[Deribit] Deribit introducing COMBOS – Deribit Insights

Deribit has released the ability to create and trade combos in TESTNET. A combo, sometimes referred to as a strategy, are combinations of different instruments that can be executed with one trade/request/transaction.

For example, buying the perp and selling a Dec future, would require buying the perp and separately to that selling the Dec future. This can result in execution risk and crossing the spreads in 2 books whilst a Dec-Perp Future spread would have its own order book and since it carries less delta risk, should be a tighter spread than trading the legs separately.

A combo book is listed as a separate instrument on Deribit. For example, if you want to buy the BTC-31MAR23-100000-C whilst simultaneously selling the BTC-31MAR23-200000-C would require trading the Call Spread. If the combo instrument does not exist, then it can be created (more details on how to create a combo is later in this article). If the combo already exists, then it would be labelled as BTC-CS-31MAR23-100000_200000. This can be considered as an instrument in itself

One would enter orders on this combo book in the same way the enter orders in other books. For example, using the API request private/buy specifying the combo instrument name. Most of the API endpoints and subscriptions for an instrument also work for a combo instrument like ticker or finding the bandwidth (with Max Buy and Min Sell prices)

Combos can be found in the side menu by clicking in the top left corner or by going to TESTNET here.

You will then see 2 tabs with the Combo List and Create Combo:

In the first future spread in the Combo List above +1 BTC-20MAY22 and -1 BTC-PERPETUAL means that buying 10 usd of the combo results in buying 10 usd of the BTC-20MAY22 and selling 10 usd of the BTC-PERPETUAL.

Selling 10 usd of the combo results in selling 10 usd of the BTC-20MAY22 and buying 10 usd of the BTC-PERPETUAL

Note: One would not see open orders for the combo legs but only for the combo. Whilst trades would be reported both for the combo and the individual legs. So trading the BTC-CS-31MAR23-100000_200000 call spread would result in 3 trades, one for the combo itself BTC-CS-31MAR23-100000_200000 and a trade for each of the legs.

Note: Implied markets from the legs are not put in the combo order book, nor vice versa. The implied prices of the options legs are shown as an indication on public/ticker and also in the Combo List

Combo Naming and Valid Combos

Note: Only certain combos are allowed to be created. Below is a list of those combos including the naming terminology

Expiry E2 > E1 > Perpetual
Strike X4 > X3 > X2 > X1

Combo type Syntax for Combo name Buying 1 means: Combo name example Example of buying 1
Future Spread FS-E2_E1 +1 E2

