Skewpoint › Crypto options portfolio valuation

From spreadsheet to marked book

Valuing a crypto options portfolio usually means a spreadsheet, a vol you copied from somewhere, and a pricer that does not handle barriers. Skewpoint replaces that with one upload. Start from the Excel template (or the CSV template), or upload your own layout: column names are recognised and you can fix the mapping by hand. Dates in DD/MM or MM/DD are detected, and missing or invalid cells are flagged so you can edit them inline. The file is read in your browser.

What a trade needs

Trade ID, Buy/Sell, option type, call/put, strike, barrier levels where relevant, amount, expiry date and premium. Supported types are vanilla, barrier (knock-in / knock-out, regular and reverse), binary (one-touch, no-touch), double barrier, double binary (double no-touch / one-touch) and European digital. The premium can be in USD, BTC or ETH; coin premiums are converted at the current spot.

Two books: BTC and ETH, never mixed

A mixed file is split automatically into a BTC book and an ETH book. Each book has its own trades, totals and export, and Greeks are never added across the two coins — a bitcoin delta and an ether delta are different risks.

What you get for each book

• M2M — the current USD value of each position, signed: positive for options bought, negative for options sold.
• PnL — M2M against the premium paid or received.
• Delta in coin and as cash delta, Gamma, Vega per vol point, Vanna, Vomma, and one-day Theta (value tomorrow minus value today).
• Totals by product type and for the whole book, plus a CSV export of every trade.

Vanillas are valued with the option pricer at the smile vol of their strike; exotics with the exotic pricer’s vanna-volga market value. Hit Reprice and the book is revalued on the latest surface.

Vega buckets by tenor

A single vega number hides where your vol risk sits. Under the book summary, Skewpoint splits vega across seven tenors: 1D, 1W, 1M, 3M, 6M, 9M and 12M. Each trade’s vega is shared between the two tenors either side of its expiry, with weights linear in time — an option expiring exactly at 1M sits fully in the 1M bucket, one halfway between 1M and 3M is split evenly. The buckets add up exactly to the book vega, so you can see at a glance whether you are long front-end vol and short the back, and hedge the right part of the curve.

Who it’s for

Funds and treasuries holding BTC or ETH options, desks running structured products with barriers and digitals, and traders who want an independent mark on an OTC book. When you need to know how the book behaves under stress, the same book feeds risk analysis.