Bitcoin reverses briefly after $2.24 billion Deribit options expiry, then slips

  • Bitcoin fell into Deribit’s Sept. 11 expiry, rebounded, then surrendered the move.
  • $2.24 billion of Bitcoin options expired, including $1.40 billion calls and $844 million puts.
  • The Finance Research Letters study covered 1,059 Deribit expiry days from January 2021 through December 2023.

Bitcoin declined into Deribit’s Sept. 11 options expiry, rebounded during the first hour after settlement and then gave back the gain before the two-hour post-expiry window ended. The move only partly matched a pattern identified in a peer-reviewed Finance Research Letters study, which found that Bitcoin tends to fall before expiry and reverse afterward when at-the-money open interest ranks in the sample’s top decile. The study’s strongest negative-gamma condition was not corroborated by three model-based dashboards, while public data could not establish the required open-interest ranking. The expiring options were valued at about $2.24 billion, with roughly $1.40 billion in calls and $844 million in puts. Deribit’s official delivery price was $77,234, and Bitcoin later fell as low as $76,000 before recovering toward $77,500 as of press time.

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