-1 E1

FS-30SEP22_31DEC21 +1 30SEP22

-1 31DEC21

Call Spread CS-E1-X1_X2 +1 E1-X1-C

-1 E1-X2-C

CS-29OCT21-3000_4000 +1 29OCT21-3000-C

-1 29OCT21-4000-C

Call Ratio Spread 1×2 CSR12-E1-X1_X2 +1 E1-X1-C

-2 E1-X2-C

CSR12-29OCT21-3000_4000 +1 29OCT21-3000-C

-2 29OCT21-4000-C

Call Ratio Spread 1×3 CSR13-E1-X1_X2 +1 E1-X1-C

-3 E1-X2-C

CSR13-29OCT21-3000_4000 +1 29OCT21-3000-C

-3 29OCT21-4000-C

Call Ratio Spread 2×3 CSR23-E1-X1_X2 +2 E1-X1-C

-3 E1-X2-C

CSR13-29OCT21-3000_4000 +2 29OCT21-3000-C

-3 29OCT21-4000-C

Put Spread PS-E1-X2_X1 +1 E1-X2-P

-1 E1-X1-P

PS-29OCT21-4000_3000 +1 29OCT21-4000-P

-1 29OCT21-3000-P

Put Ratio Spread 1×2 PSR12-E1-X2_X1 +1 E1-X2-P

-2 E1-X1-P

PSR12-29OCT21-4000_3000 +1 29OCT21-4000-P

-2 29OCT21-3000-P

Put Ratio Spread 1×3 PSR13-E1-X2_X1 +1 E1-X2-P

-3 E1-X1-P

PSR13-29OCT21-4000_3000 +1 29OCT21-4000-P

-3 29OCT21-3000-P

Put Ratio Spread 2×3 PSR23-E1-X2_X1 +2 E1-X2-P

-3 E1-X1-P

PSR23-29OCT21-3000_4000 +2 29OCT21-4000-P

-3 29OCT21-3000-P

Straddle STRD-E1-X1 +1 E1-X1-C

+1 E1-X1-P

STRD-29OCT21-3000 +1 29OCT21-3000-C

+1 29OCT21-3000-P

Strangle STRG-E1-X1_X2 +1 E1-X1-P

+1 E1-X2-C

STG-29OCT21-3000_4000 +1 29OCT21-3000-P

+1 29OCT21-4000-C

Strangle (ITM) GUTS-E1-X1_X2 +1 E1-X1-C

+1 E1-X2-P

GUTS-29OCT21-3000_4000 +1 29OCT21-3000-C

+1 29OCT21-4000-P

Risk Reversal RR-E1-X1_X2 +1 E1-X1-P

-1 E1-X2-C

RR-29OCT21-3000_4000 +1 29OCT21-3000-P

-1 29OCT21-4000-C

Risk Reversal (ITM) RRITM-E1-X1_X2 +1 E1-X1-C

-1 E1-X2-P

RRITM-29OCT21-3000_4000 +1 29OCT21-3000-C

-1 29OCT21-4000-P

Call Calendar Spread CCAL-E2_E1-X1 +1 E2-X1-C

-1 E1-X1-C

CCAL-31DEC21_29OCT21-3000 +1 31DEC21-3000-C

-1 29OCT21-3000-C

Put Calendar Spread PCAL-E2_E1-X1 +1 E2-X1-P

-1 E1-X1-P

PCAL-31DEC21_29OCT21-3000 +1 31DEC21-3000-P

-1 29OCT21-3000-P

Call Diagonal Calendar Spread CDIAG-E2_E1-X(E2)_X(E1) +1 E2-C-X(E2)

-1 E1-C-X(E1)

CDIAG-31DEC21_29OCT21-2000_3000 +1 31DEC21-2000-C

-1 29OCT21-3000-C

Put Diagonal Calendar Spread PDIAG-E2_E1-X(E2)_X(E1) +1 E2-P-X(E2)

-1 E1-P-X(E1)

