Cayø Largo

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Crypto-Derivatives Analysis. Methodology. Options Market Commentary.

Options Trading Strategies

Strategies taught from the basics and tested on Deribit data.

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Field NoteSep 28, 2026Intermediate

Does Volatility Rise After a Deribit Options Expiry?

Once an options expiry settles, the belief goes that the dealer hedging falls away and crypto starts moving more. We measured 1,224 Deribit settlements on its six coins over the last 7 months. Crypto moves more after the 08:00 UTC settlement; on Fridays, by the same amount however much of the book expires. The settlement hour explains why.

ExpiryGamma ExposureRealized Volatility

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Sep 23, 2026Field Note

When To Sell Crypto Volatility: Before Or After It Drops?

One September week brought two timing rules for crypto options: Thalex said buy volatility on Saturday mornings, others postulated to sell it only after it has dropped. On twelve months of Deribit data, Saturday buying saves very little. Selling into rising volatility lost 33.7 volatility points or more on one sale in ten; waiting for it to fall cut that to 6.1 volatility points.

Implied VolatilityIV vs RVVariance Risk Premium

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Sep 22, 2026Field Note

Block Trades Are Half of Bitcoin Options Volume on Deribit

Open Deribit's order book for a Bitcoin option three months out and it looks almost empty. Every desk reading that screen draws the same conclusion: crypto options are thin, keep the size small. They are reading half the market. We sorted 2,966,546 trades by how each one was done and on Bitcoin the half that never touches the screen is 46.9% of the notional. Paradigm, which arranges most of that flow and its own venue Paradex both publish counts of it and both land on ours. Here is where the rest hides, what it costs and why it breaks the numbers you compute from the tape.

Market StructureOrder FlowLiquidity

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Sep 21, 2026Field Note

Front-Week Skew Does Not Lead Longer Expiries On Deribit

Four of six Deribit books opened this morning with front-week skew priced further above the longer expiries than on 91% of days since January. Desks act on readings like that. We tracked both legs forward from all 490 occasions the gap ran wide, six coins over 251 days, reading the nearest weeklies against the two-to-three-week expiries. Then we asked which side closes it: do the longer expiries catch up to the front week, or does the front week come back? The front week comes back. It does so inside two days, on more than four in five episodes, while the longer book barely moves. Deribit's own listing calendar does not explain it.

SkewVolatility SurfaceTerm Structure

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Sep 19, 2026Field Note

Does Max Pain Work for Deribit Options?

Traders have argued about max pain for six years without measuring it. We took 919 Deribit options expiries across six coins and read the max pain strike six hours before each settlement. Then we asked a simple question: did the coin settle nearer to that strike, or nearer to the price it was already trading at when we read it? It settled nearer to the trading price, on every coin. Max pain pulls price a little, one day before expiry. By the last hours the pull is gone.

Options PositioningMarket StructureGamma Exposure

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Sep 18, 2026Field Note

Every Crypto Front Implied Volatility Crashed Together

Traders read a front-week vol crash as the market pricing danger passed. On 2026-09-17 six coins crashed inside their own bottom 5% while realised ran hot.

Term StructureImplied VolatilityMarket Structure

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Sep 16, 2026Field Note

When Is The Crypto Front Week Actually Cheap?

Across 1,396 crypto coin-days the front week was worth its price 31.2% of the time and the curve barely moved it: 28.8% inverted, 34.5% in contango.

Term StructureImplied VolatilityIV vs RV

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Sep 14, 2026Field Note

Deribit Options Execution Slippage: The Exit Costs More

We measured 469,000 Deribit option trades over six months: the buyer fills at mark, the seller gives up 1.4% to 2.9% and the quoted spread predicts neither.

Market MicrostructureExecutionCrypto Options

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Sep 11, 2026Field Note

Tail Body Ratio: A Different Signal At Every Tenor

Cayø Largo's tail body ratio calls 82.6% of two-month cycles a tail event and 9.7% of front weeks. One threshold, four different distributions.

SkewVolatility SurfaceTail Risk

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Sep 10, 2026Field Note

Which Expiry's Gamma Regime Are You Reading?

At Deribit's daily expiry roll, 90.9% of the changes in BTC's headline gamma regime are the pointer moving to a new contract, not the option book repositioning.

GEXGammaExpiry

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Sep 9, 2026Field Note

How Noisy Is the 25-Delta Risk Reversal?

BTC's front-week 25-delta risk reversal moves 2.07 volatility points every ten minutes and travels only a third of the expected distance across a day.

SkewVolatility SurfaceMarket Microstructure

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Sep 8, 2026Field Note

How Long Does Crypto Backwardation Last?

Across 4,712 inversion episodes on six coins, 67.1% of crypto term-structure backwardations were finished inside one hour and 0.81% lasted a full day.

Term StructureImplied VolatilityMarket Structure

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Sep 3, 2026Field Note

Crypto Put Skew vs Volatility Level: Reading the Gap

Implied volatility fell on all six coins overnight and put skew did not follow. On five of six, skew now ranks higher than the volatility level itself.

VolatilityOptions PositioningMarket Structure

Sep 2, 2026Field Note

The Crypto Leverage Effect, Measured Coin By Coin

The crypto leverage effect holds on Bitcoin 72.2% of the time and on XRP 55.8%. Six months of implied volatility measured against price, coin by coin.

