A combo, sometimes referred to as a strategy, are combinations of different instruments that can be executed with one trade/request/transaction. Combos represent the simultaneous buy and/or sell of two or more different but related instruments (legs), for example different expiries or directions. Most common instances of combo books instruments are futures spreads, or vertical (option) combos like call/put spreads, calendar spreads etc.
Combo book summary
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Combos offer much easier execution of multiple legs. It is possible to execute all legs of a multi-leg option strategy with a single order at a single price. This removes the need to manage multiple orders for a single strategy or to cross the spread multiple times.
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Combos eliminate leg risk. No risk of being filled on one leg with price then running away from the other leg.
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Individual legs retain their flexibility. Traders can still trade the legs individually once the position is open. This includes trading each leg in the individual order books, or as part of a different Combo.
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Combos benefit from lower fees! The cheapest direction of a Combo has reduced fees, meaning less fees to pay compared to executing each leg individually.
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More precise prices. It is possible to use tick sizes of 0.0001 for option Combos, allowing for greater precision.
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Minimum trade sizes are small. The minimum trade size for Combos is the same as for the individual instruments they contain, so even smaller traders can take advantage of the benefits of Combos.
Combo Lifetime
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To avoid overwhelming the system with thousands of extra order books, there is a soft limit and a hard limit for the number of option combo order books that can be open at any given time.
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If the combo doesn't meet the 2 hour volume threshold and total number of active combos is above the soft limit, then Deribit starts deactivating from the combos that have the lowest 2 hour volume.
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When the hard limit is reached, no new combos can be created until the number is reduced by the system.
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If a combo is newer than 2 hours, then it won't be deactivated.
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Future spreads also won't be deactivated.
Future spreads price calculations
When trading a futures spread, two futures are traded with a single order. The price that the futures spread order trades at, combined with the mark price, determines the price the individual legs are traded at.
For example, future A currently has a mark price of $100,000, and future B currently has a mark price of $105,000. The mark price of the spread between these two futures (B - A) would then be $5,000. If the spread is sold for $5,500, the traded price for the individual legs will be calculated as follows:
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Difference between execution and mark price = $5,500 - $5,000 = $500
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Execution price for future A = $100,000 - ($500 / 2) = $99,750
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Execution price for future B = $105,000 + ($100 / 2) = $105,250
The spread has been sold for $500 more than the mark price, and this distance from the mark price of the spread is equally applied to the mark prices of the individual legs.
Only certain combos are allowed to be created. Below is a list of those combos including the naming terminology and their type
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Expiry: E2 > E1 > Perpetual
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Strike: X1 > X2 > X3 > X4
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Combo type |
Syntax for Combo name |
Combo name example |
Buying 1 means: |
Example of buying 1 |
Type description |
|---|---|---|---|---|---|
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Future spread Combos |
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Future Spread |
FS-E2_E1 |
FS-30SEP22_31DEC21 |
+1 E2 -1 E1 |
