BlackObsidian

Asset Management

00%

Initializing Experience

Back to Projects
Trading

BTC Options Algo

Specialized algorithmic trading bot for Bitcoin options on Binance. Implements Black-Scholes pricing models.

Project Overview

A sophisticated algorithmic trading bot specialized for Bitcoin options on Binance. The system implements Black-Scholes-Merton pricing models with volatility smile adjustments, automated Greeks hedging, and multi-leg strategy execution. Features include real-time implied volatility surface modeling, automated delta-neutral positioning, and comprehensive risk analytics.

Timeline: 7 months
Status: Production

Key Features

Black-Scholes-Merton pricing engine

Implied volatility surface modeling

Automated Greeks calculation and hedging

Multi-leg options strategies (spreads, straddles, etc.)

Real-time risk analytics

Backtesting framework with historical options data

Technology Stack

PythonOptionsDerivatives

Architecture

Backend

  • Python
  • SciPy/NumPy
  • Binance Options API
  • QuantLib

Infrastructure

  • PostgreSQL for options chain
  • Redis cache
  • Docker

Challenges Overcome

Accurate volatility surface construction
Managing pin risk near expiration
Handling early exercise scenarios
Optimizing multi-leg execution timing

Key Outcomes

Traded 200+ options contracts successfully
Maintained delta-neutral portfolio with <0.1 delta
Achieved 15% annualized returns
Processed complex multi-leg strategies efficiently

Interested in this project?

View the source code on GitHub or explore more projects in my portfolio.

View on GitHubMore Projects