@spec aggregate_oi([option_chain()]) :: %{
  calls: float(),
  puts: float(),
  total: float(),
  ratio: float() | nil
}

Aggregate open interest across multiple option chains.

Parameters

• chains - List of option chain maps (exchange_data)

Returns

Map with :calls, :puts, :total, :ratio (puts/calls) (map)

Example

%{calls: 1800.0, total: 3000.0, puts: 1200.0, ratio: 0.667}

# descripex:contract
%{
  params: %{
    chains: %{
      description: "List of option chain maps",
      source: "multiple Options.Deribit.chain() calls",
      kind: :exchange_data
    }
  },
  returns: %{
    type: :map,
    description: "Map with :calls, :puts, :total, :ratio (puts/calls)"
  },
  returns_example: %{calls: 1800.0, total: 3000.0, puts: 1200.0, ratio: 0.667}
}

@spec atm_iv(option_chain(), number()) :: {:ok, float()} | {:error, :no_iv_data}

Extract ATM implied volatility from an option chain.

Parameters

• chain - Option chain with IV data in :raw (exchange_data)
• spot - Current spot price (value)

Returns

{:ok, iv_percentage} or {:error, :no_iv_data} (tuple)

Example

{:ok, 46.3}

Errors

• :no_iv_data

# descripex:contract
%{
  params: %{
    chain: %{
      description: "Option chain with IV data in :raw",
      source: "Options.Deribit.chain(exchange_mod, enrich: :greeks)",
      kind: :exchange_data
    },
    spot: %{description: "Current spot price", kind: :value}
  },
  errors: [:no_iv_data],
  returns: %{
    type: :tuple,
    description: "{:ok, iv_percentage} or {:error, :no_iv_data}"
  },
  returns_example: {:ok, 46.3}
}

@spec atm_iv_term_structure(option_chain() | term(), number() | term(), keyword()) ::
  {:ok, [map()]} | {:error, atom()}

Per-expiry ATM implied volatility term structure from a chain.

Groups legs by expiry, selects ATM strikes relative to spot, and returns one observation per expiry. Observations carry the Options.Skew.term_structure/1 contract (:expiry, :tenor_days, :measure, :units, :value) plus :open_interest and an explicit :status — feed the list straight into Skew.term_structure/1 without reshaping.

ATM selection (:window_pct)

• 0 (default) — the single strike nearest spot (ties break to the lower strike). Call and put IVs at that strike are averaged.
• > 0 — arithmetic mean of per-strike IVs for every strike within ±window_pct percent of spot. An empty window yields status: :no_iv and value: nil for that expiry (no silent nearest-strike fallback).

Missing IV

Every expiry present in the chain appears in the result. When no readable IV is available under the selection policy, value is nil and status: :no_iv — the expiry is never dropped and never given a fabricated numeric IV.

:tenor_days is max(0, Date.diff(expiry, as_of_date)) from the required caller-supplied :as_of (Date or DateTime); the function never reads system time.

@spec breakeven_move(map(), number()) :: {:ok, float()} | {:error, :missing_data}

Calculate percentage move to breakeven for an option.

Parameters

• option - Option map with :symbol, :mark_price, :underlying_price (value)
• spot - Current spot price (value)

Returns

{:ok, percentage} or {:error, :missing_data} (tuple)

Example

{:ok, 4.2}

Errors

• :missing_data

# descripex:contract
%{
  params: %{
    option: %{
      description: "Option map with :symbol, :mark_price, :underlying_price",
      kind: :value
    },
    spot: %{description: "Current spot price", kind: :value}
  },
  errors: [:missing_data],
  returns: %{
    type: :tuple,
    description: "{:ok, percentage} or {:error, :missing_data}"
  },
  returns_example: {:ok, 4.2}
}

@spec expected_range(number(), number(), number()) :: %{
  lower: float(),
  upper: float(),
  move_pct: float()
}

Calculate expected 1-sigma price range for given IV and time horizon.