+1 30SEP22 -1 31DEC21 |
Buying a future and simultaneously selling a future with a different expiry. This strategy is often used when rolling risk, reducing synthetic risk, trading discrepancies in the forward curve or capturing yield. |
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Vertical Spread Combos |
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Call Spread |
CS-E1-X1_X2 |
CS-29OCT21-3000_4000 |
+1 E1-X1-C -1 E1-X2-C |
+1 29OCT21-3000-C -1 29OCT21-4000-C |
A call spread involves buying and selling a call with different strikes within the same expiry. Buying a call spread is a bullish strategy but unlike buying a call outright, it requires a payment of less premium which comes with limiting the upside potential gain, hence buying a call spread is good for when a moderate price gain is expected. |
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Put Spread |
PS-E1-X2_X1 |
PS-29OCT21-4000_3000 |
+1 E1-X2-P -1 E1-X1-P |
+1 29OCT21-4000-P -1 29OCT21-3000-P |
A put spread involves buying and selling a put with different strikes within the same expiry. Buying a put spread is a bearish strategy but unlike buying a put outright, it requires a payment of less premium which comes with limiting the upside potential gain, hence buying a put spread is good for when a moderate price reduction is expected. |
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Risk Reversal |
RR-E1-X1_X2 |
RR-29OCT21-3000_4000 |
+1 E1-X1-P -1 E1-X2-C |
+1 29OCT21-3000-P -1 29OCT21-4000-C |
This involves buying an out-the-money put whilst selling an out-the-money call in the other direction. |
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Risk Reversal (ITM) |
RRITM-E1-X1_X2 |
RRITM-29OCT21-3000_4000 |
+1 E1-X1-C -1 E1-X2-P |
+1 29OCT21-3000-C -1 29OCT21-4000-P |
This involves buying an in-the-money call whilst selling an in-the-money put in the other direction. |
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Advanced Vertical Spread Combos |
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Call Ratio Spread 1×2 |
CSR12-E1-X1_X2 |
CSR12-29OCT21-3000_4000 |
+1 E1-X1-C -2 E1-X2-C |
+1 29OCT21-3000-C -2 29OCT21-4000-C |
Buying this call ratio involves buying the lower strike call and selling 2 times the higher strike call. It is bullish for small moves up, but is losing for large moves up. One advantage is the paid premium from the long call is reduced by the short options and can even result in premium received. |
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Call Ratio Spread 1×3 |
CSR13-E1-X1_X2 |
CSR13-29OCT21-3000_4000 |
+1 E1-X1-C -3 E1-X2-C |
+1 29OCT21-3000-C -3 29OCT21-4000-C |
Buying this call ratio involves buying the lower strike call and selling 3 times the higher strike call. It is bullish for small moves up, but is losing for large moves up. One advantage is the paid premium from the long call is reduced by the short options and is even most likely premium received but with the greater risk of losing on large upside moves. |
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Call Ratio Spread 2×3 |
CSR23-E1-X1_X2 |
CSR13-29OCT21-3000_4000 |
+2 E1-X1-C -3 E1-X2-C |
+2 29OCT21-3000-C -3 29OCT21-4000-C |
Buying this call ratio involves buying 2 times lower strike call and selling 3 times the higher strike call (Effectively equivalent to the call ratio 1x1.5). It is bullish for small moves up, but is losing for large moves up. One advantage is the paid premium from the long call is reduced by the short options and can even result in premium received. |
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Put Ratio Spread 1×2 |
PSR12-E1-X2_X1 |
PSR12-29OCT21-4000_3000 |
+1 E1-X2-P -2 E1-X1-P |
+1 29OCT21-4000-P -2 29OCT21-3000-P |
Buying this put ratio involves buying the higher strike put and selling 2 times the lower strike put. It is bearish for small moves down but is losing for large moves down. One advantage is the paid premium from the long put is reduced by the short options and can even result in premium received. |
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Put Ratio Spread 1×3 |
PSR13-E1-X2_X1 |
PSR13-29OCT21-4000_3000 |
+1 E1-X2-P -3 E1-X1-P |
+1 29OCT21-4000-P -3 29OCT21-3000-P |
Buying this put ratio involves buying the higher strike put and selling 3 times the lower strike put. It is bearish for small moves down but is losing for large moves down. One advantage is the paid premium from the long put is reduced by the short options and can even result in premium received, but with the greater risk of losing on large downside moves. |
