Methodology

Where the data comes from

BOSS reads public market data from three venues: Deribit, OKX and Bybit. It uses no API keys and no account on any of them.

• Option chains: the listed strikes and expiries, then a live ticker per contract over each venue's public WebSocket: best bid and ask with their sizes, mark price, implied volatility and Greeks.
• Index and forward: each venue's spot index, and the forward price it quotes for each expiry.
• Futures, perpetuals and spot: best bid and ask, and the funding the venue actually settled on its perpetuals.
• History: daily and hourly closes of the index, for realized volatility and margin history; official delivery prices, for settling expired options.

Venues quote differently, so prices are normalized to US dollars per one coin of underlying before anything is computed. Deribit and OKX quote option premiums in coin, which BOSS converts at that expiry's forward price, the venue's own conversion; Bybit already quotes in dollars. Implied volatility is shown in percent everywhere.

BOSS tracks the nearest six expiries of BTC and ETH on each venue, and strikes between half and one and a half times the index.

How fresh it is

Option prices are streamed, not polled. Each venue's ticker is stored as it arrives (Deribit sends at most one every 100 ms per contract) and every open page is told the moment a contract it shows changes. A strategy page refreshes at most twice a second.

Every quote keeps the venue's own timestamp. When the newest price behind a structure is more than 60 seconds old, the page marks it Data outdated instead of presenting it as live. The status page shows how old the newest price is right now, per venue and asset.

Slower series follow their own schedule: futures and perpetual books every 10 seconds, funding every 30 minutes, realized volatility every 4 hours, the list of listed contracts every 5 minutes.

Mid price and execution price

For each option BOSS keeps two prices:

• Mid: halfway between the best bid and the best ask, the usual reference. When one side is missing, the venue's mark price (Deribit, Bybit) or last trade (OKX) stands in.
• Execution: what you would pay or receive right now, the ask to buy and the bid to sell.

A structure's net cost is the execution price of every leg, times its ratio, plus the estimated fee of each contract. A positive number is paid (a debit); a negative one is received (a credit). Slippage is the gap between that execution cost and the same structure at mid.

Only the top of the book is used. BOSS doesn't see depth, so a size larger than the best bid or ask would cost more than shown. A structure is executable only when every leg has a price and a size on the side it needs.

Fees

Option trading fees follow one rule on all three venues: a percentage of the underlying, capped at a percentage of the option's price, with each venue's published regular-tier rates.

fee per contract = min(rate × underlying, cap × option price)

Futures, perpetuals and spot use each venue's taker fee. Volume tiers, discounts and maker rebates are not modelled.

Payoff, breakevens, maximum profit and loss

Every strategy, from a single call to a condor, goes through one formula. At expiry each leg is worth its intrinsic value (max(S − K, 0) for a call, max(K − S, 0) for a put, S for the underlying) minus what it cost, times its ratio and its sign: +1 bought, −1 sold. The structure's profit is the sum of its legs.

Breakevens are where that sum crosses zero. Maximum profit and loss are exact, not sampled: profit is piecewise linear in the price, so it is checked at zero and at every strike, and its slope above the highest strike tells whether it is capped. These figures assume every leg expires together; for calendars and diagonals BOSS doesn't show them.

The payoff chart shows profit at expiry after costs (execution prices and fees), with the same structure at mid as a dashed line.

Greeks

Delta, gamma, vega and theta come from each venue's own option model, per contract (one coin of underlying), in dollars. Theta is per day and vega per point of volatility. A structure's Greeks are its legs' Greeks times ratio and sign, summed. OKX and Bybit don't publish rho. The Greek curves across prices use Black-Scholes at each leg's implied volatility, with a zero interest rate.

Implied and realized volatility

• Implied volatility (IV) is each venue's mark IV for the contract.
• ATM IV for an expiry is the average of the call's and the put's IV at the strike nearest that expiry's forward.
• A fixed horizon, such as 7-day IV, is interpolated between listed expiries in total variance (IV² × time), so the term structure stays consistent.
• The smile shows the out-of-the-money option at each strike (puts below the forward, calls above) within three standard deviations.
• Realized volatility (RV 7d) is the standard deviation of the last seven daily log returns of the index, at 00:00 UTC closes, annualized with √365. The same formula on every venue, so venues compare like for like.
• Basis is the expiry's forward over the index, minus one. It is annualized only for expiries at least seven days out, where an annual rate means something.

Probability of profit

The probability that the structure ends with a profit at expiry, after costs. The price at expiry is taken as lognormal around that expiry's forward, with the expiry's ATM IV as its volatility: the market's own risk-neutral view. The probability is summed over the price ranges, between breakevens, where the structure makes money.

One flat volatility ignores the skew, so far out-of-the-money outcomes are approximations. It is a reading of today's prices, not a forecast.

Margin

Paper trading estimates the margin a position would tie up, two ways: the venue's standard margin for sold options (a percentage of the index plus the option's mark, with each venue's published parameters), and a scenario model in the style of Deribit's portfolio margin, which revalues the whole position for index moves of up to ±15% and volatility shocks. Both are estimates from published rules: volume tiers, account-wide offsets and each venue's own portfolio model are not reproduced.

Scanner

The scanner builds 46 of the 58 strategies (synthetics, combos and boxes are left out) on every venue, asset and expiry BOSS tracks, around seven strikes near the money and every width. It keeps the executable structures whose maximum profit after costs is positive, and recomputes everything every 30 seconds.

By default it ranks by probability of profit within risk tiers: limited loss with a reward-to-risk of at least 0.20 first, then the other limited-loss structures, then unlimited loss. Structures with an identical payoff are shown once.

Paper trading

Simulated positions live only in your browser. Each one opens at execution prices (ask when buying, bid when selling) with fees, and is valued as if you closed it now: sold at the bid, bought back at the ask, fees included. Prices older than two minutes can't open a position.

An option that expires settles at the venue's official delivery price, minus the delivery fee. A perpetual's profit and loss includes the funding the venue actually settled while it was held.

What BOSS doesn't model

• Order-book depth: only the best bid and ask, with their sizes.
• Fee tiers, discounts and maker rebates.
• Interest rates in the model curves, taken as zero.
• The volatility skew, in probability of profit.
• Margin offsets across a whole account, or across venues.
• Strikes and expiries outside the tracked window.

Nothing here is investment advice: see the disclaimer. A number looks wrong? Tell us.