Bitcoin Options Worth $10 Billion Set to Expire This Friday

Bitcoin options worth over $10 billion are expiring on Deribit this Friday at 08:00 UTC. Key points include:

93,131 Bitcoin monthly options contracts are due for settlement.
53% of these contracts are calls; 47% are puts.
Delta exposure is high around the $95,000, $100,000, and $105,000 strike prices.
Gamma sensitivity will peak as expiration approaches, likely increasing price volatility.
Volmex reports a significant delta concentration at strikes of $100K, $105K, and $95K.
Price movements could trigger aggressive hedging from market makers.

BTC's monthly options expiry: Distribution of open interest. (Deribit)

As of now, Bitcoin is priced at $107,700, following record highs above $111,000 last week. Deribit's DVOL index shows declining implied volatility, indicating minimal concern over the upcoming expiry. Volmex's annualized one-day implied volatility index is at 45.4%, suggesting a potential 24-hour price move of 2.37%.