Parameters

• spot - Current spot price (value)
• iv - Annualized IV as percentage (e.g., 46.3) (value)
• hours_to_expiry - Hours until expiry (value)

Returns

Map with :lower, :upper, :move_pct (map)

Example

%{upper: 1.0, lower: 1.0, move_pct: 1.0}

# descripex:contract
%{
  params: %{
    spot: %{description: "Current spot price", kind: :value},
    iv: %{description: "Annualized IV as percentage (e.g., 46.3)", kind: :value},
    hours_to_expiry: %{description: "Hours until expiry", kind: :value}
  },
  returns: %{type: :map, description: "Map with :lower, :upper, :move_pct"},
  returns_example: %{upper: 1.0, lower: 1.0, move_pct: 1.0}
}

@spec filter_by_dte(option_chain(), pos_integer(), DateTime.t()) :: option_chain()

Filter option chain by maximum days to expiry.

Parameters

• chain - Option chain map (exchange_data)
• max_dte - Maximum days to expiry (value)

Options

• now_dt - Current time (for testing) (default: "DateTime.utc_now()")

Returns

Filtered chain with only options within max_dte (map)

Example

%{value: 1.0}

# descripex:contract
%{
  opts: %{
    now_dt: %{
      default: "DateTime.utc_now()",
      type: :datetime,
      description: "Current time (for testing)"
    }
  },
  params: %{
    chain: %{
      description: "Option chain map",
      source: "Options.Deribit.chain(exchange_mod)",
      kind: :exchange_data
    },
    max_dte: %{description: "Maximum days to expiry", kind: :value}
  },
  returns: %{
    type: :map,
    description: "Filtered chain with only options within max_dte"
  },
  returns_example: %{value: 1.0}
}

@spec gamma_flip(option_chain(), number()) ::
  {:ok, strike()} | {:error, :no_flip_found}

Returns the first per-strike GEX sign change while scanning strikes upward.

This is the put/call open-interest boundary evaluated at the supplied spot. It is not the aggregate zero-gamma level; use zero_gamma/3 for that.

@spec gex_by_strike(option_chain(), number()) :: %{required(strike()) => float()}

Calculate gamma exposure (GEX) by strike.

Parameters

• chain - Option chain with greeks in :raw data (exchange_data)
• spot - Current spot price (value)

Returns

Map of %{strike => gex_value} (map)

Example

%{value: 1.0}

Composes With

• gamma_flip

# descripex:contract
%{
  params: %{
    chain: %{
      description: "Option chain with greeks in :raw data",
      source: "Options.Deribit.chain(exchange_mod, enrich: :greeks)",
      kind: :exchange_data
    },
    spot: %{description: "Current spot price", kind: :value}
  },
  returns: %{type: :map, description: "Map of %{strike => gex_value}"},
  returns_example: %{value: 1.0},
  composes_with: [:gamma_flip]
}

@spec greeks_sum(option_chain()) :: %{
  delta: float(),
  gamma: float(),
  theta: float(),
  vega: float()
}

Sum Greeks across all options in a chain.

Parameters

• chain - Option chain with greeks in :raw data (exchange_data)

Returns

Map with aggregated :delta, :gamma, :theta, :vega (map)

Example

%{delta: 1.0, gamma: 1.0, vega: 1.0, theta: 1.0}

# descripex:contract
%{
  params: %{
    chain: %{
      description: "Option chain with greeks in :raw data",
      source: "Options.Deribit.chain(exchange_mod, enrich: :greeks)",
      kind: :exchange_data
    }
  },
  returns: %{
    type: :map,
    description: "Map with aggregated :delta, :gamma, :theta, :vega"
  },
  returns_example: %{delta: 1.0, gamma: 1.0, vega: 1.0, theta: 1.0}
}

@spec hot_zone(option_chain(), number(), keyword()) ::
  {:hot, strike(), float()} | :clear

Detect hot zone / pin risk at expiry.

