Understanding Deribit's Greeks: Delta, Theta, Vega, and More

The DeltaTotal on Deribit is calculated by adding the Net Transaction Delta of options to the Bitcoin position in futures. The Net Transaction Delta differs from the Black Scholes Delta; it is the Black Scholes Delta minus the options' mark price. This adjustment provides a risk perspective focused on Bitcoin price movements, as opposed to the raw option delta, which may not reflect real-time P&L impacts. For a more conservative risk management approach, combining equity with DeltaTotal reduces exposure to USD P&L volatility. An example clarifies this: with a simple call at strike 0 and a Black Scholes Delta of 1, the Net Transaction Delta would be 0, balancing the risk. When holding 2 BTC and no options, shorting 2 futures contracts hedges against USD exposure. Buying a call at strike 0 (worth 1 BTC) at USD 60K, if BTC moves to USD 70K, the call's value remains 1 BTC, and no P&L is incurred on it; beta hedging with futures would result in losses if BTC moves unfavorably. During settlement, Deribit decays the delta, reflecting options' time decay. Their Theta is computed as the minimum between a 1-day Theta and the option's lifetime Theta, which leads to differences from classical Black Scholes Theta, especially as expiration approaches. Additionally, Vega, Gamma, Theta, and Rho are calculated using standard Black Scholes assumptions without adjustments.