Bitcoin is at a pivotal moment as over $10 billion in BTC options are set to expire on Deribit this Friday at 08:00 UTC. This event is drawing significant attention to the $95,000 to $105,000 price range, a critical zone that could dictate the market's direction in the short term.
Key Points to Watch:
- $10 Billion in Options Expiry: A total of 93,131 bitcoin monthly options contracts are due for settlement, with 53% being calls (bullish bets) and the remainder puts (bearish insurance).
- Delta Exposure Clusters: The $95,000, $100,000, and $105,000 strikes are particularly significant due to high delta exposure, indicating a strong directional risk to Bitcoin's price.
- Gamma Sensitivity: As expiration nears, gamma—measuring options' sensitivity to BTC's price changes—peaks, potentially triggering widespread hedging and increased volatility.
Volmex, a decentralized crypto trading platform, highlighted the potential for gamma-driven flows into month-end, warning that any price move could trigger aggressive dealer hedging, leading to a fragile gamma environment and heightened volatility.
At press time, Bitcoin was trading at $107,700, having recently touched record highs above $111,000. Despite this, Deribit's DVOL index, which measures expected volatility, continues to decline, suggesting minimal immediate concern over the expiry's impact.
Volmex's annualized one-day implied volatility index ticked slightly higher to 45.4%, implying a 24-hour price move of 2.37%. Traders are bracing for potential turbulence as the expiry approaches.
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