Parameters

• chain - Option chain map (exchange_data)
• spot - Current spot price (value)

Options

• expiry - Expiry date to check (default: "Date.utc_today()")
• threshold_pct - Max distance for hot zone (default: 1.0)

Returns

{:hot, strike, oi} or :clear (tuple)

Example

{:hot, 84000.0, 1250.0}

# descripex:contract
%{
  opts: %{
    expiry: %{
      default: "Date.utc_today()",
      type: :date,
      description: "Expiry date to check"
    },
    threshold_pct: %{
      default: 1.0,
      type: :float,
      description: "Max distance for hot zone"
    }
  },
  params: %{
    chain: %{
      description: "Option chain map",
      source: "Options.Deribit.chain(exchange_mod)",
      kind: :exchange_data
    },
    spot: %{description: "Current spot price", kind: :value}
  },
  returns: %{type: :tuple, description: "{:hot, strike, oi} or :clear"},
  returns_example: {:hot, 84000.0, 1250.0}
}

@spec in_play?(strike(), number(), number()) :: boolean()

Check if a strike is within threshold of spot price.

Parameters

• strike - Strike price (value)
• spot - Current spot price (value)
• threshold_pct - Maximum distance percentage (value)

Returns

true if abs(distance) <= threshold (boolean)

Example

true

# descripex:contract
%{
  params: %{
    spot: %{description: "Current spot price", kind: :value},
    strike: %{description: "Strike price", kind: :value},
    threshold_pct: %{description: "Maximum distance percentage", kind: :value}
  },
  returns: %{type: :boolean, description: "true if abs(distance) <= threshold"},
  returns_example: true
}

@spec largest_positions(option_chain(), pos_integer()) :: [{String.t(), map()}]

Get the N largest positions by open interest.

Parameters

• chain - Option chain map (exchange_data)
• n - Number of positions to return (value)

Returns

List of {symbol, option_map} sorted by OI desc (list)

Example

[{"BTC-31JAN26-84000-C", %{open_interest: 1200.0}}]

# descripex:contract
%{
  params: %{
    n: %{description: "Number of positions to return", kind: :value},
    chain: %{
      description: "Option chain map",
      source: "Options.Deribit.chain(exchange_mod)",
      kind: :exchange_data
    }
  },
  returns: %{
    type: :list,
    description: "List of {symbol, option_map} sorted by OI desc"
  },
  returns_example: [{"BTC-31JAN26-84000-C", %{open_interest: 1200.0}}]
}

@spec max_pain(option_chain()) :: {:ok, strike()} | {:error, :empty_chain}

Calculate max pain strike where most options expire worthless.

Parameters

• chain - Option chain map (exchange_data)

Returns

{:ok, strike} or {:error, :empty_chain} (tuple)

Example

{:ok, 84000.0}

Errors

• :empty_chain

# descripex:contract
%{
  params: %{
    chain: %{
      description: "Option chain map",
      source: "Options.Deribit.chain(exchange_mod)",
      kind: :exchange_data
    }
  },
  errors: [:empty_chain],
  returns: %{
    type: :tuple,
    description: "{:ok, strike} or {:error, :empty_chain}"
  },
  returns_example: {:ok, 84000.0}
}

@spec moneyness_skew(option_chain() | term(), number() | term(), keyword()) ::
  {:ok, [map()]} | {:error, atom()}

Per-expiry moneyness skew from a chain at caller-supplied moneyness levels.

For each expiry, selects the strike(s) nearest spot * low and spot * high (defaults 0.9 and 1.1), reads IV with the same policy as atm_iv/2, and returns value = iv_low - iv_high (percentage points).

Observations match the Options.Skew.term_structure/1 contract and can be passed through without reshaping. Missing wings are never dropped: value is nil and :status is :no_iv (unreadable IV) or :no_strike (no strike within selection policy / :max_distance_pct).

ATM/wing selection uses the same :window_pct rules as atm_iv_term_structure/3. Optional :max_distance_pct rejects a nearest strike farther than that percent of spot from the target moneyness level.

