Options Data and Greeks (Bybit)

:::note This is a Rust-only v2 system tutorial. It uses the Rust LiveNode with the Bybit adapter to stream live option Greeks and aggregated chain snapshots. :::

This tutorial connects to Bybit's live options market and consumes Greeks and option chain data through two DataActor examples. It covers instrument discovery, venue-provided Greeks subscriptions, and periodic chain snapshots with ATM-relative strike filtering.

Introduction

Bybit publishes Greeks (delta, gamma, vega, theta) and implied volatility alongside every option ticker update. NautilusTrader exposes this data at two levels:

Per-instrument Greeks: subscribe to a single option contract and receive an OptionGreeks event on every ticker update.
Option chain snapshots: subscribe to an entire expiry series and receive periodic OptionChainSlice events that aggregate quotes and Greeks across all active strikes.

Two example binaries back these patterns: the first subscribes to individual Greeks streams, the second subscribes to an aggregated chain with ATM-relative strike filtering.

mermaid

flowchart LR
    subgraph BybitAPI ["Bybit V5 public WebSocket"]
        TKR["Per-contract option ticker"]
    end

    subgraph Adapter ["nautilus-bybit data client"]
        Q["QuoteTick + OptionGreeks per contract"]
        AGG["Per-series aggregator
(ATM and strike filtering)"]
    end

    subgraph Actors ["DataActor implementations"]
        G["GreeksTester
on_option_greeks()"]
        C["OptionChainTester
on_option_chain()"]
    end

    TKR --> Q
    Q --> G
    Q --> AGG
    AGG -->|interval timer| C

Prerequisites

A working Rust toolchain (rustup.rs).
The NautilusTrader repository cloned and building.
A Bybit API key with read permissions. No trading permissions are needed for data-only use. Create keys at bybit.com.
Environment variables set for authentication:

bash

export BYBIT_API_KEY="your-api-key"
export BYBIT_API_SECRET="your-api-secret"

A .env file in the repository root also works. The examples load it via dotenvy.

:::warning Bybit demo trading uses stream-demo.bybit.com only for private streams. Public option market data uses the mainnet public stream wss://stream.bybit.com/v5/public/option. :::

The DataActor pattern

A Rust DataActor needs three pieces:

A struct with a core: DataActorCore field plus your own state.
The nautilus_actor!(YourType) macro plus a Debug implementation.
A DataActor trait implementation with your callbacks.

The macro generates blanket Actor and Component implementations, so you only implement the callbacks you need. Every callback has a default no-op implementation.

Part 1: per-instrument Greeks

The bybit-greeks-tester example subscribes to OptionGreeks for all BTC CALL options at the nearest expiry and logs each update.

Actor structure

rust

#[derive(Debug)]
struct GreeksTester {
    core: DataActorCore,
    client_id: ClientId,
    subscribed_instruments: Vec<InstrumentId>,
}

nautilus_actor!(GreeksTester);

impl GreeksTester {
    fn new(client_id: ClientId) -> Self {
        Self {
            core: DataActorCore::new(DataActorConfig {
                actor_id: Some("GREEKS_TESTER-001".into()),
                ..Default::default()
            }),
            client_id,
            subscribed_instruments: Vec::new(),
        }
    }
}

The core field is required by the macro. The client_id identifies which data client to route subscriptions to. The subscribed_instruments vector tracks what we subscribed to so we clean up on stop.

Discovering instruments

On start, the actor queries the cache for all option instruments, filters for BTC CALLs that have not expired, and finds the nearest expiry:

rust

fn on_start(&mut self) -> anyhow::Result<()> {
    let venue = Venue::new("BYBIT");
    let underlying_filter = Ustr::from("BTC");

    let mut options: Vec<(InstrumentId, f64, u64)> = {
        let cache = self.cache();
        let instruments = cache.instruments(&venue, Some(&underlying_filter));

        instruments
            .iter()
            .filter_map(|inst| {
                if inst.option_kind() == Some(OptionKind::Call) {
                    let expiry = inst.expiration_ns()?.as_u64();
                    let strike = inst.strike_price()?.as_f64();
                    Some((inst.id(), strike, expiry))
                } else {
                    None
                }
            })
            .collect()
    }; // cache borrow dropped here

    let now_ns = self.timestamp_ns().as_u64();
    options.retain(|(_, _, exp)| *exp > now_ns);

    let nearest_expiry = options.iter().map(|(_, _, exp)| *exp).min().unwrap();
    options.retain(|(_, _, exp)| *exp == nearest_expiry);
    options.sort_by(|(_, a, _), (_, b, _)| a.partial_cmp(b).unwrap());

