Bitcoin is free to explore. Ether's full options desk, every expiry and every strike, refreshed every hour, comes with a plan.
See the plansMembers: open the full versionWhat the options market is pricing in, against what the price really did. Every hour we read every Bitcoin and Ether option listed on Deribit and work out implied and realized volatility, the skew, put/call ratios, the move priced in to each expiry, max pain and an estimate of how dealers hedge.
What's implied volatility? An option's price tells you how much the market expects the coin to swing. That expected swing, as a percent a year, is its implied volatility. Realized volatility is how much the price really did swing.
Why compare them? When implied sits above realized, options are charging more for movement than the market has shown lately. When it sits below, options are cheap next to recent moves.
Each expiry's at-the-money implied volatility, near dates on the left. The orange dot is the 30-day figure; the dashed line is what the price really did.
The 30-day figure at every hourly reading of the past week.
The move priced in, the skew, the put/call ratio and max pain for each expiry. Options expire at 08:00 UTC on their date.
| Expiry | Forward | ATM implied vol | Expected move | Skew (25-delta) | Put/call (OI) | Max pain | Open interest |
|---|
How many puts there are for every call. Above 1 means more puts than calls. The data can't say who bought them and who sold them.
Roughly how many dollars of the coin option dealers would buy or sell to stay hedged for each 1% move. When dealers are long gamma their hedging tends to sell rallies and buy dips, which can calm the price. When they are short gamma it chases the move, which can make it bigger.
Kalshi and Polymarket sell contracts that pay $1 if the price ends above a level by a set time, or touches it before a date. Deribit's options price the same odds. Each row sets the two side by side, read in the same minute.
| Contract | Venue | Buy / sell | Options say | After the fee |
|---|
-
How much the options market expects the price to swing, as a percent a year.
How: each option's own implied volatility from Deribit (its mark IV). At each strike we average the call's and the put's. The at-the-money figure sits at the expiry's forward price, read between the two strikes either side of it.
The same thing for exactly 30 days ahead, so one day compares with the next.
How: blended from the two expiries either side of 30 days, in variance (volatility squared times time), the way the Cboe VIX blends its two expiries.
How much the price really did swing, scaled to a year so it compares with implied.
How: from the Deribit index price we read every hour: the square root of the sum of squared hourly log returns, divided by the time they cover in years.
What options charge for movement over what the market actually delivered.
How: the 30-day implied volatility minus the realized volatility, in volatility points. We use 30 days of realized once we have 30 days of readings, and the past week until then.
How much more an upside call costs than a downside put the same distance away. Below zero, puts cost more and traders are paying for crash protection.
How: the implied volatility of the 25-delta call minus that of the 25-delta put. Deltas come from Black-76 at each option's own implied volatility and the expiry's forward. We read the volatility at exactly 25 delta between the two strikes either side. Out-of-the-money options only.
How many puts there are for each call, by contracts open and by contracts traded in the last 24 hours.
How: puts divided by calls, as Deribit reports them. One option is one coin.
The range the price ends inside by that expiry roughly two times in three, if the options are priced right.
How: forward price times at-the-money implied volatility times the square root of the time left in years. One standard deviation, up or down.
The settlement price at which that expiry's options would pay their holders the least.
How: at each listed strike we add up what every call and put of the expiry would be worth at settlement, times its open interest, and take the strike where the total is smallest.
Roughly how much the dealers on the other side of these options must trade to stay hedged as the price moves.
How: every trade on Deribit names the side that crossed the spread. We add those trades up for each option since it listed. The side that posted the quote is the dealer and holds the opposite, never more than the option's open interest. Then Black-76 gamma times that position times the forward price squared times 1%. If our trade record fails its hourly checks, this section is held back. We never guess in its place.
What a Kalshi or Polymarket contract costs, next to the chance Deribit's options give the same event.
How: for “above a level” we take how fast a call's price falls as its strike rises, on each expiry's smile, read between the two expiries either side of the contract's close. That is the options' own chance, skew included. For “reaches” and “dips to” we use the textbook chance that a price touches a level before a date, at that level's implied volatility (est.). A row is marked when the betting price, after the venue's fee on 100 contracts and its own buy or sell price, sits 3 points or more from the options.
The price where dealer gamma changes sign, from calming the market to feeding its moves.
How: we move the index up and down, shift every forward with it, keep each option's implied volatility as it is, and find where the total crosses zero nearest the index, within 30% of it.
Deribit's public data, read every hour.
These are Deribit's options only. Options on other exchanges are not in these numbers, so open interest, put/call and dealer gamma describe Deribit's book, not the whole market.
Deribit names the side that crossed the spread on every trade, and we count the side that posted the quote as the dealer. Most quotes on Deribit come from market makers, but a fund can post quotes too, so read any single strike with care.
Kalshi settles on CF Benchmarks' Bitcoin and Ether indexes (the 60 seconds before the close), Polymarket on Binance's one-minute candles, Deribit on its own index. They sit close together but not on the same number, so a contract right at the price can disagree for that reason alone.
Implied volatility, open interest and dealer positions move all day. Read the time of the chain at the top of the page. Max pain and the gamma flip are not targets, and nothing makes the price end there.