@spec oi_by_expiry(option_chain()) :: %{required(expiry()) => float()}

Aggregate open interest by expiry date.

Parameters

• chain - Option chain map %{symbol => option_map} (exchange_data)

Returns

Map of %{Date => total_oi} (map)

Example

%{value: 1.0}

# descripex:contract
%{
  params: %{
    chain: %{
      description: "Option chain map %{symbol => option_map}",
      source: "Options.Deribit.chain(exchange_mod)",
      kind: :exchange_data
    }
  },
  returns: %{type: :map, description: "Map of %{Date => total_oi}"},
  returns_example: %{value: 1.0}
}

@spec oi_by_strike(option_chain()) :: %{required(strike()) => float()}

Aggregate open interest by strike price.

Parameters

• chain - Option chain map %{symbol => option_map} (exchange_data)

Returns

Map of %{strike => total_oi} (map)

Example

%{value: 1.0}

Composes With

• max_pain

# descripex:contract
%{
  params: %{
    chain: %{
      description: "Option chain map %{symbol => option_map}",
      source: "Options.Deribit.chain(exchange_mod)",
      kind: :exchange_data
    }
  },
  returns: %{type: :map, description: "Map of %{strike => total_oi}"},
  returns_example: %{value: 1.0},
  composes_with: [:max_pain]
}

@spec pin_magnets(option_chain(), number(), keyword()) :: [{strike(), float()}]

Find high-gamma strikes near spot (pin magnets).

Parameters

• chain - Option chain map (exchange_data)
• spot - Current spot price (value)

Options

• threshold_pct - Max distance from spot (default: 5.0)
• min_oi - Minimum OI to consider (default: 0)

Returns

List of {strike, oi} sorted by OI desc (list)

Example

[{84000.0, 1250.0}]

# descripex:contract
%{
  opts: %{
    threshold_pct: %{
      default: 5.0,
      type: :float,
      description: "Max distance from spot"
    },
    min_oi: %{default: 0, type: :number, description: "Minimum OI to consider"}
  },
  params: %{
    chain: %{
      description: "Option chain map",
      source: "Options.Deribit.chain(exchange_mod)",
      kind: :exchange_data
    },
    spot: %{description: "Current spot price", kind: :value}
  },
  returns: %{type: :list, description: "List of {strike, oi} sorted by OI desc"},
  returns_example: [{84000.0, 1250.0}]
}

@spec pin_risk(option_chain(), number(), keyword()) :: [map()]

Assess pin risk for strikes near spot price.

Parameters

• chain - Option chain map (exchange_data)
• spot - Current spot price (value)

Options

• threshold_pct - Max distance from spot (default: 5.0)
• min_oi - Minimum OI to include (default: 0)

Returns

List of %{strike, oi, distance_pct, risk: :high|:medium|:low} (list)

Example

[%{strike: 84000.0, oi: 1250.0, risk: :high, distance_pct: 0.6}]

# descripex:contract
%{
  opts: %{
    threshold_pct: %{
      default: 5.0,
      type: :float,
      description: "Max distance from spot"
    },
    min_oi: %{default: 0, type: :number, description: "Minimum OI to include"}
  },
  params: %{
    chain: %{
      description: "Option chain map",
      source: "Options.Deribit.chain(exchange_mod)",
      kind: :exchange_data
    },
    spot: %{description: "Current spot price", kind: :value}
  },
  returns: %{
    type: :list,
    description: "List of %{strike, oi, distance_pct, risk: :high|:medium|:low}"
  },
  returns_example: [
    %{strike: 84000.0, oi: 1250.0, risk: :high, distance_pct: 0.6}
  ]
}

@spec put_call_ratio(option_chain()) :: {:ok, float()} | {:error, :no_calls}

Calculate put/call ratio from open interest.