    // ...subscribe to each
}

:::warning Release the cache borrow before calling any subscription methods. The cache uses Rc<RefCell<...>> internally, and subscription methods may need to borrow it. Collect owned data into a local Vec, drop the cache reference, then subscribe. :::

Subscribing to Greeks

After discovering instruments, subscribe to each one:

rust

let client_id = self.client_id;
for (instrument_id, _, _) in &options {
    self.subscribe_option_greeks(*instrument_id, Some(client_id), None);
    self.subscribed_instruments.push(*instrument_id);
}

Handling updates

Each ticker update from Bybit triggers on_option_greeks with an OptionGreeks event:

rust

fn on_option_greeks(&mut self, greeks: &OptionGreeks) -> anyhow::Result<()> {
    log::info!(
        "GREEKS | {} | delta={:.4} gamma={:.6} vega={:.4} theta={:.4} rho={:.6} | \
         mark_iv={} bid_iv={} ask_iv={} | underlying={} oi={}",
        greeks.instrument_id,
        greeks.delta,
        greeks.gamma,
        greeks.vega,
        greeks.theta,
        greeks.rho,
        greeks.mark_iv.map_or("-".to_string(), |v| format!("{v:.2}")),
        greeks.bid_iv.map_or("-".to_string(), |v| format!("{v:.2}")),
        greeks.ask_iv.map_or("-".to_string(), |v| format!("{v:.2}")),
        greeks.underlying_price.map_or("-".to_string(), |v| format!("{v:.2}")),
        greeks.open_interest.map_or("-".to_string(), |v| format!("{v:.1}")),
    );
    Ok(())
}

The OptionGreeks fields:

Field	Type	Description
`instrument_id`	`InstrumentId`	The option contract.
`delta`	`f64`	Price sensitivity to underlying.
`gamma`	`f64`	Delta sensitivity to underlying.
`vega`	`f64`	Price sensitivity to a 1% change in volatility.
`theta`	`f64`	Daily time decay.
`rho`	`f64`	Sensitivity to interest rate changes.
`mark_iv`	`Option<f64>`	Mark price implied volatility.
`bid_iv`	`Option<f64>`	Bid implied volatility.
`ask_iv`	`Option<f64>`	Ask implied volatility.
`underlying_price`	`Option<f64>`	Current underlying forward price for this expiry.
`open_interest`	`Option<f64>`	Open interest for this contract.

The delta, gamma, vega, theta, and rho values live on a nested greeks: OptionGreekValues struct. OptionGreeks implements Deref<Target = OptionGreekValues>, so greeks.delta and friends work as shown above.

Bybit does not provide rho; the adapter sets it to 0.0.

Cleanup

On stop, unsubscribe from all instruments:

rust

fn on_stop(&mut self) -> anyhow::Result<()> {
    let ids: Vec<InstrumentId> = self.subscribed_instruments.drain(..).collect();
    let client_id = self.client_id;
    for instrument_id in ids {
        self.unsubscribe_option_greeks(instrument_id, Some(client_id), None);
    }
    log::info!("Unsubscribed from all option greeks");
    Ok(())
}

Part 2: option chain snapshots

The bybit-option-chain example subscribes to an aggregated option chain and logs periodic snapshots showing calls and puts at each strike with their quotes and Greeks.

Why use option chains

Per-instrument subscriptions give granular control, but monitoring an entire surface means managing individual streams and correlating updates across strikes. An option chain subscription handles this: the DataEngine aggregates quotes and Greeks across all strikes in a series and publishes a single OptionChainSlice on a timer.

This aggregation happens inside NautilusTrader. Bybit publishes per-contract option market data and does not expose a native option chain stream in the V5 public WebSocket docs.

Key types

OptionSeriesId identifies a single expiry series:

rust

let series_id = OptionSeriesId::new(
    Venue::new("BYBIT"),    // venue
    Ustr::from("BTC"),      // underlying
    Ustr::from("USDT"),     // settlement currency
    UnixNanos::from(expiry), // expiration timestamp
);

StrikeRange controls which strikes are active:

Variant	Description
`Fixed`	A fixed set of strike prices.
`AtmRelative`	`strikes_above` above and `strikes_below` below ATM.
`AtmPercent`	All strikes within `pct` of the ATM price.

For ATM-based variants, subscriptions are deferred until the ATM price is determined from the venue-provided forward price.

