This Friday at 08:00 UTC, Bitcoin (BTC) options worth billions of dollars are set to expire on Deribit, marking a significant opportunity for traders as the $95,000 to $105,000 range evolves into a pivotal zone for potential volatility and directional cues.
As of the latest update, a total of 93,131 bitcoin monthly options contracts, valued at over $10 billion, are on the cusp of settlement. Notably, these contracts comprise 53% calls, indicative of bullish market sentiment, while the remaining 47% are puts, serving as a form of insurance against downward price movement. On the Deribit exchange, one options contract is equivalent to one BTC.
The current open interest distribution reveals a substantial cluster of ‘delta’ exposure concentrated at the $95,000, $100,000, and $105,000 strikes. This clustering signifies that traders maintaining positions at these strikes are exposed to considerable directional risk in relation to Bitcoin’s price fluctuations.
As the expiration draws closer, gamma—the measure of options sensitivity to changes in BTC’s price—is expected to peak. This increase in gamma sensitivity could catalyze widespread hedging strategies from both investors and market makers, who typically position themselves opposite to investor trades, thereby amplifying price turbulence.
According to the decentralized crypto trading platform Volmex, the largest delta concentration is found in Deribit’s BTC options expiring on May 30, with a delta exposure exceeding $2.8 billion concentrated around the $100,000, $105,000, and $95,000 strikes. This situation harbors potential for strong gamma-driven flows as the month draws to a close.
Volmex elaborated, “Any move can trigger aggressive dealer hedging; it’s a fragile gamma environment! Expect volatility!” This commentary underscores the caution traders should adopt as they navigate the unpredictable landscape leading up to the options expiry.
Currently, Bitcoin is trading at $107,700, having recently reached unprecedented heights above $111,000, as reported by CoinDesk data. In terms of volatility metrics, Deribit’s DVOL index, which reflects the options-based 30-day implied or expected volatility, has maintained a downward trend, indicating minimal apprehension surrounding volatility due to the imminent expiry.
Conversely, Volmex’s annualized one-day implied volatility index increased slightly to 45.4%, suggesting a projected 24-hour price movement of approximately 2.37%. As such, traders are advised to stay vigilant and ready to respond as these developments unfold.
