Understanding Deribit Greeks and Delta Calculations

The account summary's DeltaTotal combines the Net Transaction Delta of options with the Bitcoin position from futures, differing from the individual option expiry Delta which reflects the Black Scholes Delta. Users can toggle to see the Net Transaction Delta in settings. DeltaTotal measures the combined delta of options and futures, where Net Transaction Delta is derived from the Black Scholes Delta minus the option's Mark Price. This approach aligns with the goal of understanding how Bitcoin price movements impact your position from a risk perspective. It is advisable to treat your delta as the sum of your equity and DeltaTotal for a reduced USD PnL risk. For illustration, a call option with a strike of 0 has a Black Scholes Delta of 1 but a Net Transaction Delta of 0. For instance, owning 2 BTC effectively hedges your USD exposure with futures. Buying such a call at a Bitcoin price of $60k costs 1 BTC, and if the price rises to $70k, the value remains 1 BTC, so the USD PnL on the call net to zero. Selling a future instead would result in a loss. During the 30-minute settlement, Delta is decayed as per the link provided. Deribit’s Theta uses the minimum of a 1-day Theta and the lifetime Theta. For options with less than 1 day remaining, the Theta reflects this shorter period, diverging from Black Scholes's 1-day Theta. Vega, Gamma, Theta, and Rho calculations are based on the standard Black Scholes model without adjustments.