Subscribing

rust

let strike_range = StrikeRange::AtmRelative {
    strikes_above: 3,
    strikes_below: 3,
};

let snapshot_interval_ms = Some(5_000); // snapshot every 5 seconds

self.subscribe_option_chain(
    series_id,
    strike_range,
    snapshot_interval_ms,
    Some(client_id),
    None, // params
);

Pass None for snapshot_interval_ms to use raw mode, where every quote or Greeks update publishes a slice immediately.

Handling snapshots

The on_option_chain callback receives an OptionChainSlice containing all active strikes with their call and put data:

rust

fn on_option_chain(&mut self, slice: &OptionChainSlice) -> anyhow::Result<()> {
    log::info!(
        "OPTION_CHAIN | {} | atm={} | calls={} puts={} | strikes={}",
        slice.series_id,
        slice.atm_strike.map_or("-".to_string(), |p| format!("{p}")),
        slice.call_count(),
        slice.put_count(),
        slice.strike_count(),
    );

    for strike in slice.strikes() {
        let call_info = slice.get_call(&strike).map(|d| {
            let greeks_str = d.greeks.as_ref().map_or("-".to_string(), |g| {
                format!(
                    "d={:.3} g={:.5} v={:.2} iv={:.1}%",
                    g.delta, g.gamma, g.vega,
                    g.mark_iv.unwrap_or(0.0) * 100.0,
                )
            });
            format!("bid={} ask={} [{}]", d.quote.bid_price, d.quote.ask_price, greeks_str)
        });

        let put_info = slice.get_put(&strike).map(|d| {
            let greeks_str = d.greeks.as_ref().map_or("-".to_string(), |g| {
                format!(
                    "d={:.3} g={:.5} v={:.2} iv={:.1}%",
                    g.delta, g.gamma, g.vega,
                    g.mark_iv.unwrap_or(0.0) * 100.0,
                )
            });
            format!("bid={} ask={} [{}]", d.quote.bid_price, d.quote.ask_price, greeks_str)
        });

        log::info!(
            "  K={} | CALL: {} | PUT: {}",
            strike,
            call_info.unwrap_or_else(|| "-".to_string()),
            put_info.unwrap_or_else(|| "-".to_string()),
        );
    }

    Ok(())
}

The OptionChainSlice fields and methods:

Name	Type / Returns	Description
`series_id`	`OptionSeriesId`	The series this snapshot covers.
`atm_strike`	`Option<Price>`	ATM strike from the forward price.
`call_count()`	`usize`	Number of call strikes with data.
`put_count()`	`usize`	Number of put strikes with data.
`strike_count()`	`usize`	Union of all strikes.
`strikes()`	`Vec<Price>`	Sorted list of all strike prices.
`get_call(k)`	`Option<&OptionStrikeData>`	Call quote and Greeks at strike `k`.
`get_put(k)`	`Option<&OptionStrikeData>`	Put quote and Greeks at strike `k`.

Each OptionStrikeData contains a quote: QuoteTick (bid/ask) and an optional greeks: Option<OptionGreeks>.

Node setup

Both examples use the same LiveNode pattern. No execution client is needed for data-only use:

rust

#[tokio::main]
async fn main() -> Result<(), Box<dyn std::error::Error>> {
    dotenvy::dotenv().ok();

    let environment = Environment::Live;
    let trader_id = TraderId::test_default();
    let client_id = ClientId::new("BYBIT");

    let bybit_config = BybitDataClientConfig {
        api_key: None,    // loaded from BYBIT_API_KEY env var
        api_secret: None, // loaded from BYBIT_API_SECRET env var
        product_types: vec![BybitProductType::Option],
        ..Default::default()
    };

    let client_factory = BybitDataClientFactory::new();

    let mut node = LiveNode::builder(trader_id, environment)?
        .with_name("BYBIT-OPTIONS-001".to_string())
        .add_data_client(None, Box::new(client_factory), Box::new(bybit_config))?
        .with_delay_post_stop_secs(5)
        .build()?;

    let actor = GreeksTester::new(client_id); // or OptionChainTester
    node.add_actor(actor)?;
    node.run().await?;

    Ok(())
}

Setting product_types to [BybitProductType::Option] loads only option instruments. Startup blocks while the instrument provider fetches and parses every listed option.

Running the examples

bash

# Per-instrument Greeks
cargo run --example bybit-greeks-tester --package nautilus-bybit --features examples

# Option chain snapshots
cargo run --example bybit-option-chain --package nautilus-bybit --features examples

Stop either example with Ctrl+C. The actor's on_stop callback unsubscribes from all streams before shutdown.

What the examples produce

A 30-second mainnet run on April 28 (BTC near 76,800 USDT, expiry 2026-04-28 08:00 UTC) captures 938 Greeks updates across 22 BTC CALL contracts in the per-instrument tester, plus 5 chain snapshots covering 7 strikes each in the chain tester.

