l2:options

Full-depth L2 orderbook for options instruments. Event-driven — published on every book change with incremental deltas and periodic full snapshots.

Channel: l2:options:{pair}:{maturity} Example: l2:options:ETH_USDC:31OCT25

All instruments in a maturity publish to the same channel with instrument, strike, option_type, and msg_type tags for server-side filtering.

Snapshot payload

Sent on subscribe, periodically (every 20 deltas or 10 seconds), and on reconnect recovery.

{
  "type": "snapshot",
  "seq": 42,
  "timestamp": 1704067200000,
  "bids": [
    ["0.05", "10", 3, "0.62"],
    ["0.04", "5", 1, "0.58"]
  ],
  "asks": [
    ["0.07", "8", 2, "0.68"],
    ["0.08", "4", 1, "0.72"]
  ],
  "mark_price": "0.06",
  "mark_iv": "0.65",
  "greeks": {
    "delta": 0.45,
    "gamma": 0.0012,
    "vega": 0.15,
    "theta": -0.03,
    "rho": 0.002
  },
  "iv_bid": "0.62",
  "iv_ask": "0.68"
}

Field	Type	Description
`type`	string	Always `"snapshot"`
`seq`	integer	Monotonically increasing sequence number
`timestamp`	integer	Unix timestamp in milliseconds
`bids`	array	Bid levels, best (highest) first
`asks`	array	Ask levels, best (lowest) first
`mark_price`	string	Mark price from IV blend (omitted if unavailable)
`mark_iv`	string	Mark implied volatility (omitted if unavailable)
`greeks`	object	Option Greeks: `delta`, `gamma`, `vega`, `theta`, `rho` as numbers (omitted if unavailable)
`iv_bid`	string	Size-weighted IV at best bid (omitted if unavailable)
`iv_ask`	string	Size-weighted IV at best ask (omitted if unavailable)

Level array elements:

Index	Type	Description
0	string	Price
1	string	Contracts
2	integer	Number of orders at this level
3	string	Implied volatility at this price level

Each price level includes its own implied volatility — see the vol book directly alongside price and size.

Delta payload

Incremental updates between snapshots. Only changed levels are sent.

{
  "type": "delta",
  "seq": 43,
  "prev_seq": 42,
  "timestamp": 1704067200100,
  "bids": [
    ["new", "0.045", "7", 2, "0.60"],
    ["change", "0.05", "12", 4, "0.62"],
    ["delete", "0.04"]
  ],
  "asks": [],
  "mark_price": "0.06",
  "mark_iv": "0.65",
  "greeks": {
    "delta": 0.45,
    "gamma": 0.0012,
    "vega": 0.15,
    "theta": -0.03,
    "rho": 0.002
  }
}

Field	Type	Description
`type`	string	Always `"delta"`
`seq`	integer	Sequence number for this delta
`prev_seq`	integer	Expected previous sequence number (for gap detection)
`timestamp`	integer	Unix timestamp in milliseconds
`bids`	array	Bid level changes
`asks`	array	Ask level changes
`mark_price`	string	Mark price (omitted if unavailable)
`mark_iv`	string	Mark implied volatility (omitted if unavailable)
`greeks`	object	Option Greeks: `delta`, `gamma`, `vega`, `theta`, `rho` as numbers (omitted if unavailable)
`iv_bid`	string	Size-weighted IV at best bid (omitted if unavailable)
`iv_ask`	string	Size-weighted IV at best ask (omitted if unavailable)

Delta level formats:

Action	Format	Description
New	`["new", price, contracts, order_count(int), iv]`	New price level added
Change	`["change", price, contracts, order_count(int), iv]`	Existing level updated
Delete	`["delete", price]`	Price level removed

Gap detection and recovery

Clients track seq and verify prev_seq on each delta:

let lastSeq = 0;

sub.on("publication", (ctx) => {
  const data = /* decode */;

  if (data.type === "snapshot") {
    lastSeq = data.seq;
    // Replace local book state
    return;
  }

  if (data.type === "delta") {
    if (data.prev_seq !== lastSeq) {
      // Gap detected — re-subscribe to get fresh snapshot
      sub.unsubscribe();
      sub.subscribe();
      return;
    }
    lastSeq = data.seq;
    // Apply delta to local book state
  }
});

The publisher forces a full snapshot every 20 deltas or 10 seconds, serving as recovery anchors.

Payload Format

Every message includes the instrument field identifying which instrument the snapshot or delta belongs to:

{
  "instrument": "ETH_USDC-31OCT25-130000-C",
  "type": "snapshot",
  "seq": 42,
  ...
}

Tag Filtering

Publications carry instrument, strike, option_type, and msg_type tags.

Tag	Example	Description
`instrument`	`ETH_USDC-31OCT25-130000-C`	Filter by exact instrument
`strike`	`130000`	Filter by strike price
`option_type`	`C` or `P`	Filter by calls or puts
`msg_type`	`snapshot` or `delta`	Filter by message type (e.g. snapshots only)

Subscribe — Protobuf SDK

All instruments in a maturity

import { Centrifuge } from "centrifuge/build/protobuf";

const client = new Centrifuge("wss://staging.kyan.sh/stream/websocket?format=protobuf");
const sub = client.newSubscription("l2:options:ETH_USDC:31OCT25", { since: {} });

sub.on("publication", (ctx) => {
  const data = ctx.data instanceof Uint8Array
    ? JSON.parse(new TextDecoder().decode(ctx.data))
    : ctx.data;

  const { instrument, type, seq, bids, asks } = data;
  // Handle snapshot/delta per instrument
});

sub.subscribe();
client.connect();

Filtered: specific instrument

const sub = client.newSubscription("l2:options:ETH_USDC:31OCT25", {
  since: {},
  tagsFilter: { key: "instrument", cmp: "eq", val: "ETH_USDC-31OCT25-130000-C" }
});

Filtered: snapshots only (skip deltas)

const sub = client.newSubscription("l2:options:ETH_USDC:31OCT25", {
  since: {},
  tagsFilter: { key: "msg_type", cmp: "eq", val: "snapshot" }
});

Recovery

Subscribe with since: {} to receive the last known update on subscribe. On reconnect, the SDK automatically recovers. If the received message is a delta and a gap is detected, re-subscribe to trigger a fresh snapshot (every 20 deltas or 10 seconds).

Related channels

Channels providing related data.

Channel	Why
Index Price	Underlying spot price. Needed to convert price levels to moneyness.
SVI Surface	Vol surface parameters. Each L2 level includes per-level IV; SVI provides the fitted surface for the same maturity.
Interest Rate	Risk-free rate. Needed alongside index price to compute the forward price.
Options BBO	Top-of-book summary with pre-computed Greeks, edge, and spread derived from this depth data.
Perps L2	Perps orderbook depth for the same underlying.
Funding Rate	Funding rate on the perps instrument for the same underlying.
Order Lifecycle	Your order state, fills, and cancellations.
Trades (Options)	Public options trade tape showing executions against this book.