Bitcoin Fails to Follow Study-Predicted Reversal Amid $2.24 Billion Options Expiry

A recent study on Deribit's Bitcoin options expiry found that the cryptocurrency tends to fall in the hour before expiry and reverse during the following two hours when at-the-money open interest is high. However, this pattern did not play out on Friday, September 11th, as Bitcoin declined 0.16% to 0.18% across three venues in the hour before Deribit's 08:00 UTC expiry.

The options expiry was valued at $2.24 billion, with calls and puts making up roughly $1.40 billion and $844 million respectively. The delivery price for the options was set at $77,234 based on a 30-minute time-weighted average of Deribit's Bitcoin index from 07:30 to 08:00 UTC.

Bitcoin did experience a rebound during the first hour after settlement, gaining around 0.19% to 0.21%, but this move was short-lived and the cryptocurrency ultimately ended slightly below its expiry-time level on all three venues.