I've been looking at @deribit's #BTC option flow data. I'm always interested in exploring how the market is positioned on an aggregated greeks level. Fortunately, extracting the trade direction is possible using @deribit's API.
This analysis only looks at the previous 1000 trades which covers the past ~20 hours. Therefore, this doesn't take into consideration previous trades beforehand and is not entirely representative of market positioning. It's more like a quick glance of what is going on now.
Below is the aggregated delta exposure for the most recent 1000 #BTC option trades. This was calculated by taking the deltas of calls/puts and summing them up based on whether the option was bought or sold.
Similar chart here but for aggregated gamma exposure. Very curious to see what is going on with Sept. 28th - I can rationalize why gamma is large in magnitude due to its short maturity, but surprised to see this exposure on the downside.
And lastly aggregated vega exposure.
With enough historical trade data we can get a much better picture of where the market is positioned based on these greeks. It'll also make it easier to track dealer gamma as discussed in this report from @GoldmanSachs
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