Options Greeks assume continuous prices, stable volatility, liquid markets. Crypto violates all of these catastrophically. Your Greeks are unreliable.
Hypothesis HY10037
Options Greeks assume continuous prices, stable volatility, liquid markets. Crypto violates all of these catastrophically. Your Greeks are unreliable.
Trading hypothesis
What traders get wrong
False assumption:
"Portfolio and option Greeks are predictable."
Truth:
Crypto catastrophically violates all core assumptions (stationarity, liquidity, predictable relationships) behind Greeks.
Problem for trader:
Delta assumes continuous prices - crypto jumps. Vega assumes stable vol-of-vol - crypto doesn't. Gamma explodes during jumps.
Key takeaways
What you should consider as a trader
- Delta unreliable - Price jumps 10% in an hour, delta can't hedge that.
- Gamma explodes - Gamma is infinite at a discontinuity.
- Vega unstable - Vol-of-vol makes vega unreliable.
- Theta relatively stable - But still affected by vol uncertainty.
- Hedge execution risk - Even if Greeks were right, can you execute?
Data you need
Assess Greek reliability
Data points:
- Greek reliability scores
- Jump frequency
- Vol-of-vol metrics
- Hedge execution risk
Comparison of data sources
Where to get crucial data feeds
| Source | Availability | Notes |
| Deribit | ⚠️ Partial | Standard Greeks, no reliability adjustment. |
| Laevitas | ⚠️ Partial | Derivatives analytics. |
| **Madjik** | ✅ Yes | 🚀 Get API Access Now |
Available metrics for this hypothesis:
| Metric | Description | Change dimensions | Time dimensions | How to use | API spec |
| `ME10013` | Volatility & risk | • Absolute Value (value) • Relative Change (relchg) • Score 0-100 (score) | • Current (now) • Past 24 Hours (past24h) • Past 7 Days (past7d) • Past 30 Days (past30d) | Example | API |
Clean data for AI, A2A, MCP, etc.
Science behind hypothesis
Research supports this hypothesis
Research shows standard Greeks have 2-3x higher error in crypto than equities.
Bottom line
Greeks are guides, not gospel. Understanding when options models break helps you hedge what's actually hedgeable. Madjik provides Greek reliability scores based on current market conditions, so you know when to trust your hedges and when to reduce exposure.
Practical use
How to use this data in trading:
Trade IV-RV spreads, size positions using VaR, and select strategies based on volatility regime.
Detailed examples with Python code, AI agent integration (MCP/A2A), and risk analysis:
| `ME10013` | Volatility & Risk Trading Guide | Example → |
API Documentation: docs.madjik.io
For informational purposes only. Not financial, investment, tax, legal or other advice.