PDIAG-31DEC21_29OCT21-4000_3000 +1 31DEC21-4000-P

-1 29OCT21-3000-P

Straddle Calendar STDC-E2_E1-3000 +1 E2-X1-C

+1 E2-X1-P

-1 E1-X1-C

-1 E1-X1-P

STDC-31DEC21_29OCT21-3000 +1 31DEC21-3000-C

+1 31DEC21-3000-P

-1 29OCT21-3000-C

-1 29OCT21-3000-P

Straddle Calendar (Diagonal) DSTDC-E2_E1-X(E2)_X(E1) +1 E2-X(E2)-C

+1 E2-X(E2)-P

-1 E1-X(E1)-C

-1 E1-X(E1)-P

DSTDC-31DEC21_29OCT21-3000_4000 +1 31DEC21-3000-C

+1 31DEC21-3000-P

-1 29OCT21-4000-C

-1 29OCT21-4000-P

Reversal / Conversion REV-E1-X1 +1 E1-X1-C

-1 E1-X1-P

REV-29OCT21-3000 +1 29OCT21-3000-C

-1 29OCT21-3000-P

Call Butterfly CBUT-E1-X1_X2_X3 +1 E1-X1-C

-2 E1-X2-C

+1 E1-X3-C

CBUT-29OCT21-3000_4000_5000 +1 29OCT21-3000-C

-2 29OCT21-4000-C

+1 29OCT21-5000-C

Put Butterfly PBUT-E1-X1_X2_X3 +1 E1-X1-P

-2 E1-X2-P

+1 E1-X3-P

PBUT-29OCT21-3000_4000_5000 +1 29OCT21-3000-P

-2 29OCT21-4000-P

+1 29OCT21-5000-P

Iron Butterfly IBUT-E1-X1_X2_X3 -1 E1-X1-P

+1 E1-X2-C

+1 E1-X2-P

-1 E1-X3-C

IBUT-29OCT21-3000_4000_5000 -1 29OCT21-3000-P

+1 29OCT21-4000-C

+1 29OCT21-4000-P

-1 29OCT21-5000-C

Skinny Call Butterfly CBUT111-E1-X1_X2_X3 +1 E1-X1-C

-1 E1-X2-C

+1 E1-X3-C

CBUT111-29OCT21-3000_4000_5000 +1 29OCT21-3000-C

-1 29OCT21-4000-C

+1 29OCT21-5000-C

Skinny Put Butterfly PBUT111-E1-X1_X2_X3 +1 E1-X1-P

-1 E1-X2-P

+1 E1-X3-P

PBUT111-29OCT21-3000_4000_5000 +1 29OCT21-3000-P

-1 29OCT21-4000-P

+1 29OCT21-5000-P

Call Ladder CLAD-E1-X1_X2_X3 +1 E1-X1-C

-1 E1-X2-C

-1 E1-X3-C

CLAD-29OCT21-3000_4000_5000 +1 29OCT21-3000-C

-1 29OCT21-4000-C

-1 29OCT21-5000-C

Put Ladder PLAD-E1-X3_X2_X1 +1 E1-X3-P

-1 E1-X2-P

-1 E1-X1-P

PLAD-29OCT21-5000_4000_3000 +1 29OCT21-5000-P

-1 29OCT21-4000-P

-1 29OCT21-3000-P

Call Condor CCOND-E1-X1_X2_X3_X4 +1 E1-X1-C

-1 E1-X2-C

-1 E1-X3-C

+1 E1-X4-C

CCOND-29OCT21-3000_4000_5000_6000 +1 29OCT21-3000-C

-1 29OCT21-4000-C

-1 29OCT21-5000-C

+1 29OCT21-6000-C

Put Condor PCOND-E1-X1_X2_X3_X4 +1 E1-X1-P

-1 E1-X2-P

-1 E1-X3-P

+1 E1-X4-P

PCOND-29OCT21-3000_4000_5000_6000 +1 29OCT21-3000-P

-1 29OCT21-4000-P

-1 29OCT21-5000-P

+1 29OCT21-6000-P

Iron Condor ICOND-E1-X1_X2_X3_X4 -1 E1-X1-P

+1 E1-X2-P

+1 E1-X3-C

-1 E1-X4-C

ICOND-29OCT21-3000_4000_5000_6000 +1 29OCT21-3000-P

-1 29OCT21-4000-P

-1 29OCT21-5000-C

+1 29OCT21-6000-C

Box BOX-E1-X1_X2 +1 E1-X1-C

-1 E1-X1-P

-1 E1-X2-C

+1 E1-X2-P

BOX-29OCT21-3000_4000 +1 29OCT21-3000-C

-1 29OCT21-3000-P

-1 29OCT21-4000-C

+1 29OCT21-4000-P

Jelly Roll JR-E2_E1-X1 +1 E2-X1-C

-1 E2-X1-P

-1 E1-X1-C

+1 E1-X1-P

JR-31DEC21_29OCT21-3000 +1 31DEC21-3000-C

-1 31DEC21-3000-P

-1 29OCT21-3000-C

+1 29OCT21-3000-P

Create Combo

There is a limit to how many combos you can create and you require equity in the account from which the combo is being created. This limit would be to create 5 combos per account in a week – that limit might be adjusted later on.

Using the UI:
Go to the Create Combo tab and start with selecting which combo you would like to add followed by the expiries and, if it’s an option combo, the strikes.

Using the API:
private/create_combo: Read more here.