Vol down, Gamma up. $3.5 Billion BTC Options Delta on May 30 expiries! Big expiry this Friday!

BTC = $109,900.0 | BVIV = 47.38 | IBIT: $62.50 | Total OI = $54.30B | Total Delta = $12.60B

→ BTC options expiring this Friday (May 30) carry $3.5B in delta across Deribit BTC and IBIT options.
→ Top strikes are $95K, $100K and $105K, right near spot.
→ Any move can trigger aggressive dealer hedging, fragile gamma environment! Expect volatility!

BTC Options Market Update (as of May 27, 2025 4:00 PM EDT)

Volatility Snapshot:
→ BVIV: 47.38
→ IBIT model-free IV: 48.39
→ BTC ETFs IV range: 48.39 to 57.56

Crypto-native BVIV is less than ETF implied volatilities (model-free) which range from 48.63 to 57.56. The volatility smile shows IBIT options pricing consistently higher Black-Scholes IVs than Deribit BTC options at nearly all moneyness levels.

Open Interest (OI) and Delta Exposure: The total BTC options market continues to expand, with IBIT maintaining a 39.5% OI share relative to Deribit BTC options.
→ Deribit BTC: $38.04B OI | $8.00B Delta
→ IBIT: $15.01B OI | $4.15B Delta
→ Total (incl. all ETFs): $54.28B OI | $12.60B Delta

Top Delta Expiries (>$1B exposure): The largest delta concentration is in Deribit BTC’s May 30 expiry, with $2.8B delta exposure led by strikes at $100K, $105K, and $95K which has a potential for strong gamma-driven flows into month-end.
→ Deribit BTC – May 30, 2025: $2.80B
→ Deribit BTC – Jun 27, 2025: $2.06B
→ IBIT – Jun 25, 2025: $1.31B
→ Deribit BTC – Sep 26, 2025: $1.08B

Put/Call OI Ratios: Positioning in notional terms is skewed toward calls, especially in ETFs.
→ Deribit BTC: 60.00%
→ IBIT: 53.00%

Average Deltas: TradFi delta exposure remains elevated and directional, reflected in IBIT’s high average delta.
→ Deribit BTC: 21.02
→ IBIT: 27.67
→ Overall (incl. all ETFs): 23.21

OI-weighted Metrics: Strikes remain above spot for Deribit BTC, while IBIT’s avg strike still lags BTC’s current price ($109,892), indicating continued demand for downside hedges.
→ Avg Strike (BTC-equivalent): Deribit BTC: $116,917 | IBIT: $104,834
→ Avg Expiry: Deribit BTC: Jul 21, 2025 | IBIT: Jul 13, 2025
<img src="https://static.sosovalue.com/sosovalue/2025/05/28/ab894622-1761-47b7-b980-feeccc30d295.jpg"/>


BTC Options Market Update – May 13, 2025 (11:00 am ET)

BTC options data shows several notable shifts in TradFi positioning. The average strike on IBIT options has now fallen below the spot BTC price, signaling increased demand for downside protection, though the total option delta has almost reached $10B. After trending longer-dated, IBIT options have also reversed course, shifting back toward shorter maturities. Meanwhile, BVIV (the benchmark for BTC implied volatility) has dropped below 50, suggesting a cooling in volatility following the price fluctuations seen recently.

Prices & Volatility:
→ Spot BTC: $103,209.83
→ IBIT: $58.63
→ BVIV (BTC Implied Volatility): 47.02

Total Open Interest (OI): Total OI remains above $40B after the initial spike in April. IBIT-to-Deribit BTC OI is around 44%.
→ Deribit BTC: $30.0B
→ IBIT: $13.3B
→ Total OI (including other BTC ETF options): $44.3B

Total Delta Exposure: Total delta is almost $10B, thanks to the momentum on the call options sold!
→ Deribit BTC: $5.7B
→ IBIT: $3.5B
→ Total Delta (including other BTC ETF options): $9.6B

OI-Weighted Avg Delta: TradFi flows are more directional than crypto-native positioning.
→ Deribit BTC: 18.97
→ IBIT: 26.42
→ Overall (including other BTC ETF options): 21.62

Top Delta Expiries (> $1B exposure): Large delta expiries are approaching. This concentrated delta raises the risk of sharp hedging flows.
→ IBIT – May 16, 2025: $1.2B
→ Deribit BTC – May 30, 2025: $1.8B
→ Deribit BTC – June 27, 2025: $1.5B

OI-Weighted Avg Strike (BTC-equivalent): TradFi is pricing a higher probability of downside and actively hedging it. IBIT’s avg. strike is below spot BTC!
→ Deribit BTC: $114,618
→ IBIT: $99,383

OI-Weighted Avg Expiry: TradFi positioning has flipped shorter-dated, opposite the previous trend.
→ Deribit BTC: Jul 17, 2025
→ IBIT: Jun 21, 2025

Vol Smile:
IBIT ETF implied volatility sits a touch below that of Deribit, yet IBIT’s deep OTM puts command a clear premium while calls are priced relatively evenly across both markets. TradFi desks appear to be keeping their downside hedges active despite headline volatility tempering.

TLDR:
IBIT now represents a sizable chunk of open interest and an even larger share of market delta, most of it in near-term maturities. Average strikes have dipped under spot, confirming a defensive tilt. With several hefty expiries lined up through late June, any sharp move in spot could ignite quick hedge flows and wake volatility back up.