Per-instrument Greeks output

Found 22 BTC CALL options at nearest expiry (ts=1777359600000000000)
Subscribed to option greeks for 22 instruments
GREEKS | BTC-28APR26-72000-C-USDT-OPTION.BYBIT | delta=0.4733 gamma=0.000000 vega=0.0000 theta=-0.0000 rho=0.000000 | mark_iv=0.66 bid_iv=0.00 ask_iv=5.00 | underlying=76782.43 oi=0.0
GREEKS | BTC-28APR26-71000-C-USDT-OPTION.BYBIT | delta=0.4733 gamma=0.000000 vega=0.0000 theta=-0.0000 rho=0.000000 | mark_iv=0.74 bid_iv=0.00 ask_iv=5.00 | underlying=76782.43 oi=0.1
GREEKS | BTC-28APR26-73000-C-USDT-OPTION.BYBIT | delta=0.4733 gamma=0.000000 vega=0.0000 theta=-0.0000 rho=0.000000 | mark_iv=0.57 bid_iv=0.00 ask_iv=5.00 | underlying=76782.43 oi=0.0

Option chain output

OPTION_CHAIN | BYBIT:BTC:USDT:2026-04-28T08:00:00Z | atm=77000 | calls=7 puts=7 | strikes=7
  K=75500 | CALL: bid=1210 ask=1430 [d=0.445 g=0.00000 v=0.00 iv=36.2%] | PUT: bid=0 ask=5 [d=0.000 g=0.00000 v=0.00 iv=36.2%]
  K=76000 | CALL: bid=700 ask=850 [d=0.445 g=0.00000 v=0.00 iv=32.5%] | PUT: bid=0 ask=5 [d=0.000 g=0.00000 v=0.00 iv=32.5%]
  K=76500 | CALL: bid=265 ask=370 [d=0.442 g=0.00000 v=0.07 iv=29.9%] | PUT: bid=0 ask=5 [d=-0.003 g=0.00000 v=0.07 iv=29.9%]

Panels

Figure 1. Last delta per BTC CALL strike at the nearest expiry, underlying ~77,000 USDT marked. Delta drops from ~0.45 below the underlying to near zero past the underlying. Bybit's delta on near-zero gamma contracts close to expiry compresses to a step-like profile around the forward.

Figure 2. Mark IV per strike for the latest chain snapshot (CALL and PUT overlaid). The smile is symmetric around ATM at 77,000 USDT, with IV dipping from 36% at 75,500 to 30% at 77,000 and rising back to 38% at 78,500.

Figure 3. Underlying forward price reported in each Greeks update (top) and open interest by strike at the last update (bottom). OI concentrates in the 70,000-76,000 USDT band: at-the-money to slightly out-of-the-money strikes.

Figure 4. Average CALL bid-ask spread per chain snapshot in USDT. Snapshots arrive every five seconds (snapshot_interval_ms=5000).

Regenerate the panels

bash

timeout 30 ./target/release/examples/bybit-greeks-tester > /tmp/bybit_greeks.log 2>&1
timeout 30 ./target/release/examples/bybit-option-chain > /tmp/bybit_chain.log 2>&1

uv sync --extra visualization
GREEKS_LOG=/tmp/bybit_greeks.log CHAIN_LOG=/tmp/bybit_chain.log \
    python3 docs/tutorials/assets/options_data_bybit/render_panels.py

Complete source

Next steps

Combine both patterns. Use per-instrument Greeks for near-ATM contracts alongside the aggregated chain view in a single actor. Subscribe to Greeks for contracts you want to track individually, and the chain for a surface-level view.
Add quote and depth subscriptions. Call subscribe_quotes for top-of-book QuoteTick updates on individual option contracts. Call subscribe_order_book_deltas when you need the dedicated option orderbook stream. Bybit supports option depths 25 and 100.
Options execution. The delta-neutral strategy tutorial walks through a short strangle with perpetual hedging, including IV-based order placement via Bybit's order_iv parameter.

Options Data and Greeks (Bybit)

Options Data and Greeks (Bybit)

Introduction

Prerequisites

The DataActor pattern

Part 1: per-instrument Greeks

Actor structure

Discovering instruments

Subscribing to Greeks

Handling updates

Cleanup

Part 2: option chain snapshots

Why use option chains

Key types

Subscribing

Handling snapshots

Node setup

Running the examples

What the examples produce

Per-instrument Greeks output

Option chain output

Panels

Regenerate the panels

Complete source

Next steps

See also