_000.0,
# 'gamma_wall_strike': 60000.0, 'gamma_wall_dist_pct': -6.5,
# 'put_call_oi_ratio': 0.53, 'n_options': 826, ...}Options dealers hedge their gamma, and that hedging flow pushes spot around. Gamma Exposure (GEX) — the net gamma the dealers are holding — is a widely-watched signal in equity markets for whether price is likely to pin (positive gamma) or trend (negative gamma). There was no dead-simple way to get it for crypto off the public Deribit API. Now there is.
It also gives you the gamma wall (the strike with the most open gamma, which price tends to gravitate toward into expiry), the front-expiry skew, and the DVOL implied-vol index — the three numbers most vol traders actually look at.
pip install deribit-gex # (or: pip install git+https://github.com/hshetrom2/deribit-gex)Requires Python 3.9+, requests, and pandas.
import deribit_gex as dg
# Aggregate dealer gamma
g = dg.gex("BTC")
print(g["gamma_wall_strike"], g["gex_equity_convention"])
# Full options chain, with Black-Scholes gamma computed per strike
chain = dg.chain_snapshot("BTC") # DataFrame: strike, kind, oi, iv, gamma, dollar_gamma ...
print(chain.groupby("strike")["dollar_gamma"].sum().sort_values().tail())
# Front-expiry skew: ATM IV + 25-delta risk reversal (<0 = puts richer, crash demand)
dg.skew_snapshot("ETH")
# DVOL — Deribit's 30d implied-vol index, hourly
dg.dvol_history("BTC", days=90) # DataFrame[time, open, high, low, close]Command line:
python -m deribit_gex BTC ETHBTC
spot 64,188.00
DVOL (30d IV) 34.83
ATM IV 33.10 25d RR -5.86
net GEX (eq) 50,500,000
gamma wall 60,000 (-6.5% from spot)
put/call OI 0.53 (826 options)
Crypto dealer positioning is not equity-index positioning. Deribit flow is dominated by covered-call overwriting and put hedging, so the sign of net gamma may not carry the same "positive = pin, negative = trend" meaning it does in SPX. This library reports the raw call/put dollar-gamma split alongside the equity-convention net, so you can test the relationship on your own data instead of trusting an assumed sign. It computes the number; it does not claim the number predicts anything.
(If you're curious: a 6-year backtest of monthly Deribit GEX vs forward BTC/ETH vol came back with no predictive signal — so treat GEX as a positioning lens, not an alpha source, until you've proven otherwise on your own horizon.)
| Function | Returns |
|---|---|
gex(currency, chain=None) |
dict — net dollar-gamma (both conventions), gamma wall, put/call OI |
chain_snapshot(currency) |
DataFrame — full chain with per-strike Black-Scholes gamma |
skew_snapshot(currency) |
dict — front-expiry ATM IV + 25d risk-reversal proxy |
dvol_history(currency, days) |
DataFrame — hourly DVOL OHLC |
current_dvol(currency) |
float — latest DVOL |
bs_gamma(spot, strike, iv_pct, t_years) |
float — Black-Scholes gamma (r=0) |
Every network call retries with backoff and returns None on failure — it never
raises into your app.
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