VolatilityMarket StructureMethodology

BTC options repositioning heatmap, open-interest-weighted exposure by hour with the VommaEX row highlighted, next to the Vomma z-score strip holding above four sigma during hours when the repositioning channel stayed flat

Jul 15, 2026Research Note

What a Greek Z-Score Misses About Options Positioning

A Greek panel can tell you the level of exposure and whether the surface is in an unusual state. Neither answers what anyone traded. This is the maths of a third view, an open-interest-weighted repositioning channel that measures trading and stays silent when nobody trades.

GreeksOptions PositioningMarket Structure

Deep-OTM ETH implied volatility, the IV momentum surface flickering red and blue at the 3000 strike above a calm liquidity-weighted IV smile over the same 72 hours, showing IV momentum as microstructure noise rather than real vol repricing on Deribit options data

Jul 7, 2026Research Note

Why Deep-OTM IV Momentum Is Noise, Not Signal

A stable IV smile but wild IV momentum at deep-OTM strikes. Why thin-strike microstructure is noise, not repricing, shown live on Deribit multi-coin data.

Implied VolatilityMarket StructureVolatility Surface

BTC options charm heatmap on Deribit, charm-weighted volume (delta decay) across strike and calendar time, a bright ridge that leads each 08:00 UTC settlement and sweeps down onto the expiry line as spot falls

Jul 6, 2026Research Note

Why BTC Delta Decays Fastest at Expiry: The Charm Ridge

Charm, the delta-decay Greek, blows up at the money as expiry nears. On Deribit it prints a bright ridge that sweeps onto every BTC 08:00 settlement.

GreeksCharmMarket Structure

BTC IV Footprint heatmap on Deribit, traded implied volatility across strike and calendar time, a bright bow-shaped front flaring at the wings ahead of each daily 08:00 settlement

Jun 11, 2026Volatility Analysis

Why Crypto IV Spikes Before Expiry: The Bow Shock

Why does crypto implied volatility spike before expiry? An IV Footprint heatmap shows a bow-shaped front flaring at the wings before each Deribit settlement.

VolatilityMarket StructureDerivatives

BTC Charm exposure projection heatmap on Deribit: dealer hedge flow across price and forward time, blue and red bands keyed to the nearest 08:00 settlement

May 30, 2026Methodology

Dealer Greek Exposure: GEX, Charm and Vanna, With the Maths

How dealer gamma exposure (GEX), charm and vanna are actually built, formula by formula and how the order-flow sign is set. Computed on live Deribit options data.

GreeksMethodologyDerivatives

$Greek Exposure Surface heatmap comparing Dual Gamma and Lightning Greek across ETH strike prices on Deribit, showing pinning field structure and fracture points$

May 27, 2026Guide

Where the ETH Gamma Wall Cracks: Finding the Breakout Strike

You open the Dual Gamma heatmap for ETH and see a thick wall at $2,100. Impenetrable. Switch to Lightning and the wall shows where it cracks.

GreeksGuideDerivatives

Cross-Order Ratios chart showing 2nd/1st, 3rd/2nd and 4th/3rd order Greek ratios for BTC ATM options on Deribit

May 26, 2026Guide

The 37-Greek Compression: Options Surface in Three Lines

37 Greeks compressed into three lines. White shows non-linearity. Gold flags pre-event tension. Red fires during structural stress. The ratios, the maths behind them and how to read the surface off a single panel.

GreeksGuideDerivatives

37 options Greeks heatmap showing fourth-order Gammega reaching +3.5 sigma while Gamma exposure explodes in the BTC ATM 8-30d cohort on Deribit, May 2026

May 25, 2026Research Note

Gammega at +3.5σ: When Spot and IV Pull Apart

BTC Gammega hit +3.5σ over 30 hours as spot rallied and IV fell. Fourth-order stress invisible to standard dashboards. Gamma exploded 30 hours later.

GreeksResearch NoteDerivatives

Speed/Gamma vs Veta/Vega scatter plot showing the quadratic Greek identity across BTC, ETH, SOL, XRP, AVAX and TRX options on Deribit

May 23, 2026Research Note

Why Hedging Gamma and Vega Separately Overhedges Your Book

Speed/Gamma and Veta/Vega trace a parabola under Black-Scholes. Gamma curvature and vega decay are coupled. Hedging them independently means over-hedging.

GreeksResearch NoteDerivatives

AVAX implied volatility vs realized volatility chart showing IV below RV with VRP at 100th percentile on Deribit

May 22, 2026Volatility Analysis

Crypto Variance Risk Premium: Live IV vs RV on Six Coins

How to read IV vs RV charts and the variance risk premium to figure out whether crypto options are overpriced, underpriced, or fairly valued. Live AVAX example from Deribit.

VolatilityAVAXVRP

BTC gamma exposure chart showing negative GEX concentration at the 76000 dollar strike before May 22 expiry on Deribit

May 21, 2026GEX Analysis

How to Read Gamma Exposure: Bitcoin GEX Live Case Study

BTC trades at $77,140 with $51 million in put open interest stacked at $76,000 and the gamma regime deep in negative territory. Expiry is 16 hours away. Here's how to read every chart on the GEX Landscape page and what each one tells you about what happens next.

GEXBitcoinCase Study