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Put Ratio Spread 2×3 |
PSR23-E1-X2_X1 |
PSR23-29OCT21-3000_4000 |
+2 E1-X2-P -3 E1-X1-P |
+2 29OCT21-4000-P -3 29OCT21-3000-P |
Buying this put ratio involves buying 2 times the higher strike put and selling 3 times the lower strike put. It is bearish for small moves down but is losing for large moves down. One advantage is the paid premium from the long put is reduced by the short options and can even result in premium received. |
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Call Ladder |
CLAD-E1-X1_X2_X3 |
CLAD-29OCT21-3000_4000_5000 |
+1 E1-X1-C -1 E1-X2-C -1 E1-X3-C |
+1 29OCT21-3000-C -1 29OCT21-4000-C -1 29OCT21-5000-C |
A call ladder is an options strategy that consists of buying a call at a predetermined strike price and selling 2 different, each at a higher strike price. The holder gains profit through the process of placing interval prices. A long call ladder is otherwise known as a bull call ladder. |
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Put Ladder |
PLAD-E1-X3_X2_X1 |
PLAD-29OCT21-5000_4000_3000 |
+1 E1-X3-P -1 E1-X2-P -1 E1-X1-P |
+1 29OCT21-5000-P -1 29OCT21-4000-P -1 29OCT21-3000-P |
Put ladder is an options strategy where the act of purchasing a put at one strike price and selling 2 puts at a lower strike price happens. When two options are bought while one is sold, it is referred to as a “short ladder.” |
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Call Condor |
CCOND-E1-X1_X2_X3_X4 |
CCOND-29OCT21-3000_4000_5000_6000 |
+1 E1-X1-C -1 E1-X2-C -1 E1-X3-C +1 E1-X4-C |
+1 29OCT21-3000-C -1 29OCT21-4000-C -1 29OCT21-5000-C +1 29OCT21-6000-C |
Long call condor: You can think of a long condor spread with calls as simultaneously running an in-the-money long call spread and an out-of-the-money short call spread. Ideally, you want the short call spread to expire worthless, while the long call spread achieves its maximum value with strikes A and B in-the-money. Short call condor: The short condor is a neutral strategy similar to the short butterfly. It is a limited risk, limited profit trading strategy that is structured to earn a profit when the underlying coin is perceived to be making a sharp move in either direction. |
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Put Condor |
PCOND-E1-X1_X2_X3_X4 |
PCOND-29OCT21-3000_4000_5000_6000 |
+1 E1-X1-P -1 E1-X2-P -1 E1-X3-P +1 E1-X4-P |
+1 29OCT21-3000-P -1 29OCT21-4000-P -1 29OCT21-5000-P +1 29OCT21-6000-P |
Long put condor: A long put condor consists of four different put options of the same expiration. The strategy is constructed of 1 long out-of-money put at the lowest strike, 1 short out-of-money put at the middle strike, 1 short put at a higher strike and 1 long deeper in-the-money put at the highest strike. Short put condor: Short Put Condor Option Strategy is a Volatility strategy. Which consist of 4 different calls of the same expiration. Short Put Condor offers a low Reward for relative higher risk. Short Put Condor is a directional neutral strategy. Another way to interpret this strategy is a combination of In-The-Money Bear Put Spread, and Short Out-Of-The money Bear Put Spread. |
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Call Calendar Spread |
CCAL-E2_E1-X1 |
CCAL-31DEC21_29OCT21-3000 |
+1 E2-X1-C -1 E1-X1-C |
+1 31DEC21-3000-C -1 29OCT21-3000-C |
A calendar spread is usually done to take an opinion on the forward volatility curve and also consequently takes an opinion on the basis between the expiries. Buying the Call Calendar involves buying a call in an expiry and selling a call in a closer expiry with the same strike. This strategy realizes its maximum profit if the price of the underlying remains stable towards the first expiry date. |
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Put Calendar Spread |
PCAL-E2_E1-X1 |
PCAL-31DEC21_29OCT21-3000 |
+1 E2-X1-P -1 E1-X1-P |
+1 31DEC21-3000-P -1 29OCT21-3000-P |
A calendar spread is usually done to take an opinion on the forward volatility curve and also consequently takes an opinion on the basis between the expiries. Buying the Put Calendar involves buying a put in an expiry and selling a put in a closer expiry with the same strike. This strategy realizes its maximum profit if the price of the underlying remains stable towards the first expiry date. |
