Net buying pressure and the information in bitcoin option trades

【Author】 Alexander, Carol; Deng, Jun; Feng, Jianfen; Wan, Huning

【Source】JOURNAL OF FINANCIAL MARKETS

【影响因子】3.095

【Abstract】Bitcoin prices are driven by upward as well as downward jumps and so the bitcoin implied volatility surface behaves differently from those of established options markets. We analyze tick-level Deribit option price data, demonstrating increasing support for the limits-to-arbitrage hypothesis. Hence market makers are managing order imbalance and inventory more effectively as Deribit bitcoin options trading volumes increases. On the demand side, volatility traders drive both at-the-money and out-of-the-money option prices, the latter also being driven by directional traders. Directional effects were most pronounced during the price bubble of 2021. Further refinements of our tests assess time-to-maturity and time-of-day effects.

【Keywords】Deribit options; Sophisticated traders; Market makers; Volatility information; Directional information

【发表时间】2023 MAR

【收录时间】2023-06-16

【文献类型】实验仿真

【主题类别】

区块链治理-市场治理-市场分析