Deribit foresees $15 billion worth of cryptocurrency options set to expire this week.
Deribit, the crypto options exchange, is on track to have a groundbreaking week as more than $15 billion worth of options for Bitcoin and Ethereum are set to expire. This is a historic event for Deribit, as it will witness one of the largest expirations of options contracts on the platform.
Out of the $26.3 billion in Bitcoin options open interest and $13.2 billion in Ethereum options open interest, $9.5 billion and $5.7 billion, respectively, will be expiring. These amounts account for 40% and 43% of the total open interest for each cryptocurrency.
The expiration of these options contracts is influenced by the current market conditions. At a price level of $70,000, $3.9 billion worth of Bitcoin options will expire in the money, and $2.6 billion worth of Ethereum options will do the same.
These figures are significantly higher than usual, mainly due to the recent price rally in both cryptocurrencies. As a result, there is expected to be upward pressure and volatility on the underlying assets. The higher in-the-money expiries and the diminishing impact of lower max pain levels contribute to this expectation.
Deribit also analyzes the volatility aspect of the market and notes a contango in the volatility surface for both Bitcoin and Ethereum. The current implied volatility levels for options expiring on March 29 are 63% and 67%, respectively. Market participants do not anticipate significant price fluctuations until expiration, with expectations of reaching a healthier 80% further along the curve.
In addition to the options expiring, approximately $695 million worth of BTC and ETH futures will also expire. This includes $465 million in BTC March Futures and $230 million in the March ETH futures.
Deribit further highlights the current open interest in its dated futures, which stands at $1.9 billion. This is the highest open interest number in any crypto market and is driven by an annualized basis of about 15% – 20%. The significant returns generated by these futures have sparked considerable anticipation for substantial trading activity around the expiration period.