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Call Diagonal Calendar Spread |
CDIAG-E2_E1-X(E2)_X(E1) |
CDIAG-31DEC21_29OCT21-2000_3000 |
+1 E2-C-X(E2) -1 E1-C-X(E1) |
+1 31DEC21-2000-C -1 29OCT21-3000-C |
A diagonal calendar spread is usually done to take an opinion on the forward volatility curve but also on mispricings in the smile. Buying the strategy involves buying a call in an expiry and selling a call in a closer expiry with a different strike. |
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Put Diagonal Calendar Spread |
PDIAG-E2_E1-X(E2)_X(E1) |
PDIAG-31DEC21_29OCT21-4000_3000 |
+1 E2-P-X(E2) -1 E1-P-X(E1) |
+1 31DEC21-4000-P -1 29OCT21-3000-P |
A diagonal calendar spread is usually done to take an opinion on the forward volatility curve but also on mispricings in the smile. Buying the strategy involves buying a put in an expiry and selling a put in a closer expiry with a different strike. |
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Straddle Calendar |
STDC-E2_E1-3000 |
STDC-31DEC21_29OCT21-3000 |
+1 E2-X1-C +1 E2-X1-P -1 E1-X1-C -1 E1-X1-P |
+1 31DEC21-3000-C +1 31DEC21-3000-P -1 29OCT21-3000-C -1 29OCT21-3000-P |
A straddle calendar is usually done to take an opinion on the forward volatility curve. Buying the Straddle Calendar involves buying a straddle (call and put with same strike) in an expiry and selling the straddle in a closer expiry with the same strikes. |
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Straddle Calendar (Diagonal) |
DSTDC-E2_E1-X(E2)_X(E1) |
DSTDC-31DEC21_29OCT21-3000_4000 |
+1 E2-X(E2)-C +1 E2-X(E2)-P -1 E1-X(E1)-C -1 E1-X(E1)-P |
+1 31DEC21-3000-C +1 31DEC21-3000-P -1 29OCT21-4000-C -1 29OCT21-4000-P |
A diagonal straddle calendar is usually done to take an opinion on the forward volatility curve and mispricings along the smile curve. Buying the Diagonal Straddle Calendar involves buying a straddle (call and put with same strike) in an expiry and selling the straddle in a closer expiry with the same strikes. |
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Volatility Spread Combos |
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Straddle |
STRD-E1-X1 |
STRD-29OCT21-3000 |
+1 E1-X1-C +1 E1-X1-P |
+1 29OCT21-3000-C +1 29OCT21-3000-P |
A volatility trade, with buying a call and a put on the same strike. Buying the strategy is bullish on volatility and requires sufficient deviation up or down to recover the premium paid. |
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Strangle |
STRG-E1-X1_X2 |
STG-29OCT21-3000_4000 |
+1 E1-X1-P +1 E1-X2-C |
+1 29OCT21-3000-P +1 29OCT21-4000-C |
A volatility trade, with buying a call on a higher strike and a put on the lower strike. Buying the strategy is bullish on volatility and requires sufficient deviation up or down to recover the premium paid. |
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Strangle (ITM) |
GUTS-E1-X1_X2 |
GUTS-29OCT21-3000_4000 |
+1 E1-X1-C +1 E1-X2-P |
+1 29OCT21-3000-C +1 29OCT21-4000-P |
A volatility trade, with buying a call on a lower strike and a put on the higher strike. Buying the strategy is bullish on volatility and requires sufficient deviation up or down to recover the premium paid. |
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Neutral Spread Combos |
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Call Butterfly |
CBUT-E1-X1_X2_X3 |
CBUT-29OCT21-3000_4000_5000 |
+1 E1-X1-C -2 E1-X2-C +1 E1-X3-C |
+1 29OCT21-3000-C -2 29OCT21-4000-C +1 29OCT21-5000-C |
Long butterfly call The long butterfly call spread is created by buying one in-the-money call option with a low strike price, writing two at-the-money call options, and buying one out-of-the-money call option with a higher strike price. Net debt is created when entering the trade. Short butterfly call The short butterfly spread is created by selling one in-the-money call option with a lower strike price, buying two at-the-money call options, and selling an out-of-the-money call option at a higher strike price. A net credit is created when entering the position. This position maximizes its profit if the price of the underlying is above or the upper strike or below the lower strike at expiry. |
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Put Butterfly |
PBUT-E1-X1_X2_X3 |
PBUT-29OCT21-3000_4000_5000 |
+1 E1-X1-P -2 E1-X2-P +1 E1-X3-P |
+1 29OCT21-3000-P -2 29OCT21-4000-P +1 29OCT21-5000-P |
