Deribit Options Expiry Fails to Complete Predicted Reversal Trend
A recent Deribit options expiry showed an interesting pattern that resembles a reversal trend documented in a peer-reviewed study. However, it did not complete the reversal as predicted by the research.
The $2.24 billion Friday options expiry had a delivery price of $77,234 set by Deribit's settlement rules. The exchange's Bitcoin index from 07:30 to 08:00 UTC was used to calculate this price.
According to the study, which examined 1,059 Deribit expiry days from January 2021 through December 2023, there is a statistically significant tendency for Bitcoin to fall in the hour before expiry and reverse during the following two hours when at-the-money open interest ranks in the sample's top decile.
However, this pattern did not seem to play out on September 11. The authors of the study used a reconstructed cumulative gamma proxy to estimate market-maker positioning from contract trading history and assumptions about which side initiated each trade. In this case, the negative cumulative gamma proxy was not seen near spot.