Bitcoin
BTC$107,764.36
The multi-billion dollar value option is set to expire at 08:00 UTC on Delibit this Friday, making the $95,000-105,000 range a key zone of potential volatility and directional clues.
The press conference saw a monthly option contract of 93,131 Bitcoin total (valued over $10 billion and settled). Call options represent a bullish bet on the market, while put options provide insurance on price slides. In Deribit, one option contract represents one BTC.
An open interest distribution is like a massive “delta” exposure clustered with a strike of $95,000, $100,000 and $105,000. This means that traders who hold positions on these strikes have a significant net directional risk to the price of Bitcoin.
Gamma, which measures the sensitivity of options to changes in price of BTC, peaks as its expiration date approaches. Therefore, price volatility can cause widespread hedging from both investors and market makers (always on the other side of investors’ trading), further exacerbating price turbulence.
“The biggest delta concentration is Deribit BTC’s May 30th expiration date, with a $2.8 billion delta exposure led by $100,000, $105,000 and $95,000 strikes.
“Any movement can cause aggressive dealer hedging, a vulnerable gamma environment! Expect volatility!” Volmex added.
Monthly option expiration date for BTC: Open interest distribution. (Delibit)
Bitcoin changed its hand to $107,700 for $107,700, according to Coindesk data.
Deribit’s DVOL index, which represents an option-based 30-day implied or expected volatility, continues to decline, suggesting minimal concern for volatility driven by future expiration dates.
Volmex’s annual daily implicit volatility index ticks a slightly higher 45.4%. This means a 24-hour price movement of 2.37%.