Parameters

• chain - Option chain map (exchange_data)

Returns

{:ok, float()} put/call ratio, or {:error, :no_calls} if no call OI (result_tuple)

Example

{:ok, 0.53}

Errors

• :no_calls

# descripex:contract
%{
  params: %{
    chain: %{
      description: "Option chain map",
      source: "Options.Deribit.chain(exchange_mod)",
      kind: :exchange_data
    }
  },
  errors: [:no_calls],
  returns: %{
    type: :result_tuple,
    description: "{:ok, float()} put/call ratio, or {:error, :no_calls} if no call OI"
  },
  returns_example: {:ok, 0.53}
}

@spec session_phase(Date.t() | DateTime.t()) ::
  :early | :final_hour | :last_15min | :expired

Determine trading session phase based on time to expiry.

Parameters

• expiry - Expiry Date (assumes 08:00 UTC) or DateTime (value)

Returns

:early | :final_hour | :last_15min | :expired (atom)

Example

:final_hour

# descripex:contract
%{
  params: %{
    expiry: %{
      description: "Expiry Date (assumes 08:00 UTC) or DateTime",
      kind: :value
    }
  },
  returns: %{
    type: :atom,
    description: ":early | :final_hour | :last_15min | :expired"
  },
  returns_example: :final_hour
}

@spec strike_distance(strike(), number()) :: float()

Calculate percentage distance from spot to strike.

Parameters

• strike - Strike price (value)
• spot - Current spot price (value)

Returns

Percentage distance (positive = strike above spot) (float)

Example

0.1095

# descripex:contract
%{
  params: %{
    spot: %{description: "Current spot price", kind: :value},
    strike: %{description: "Strike price", kind: :value}
  },
  returns: %{
    type: :float,
    description: "Percentage distance (positive = strike above spot)"
  },
  returns_example: 0.1095
}

@spec theta_per_hour(map()) :: float() | nil

Calculate hourly theta decay rate for an option.

Parameters

• option - Option map with :raw containing theta (value)

Returns

Per-hour theta decay, or nil if theta unavailable (float)

Example

0.1095

# descripex:contract
%{
  params: %{
    option: %{
      description: "Option map with :raw containing theta",
      kind: :value
    }
  },
  returns: %{
    type: :float,
    description: "Per-hour theta decay, or nil if theta unavailable"
  },
  returns_example: 0.1095
}

@spec time_to_expiry(Date.t() | DateTime.t()) :: %{hours: float(), minutes: float()}

Calculate time remaining until expiry.

Parameters

• expiry - Expiry Date (assumes 08:00 UTC) or DateTime (value)

Returns

Map with :hours and :minutes remaining (map)

Example

%{hours: 1, minutes: 1}

# descripex:contract
%{
  params: %{
    expiry: %{
      description: "Expiry Date (assumes 08:00 UTC) or DateTime",
      kind: :value
    }
  },
  returns: %{type: :map, description: "Map with :hours and :minutes remaining"},
  returns_example: %{hours: 1, minutes: 1}
}

@spec zero_gamma(option_chain() | term(), number() | term(), keyword() | term()) ::
  {:ok, zero_gamma_result()} | {:error, zero_gamma_error_reason()}

Solves for aggregate dealer GEX sign changes as spot varies.

Each candidate replaces only :spot in every enriched leg's retained :pricing_inputs; IV, time to expiry, rates, and carry remain fixed. This is the sticky-strike assumption. The default search range is 0.5–1.5 times the supplied spot and can be replaced with an absolute :search_range tuple.

The range is scanned over 512 equal intervals and every observed sign-changing bracket is bisected. Roots outside the minimum and maximum strikes carrying positive open interest are discarded. The primary :level is the remaining root nearest the supplied spot, while :roots contains every remaining root in ascending order.

Calls contribute positive dealer GEX and puts negative dealer GEX. A candidate is zero when abs(net GEX) <= relative_tolerance * gross GEX. Empty or near-empty gamma mass returns :no_gamma_signal instead of treating every spot as a root.