Cayø Largo

Research

Crypto-Derivatives Analysis. Methodology. Options Market Commentary.

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
Volatility AnalysisJun 11, 2026Intermediate

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
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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 Exposure Heatmaps for Crypto: Charm, Gamma and Vanna

Dealer Greek exposure heatmaps look simple and aren't. The full build for crypto options on Deribit: the charm, gamma and vanna maths and the order-flow sign.

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

Inside the Gamma Wall: How Lightning Greek Finds the Cracks

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. A beginner's guide.

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

The Parabola in Crypto-Greeks: Speed/Gamma vs Veta/Vega

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

Variance Risk Premium: Are Options Overpriced or Cheap?

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
Deribit options dashboard showing why knowing your Greeks is not enough for live crypto trading
May 20, 2026Options Trading

Why Knowing Your Greeks Won't Save You on Deribit

You learned Delta, Gamma, Theta. You can explain Black-Scholes over coffee. Then you open Deribit's options page and none of it helps. Here's why options theory breaks down on a live screen.

Options GreeksCryptoDeribit