The Mechanics of Crypto Options.Built from First Principles.
Repositioning, mispricing and regime shifts, surfaced before price confirms them. Every option on Deribit priced and cohorted every ten minutes, on history we have owned since 2025. Licensed by REST API and Python SDK to trading desks, funds and market makers. MCP access for AI agents is next.
- Built by market practitioners
- Registered EU vendor
- Every formula open to audit
Data & intelligence
Every option repriced every ten minutes, on history we own since 2025.
Backtesting
Strategy testing on that history, options first. Puntá Allen.
Trading strategies
The edge we surface, traded on our own book before anyone else’s.
ATM implied vol by tenor, today against the past month
- Shape
- Contango
- +13.3 pts long minus 7d
- Front end
- -5.8 pts
- against one month ago
Soundings Newsletter, every two weeks
Positioning, never predictions.
The data, and what we compute from it
Cayø Largo reads the Deribit options chain every 10 minutes and computes what the tape does not state: 37 Greeks per contract, a 127-column volatility surface, gamma exposure signed by the taker flow that actually traded, and the activity state of every option. 6 coins, collected since 2025. The formulae are published, not just described.
Priced to clear a single signature, not a procurement cycle. Business accounts only, and every tier includes direct access to the founder rather than a support queue.
Soundings Newsletter, every two weeks
Where the crypto-options market is positioned, every second Tuesday. Positioning, never predictions.
Punta Allen
In designA reactive strategy backtester for crypto derivatives, built on the history Cayø Largo already owns. Options first, with futures and perps for hedging. The nearest comparable tools cover US equities only, run on bought data, and hard-code their strategies.
Everything routes through Halcyon Waters
We read the whole Deribit book every ten minutes. Options, futures, perpetuals and spot go in. One analytical layer comes out, and desks trade on what it shows. Rates, commodities, FX and equities are the context we are building toward, because crypto volatility is never priced in isolation.
Dashed: planned, not yet built
Primary data source
Crypto-derivatives
Supporting events
Equities · FX · Commodities · Rates
Instruments
Options · Futures · Perpetuals · Spot
Halcyon Waters
We read the crypto-derivatives markets deeper than ever
Products
Cayø Largo: Analytics · Research · API · SDK · MCP for AI (next). 26 endpoints across 11 domains · Punta Allen: Options Trading Strategy Backtester. In design
What desks do with it
Vol surface and skew · Gamma and positioning · Hedging and risk · Variance premium · Repositioning and contagion · Backtests and signals
Calm reading of the most chaotic market on earth
Halcyon Waters builds the analytical layer crypto derivatives never had. We read what options reveal, model it with the rigor of a banking quant desk, and turn market noise into structured intelligence that capital can act on.
One conviction drives everything. Crypto's most complex instrument trades on its crudest tools. We exist to close that gap.
The derivatives tail wags the spot dog
Our approach
Most people watch price and volume. The information about where this market is heading lives in the options. In crypto, the derivatives tail wags the spot dog, and we built everything around that.
Options reveal intent
When a fund buys spot, you only learn it is bullish. Its options structures reveal the timeline, the levels it defends, and the capital at risk. We read positioning, not press releases.
Depth over breadth
When everyone analyzes everything, nobody understands anything deeply. We start with Deribit, where most serious crypto-options volume trades, and model its order book in full. Depth on the market that matters most beats a thin read across many.
Derivatives lead spot
Institutional adoption arrives through derivatives first. Precise risk tools come before serious capital, so the flow appears in options positioning before spot. We sit where it becomes visible first.
From observation to execution
The edge we surface for clients, we intend to trade. Proven analytics first, systematic strategies next: the natural arc from seeing inefficiency to capturing it.
Positioning, not predictions
Soundings reads the layer of the crypto-options book that a smooth arbitrage-free surface removes: where dealer gamma sits and flips, what got built and unwound, whether protection is being bid or fading. Every figure is re-pulled live on publication morning.
It describes structure. It carries no price target, no volatility forecast, and no claim that any number predicts the next return.
Issue 01 reads Bitcoin. Free, no account.
Read the latest issue
Pawel Lachowicz, PhD
- Role
- CEO & Founder
- Background
- PhD, astrophysics
- Experience
- 15+ yrs quant finance
- Built
- ORIA · Cayø Largo analytics engine
The out-of-the-box thinker. Trained in research that rewards rigor, he learned markets from the inside, across prop trading, risk, and bank quant desks, then set out to build the analytics those desks never had. Halcyon Waters is the result. He enjoys exploring uncharted territories, sailing, non-trivial conversations, and books that shift a point of view.
LinkedIn