Long put butterfly The long put butterfly spread is created by buying one put with a lower strike price, selling two at-the-money puts, and buying a put with a higher strike price. Net debt is created when entering the position. Like the long call butterfly, this position has a maximum profit when the underlying stays at the strike price of the middle options. Short put butterfly The short put butterfly spread is created by writing one out-of-the-money put option with a low strike price, buying two at-the-money puts, and writing an in-the-money put option at a higher strike price. This strategy realizes its maximum profit if the price of the underlying is above the upper strike or below the lower strike price at expiration. |
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Iron Butterfly |
IBUT-E1-X1_X2_X3 |
IBUT-29OCT21-3000_4000_5000 |
-1 E1-X1-P +1 E1-X2-C +1 E1-X2-P -1 E1-X3-C |
+1 29OCT21-3000-P -1 29OCT21-4000-C -1 29OCT21-4000-P +1 29OCT21-5000-C |
The iron butterfly spread is created by buying an out-of-the-money put option with a lower strike price, writing an at-the-money put option, writing an at-the-money call option, and buying an out-of-the-money call option with a higher strike price. The result is a trade with a net credit that's best suited for lower volatility scenarios. The maximum profit occurs if the underlying stays at the middle strike price. |
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Skinny Call Butterfly |
CBUT111-E1-X1_X2_X3 |
CBUT111-29OCT21-3000_4000_5000 |
+1 E1-X1-C -1 E1-X2-C +1 E1-X3-C |
+1 29OCT21-3000-C -1 29OCT21-4000-C +1 29OCT21-5000-C |
The main difference between a Skinny Call Butterfly and and Call Butterfly is the amount of at-the-money options being written/sold. |
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Skinny Put Butterfly |
PBUT111-E1-X1_X2_X3 |
PBUT111-29OCT21-3000_4000_5000 |
+1 E1-X1-P -1 E1-X2-P +1 E1-X3-P |
+1 29OCT21-3000-P -1 29OCT21-4000-P +1 29OCT21-5000-P |
The main difference between a Skinny Put Butterfly and and Put Butterfly is the amount of at-the-money options being bought/sold. |
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Iron Condor |
ICOND-E1-X1_X2_X3_X4 |
ICOND-29OCT21-3000_4000_5000_6000 |
+1 E1-X1-P -1 E1-X2-P -1 E1-X3-C +1 E1-X4-C |
+1 29OCT21-3000-P -1 29OCT21-4000-P -1 29OCT21-5000-C +1 29OCT21-6000-C |
An iron condor is an options strategy consisting of two puts (one long and one short) and two calls (one long and one short), and four strike prices, all with the same expiration date. The iron condor earns the maximum profit when the underlying asset closes between the middle strike prices at expiration. In other words, the goal is to profit from low volatility in the underlying asset. |
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Interest Rate Spread Combos |
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Reversal / Conversion |
REV-E1-X1 |
REV-29OCT21-3000 |
+1 E1-X1-C -1 E1-X1-P |
+1 29OCT21-3000-C -1 29OCT21-3000-P |
A reversal is a form of arbitrage that enables options traders to profit from an overpriced put option no matter what the underlying does. The trade consists of selling a put and buying a call to create a synthetic long position while shorting the underlying stock. |
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Box |
BOX-E1-X1_X2 |
BOX-29OCT21-3000_4000 |
+1 E1-X1-C -1 E1-X1-P -1 E1-X2-C +1 E1-X2-P |
+1 29OCT21-3000-C -1 29OCT21-3000-P -1 29OCT21-4000-C +1 29OCT21-4000-P |
A box spread is an options arbitrage strategy that combines buying a bull call spread with a matching bear put spread. A box spread's ultimate payoff will always be the difference between the two strike prices. |
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Jelly Roll |
JR-E2_E1-X1 |
JR-31DEC21_29OCT21-3000 |
+1 E2-X1-C -1 E2-X1-P -1 E1-X1-C +1 E1-X1-P |
+1 31DEC21-3000-C -1 31DEC21-3000-P -1 29OCT21-3000-C +1 29OCT21-3000-P |
A jelly roll, sometimes simply called a roll, is very similar to a box spread in that it has a synthetic long position and a synthetic short position but the two synthetic positions have different expirations. Jelly rolls can be used to get long stock via a synthetic long position which is hedged via a longer-dated short synthetic position or vice versa. The price difference between the two synthetic positions will be greater than in a box spread in order to offset the carrying costs of the stock position between the first expiration and the second expiration. |