Bitcoin Options Point to Quiet CPI Week, Puts at $76K-$80K

Data from crypto options exchange Deribit showed 15,502 bitcoin in open options for the Oct. 16 settlement in an Oct. 12 snapshot. The contracts included 9,128 BTC in puts and 6,373 BTC in calls, producing a put-to-call ratio of 1.43. Total underlying notional value was about $1.29 billion.

The largest put position was at the $80,000 strike, with about $188 million in notional exposure. The $78,000 strike accounted for roughly $162 million, while the $76,000 strike represented about $101 million. Together, the three strikes made up nearly 35% of the options expiring Friday.

Bitcoin was priced near $83,450 in the snapshot after falling toward $80,000 during the previous week’s selloff. Another $89 million in put exposure was positioned at $83,000, close to the market price. Deribit’s maximum-pain level, where the combined intrinsic value of outstanding options would be lowest at settlement, was also $83,000.

Call exposure was spread across higher strikes. About $55 million was positioned at $85,000, $70 million at $87,000 and $94 million at $90,000. The three strikes represented about $219 million in combined notional exposure. Bitcoin would need to rise nearly 8% from the snapshot price to reach $90,000.

Short-term volatility pricing declined before the CPI report. Derivatives data provider Laevitas reported that seven-day at-the-money implied volatility fell to 32.01% on Oct. 12 from about 34.5% a week earlier. Thirty-day volatility was 34.66%, while 90-day and 180-day volatility stood at 37.29% and 38.24%, respectively.

At the snapshot price, the seven-day volatility estimate implied a one-standard-deviation move of about 4.4%, or roughly $3,700. The modeled range was approximately $79,750 to $87,150, covering the $80,000 put strike but not the $90,000 call strike.

Laevitas reported that seven-day 25-delta options skew shifted from positive 1.98 to negative 2.40 over the previous week. Puts remained cheaper relative to calls than their 52-week median.

The CPI report is scheduled for Wednesday, Oct. 14, at 8:30 a.m. Eastern time. Producer-price and retail-sales data are due Thursday, Oct. 15. September headline inflation is expected to rise to about 3.7% annually from 3.4% in August, while monthly core inflation is forecast at 0.2%.

Laevitas data indicated that October interest-rate hike pricing was close to zero, while December contracts implied about an 85% probability of an increase. Higher-than-expected inflation could pressure Bitcoin near the $78,000-$80,000 put strikes, while a softer reading could support prices near the higher call strikes.

Bitcoin perpetual-futures open interest fell 1.9% over the previous week to about $29.33 billion. Annualized funding rates were 5.6%. Later-dated options remained concentrated on the upside, with the Oct. 30 expiry carrying about $4.54 billion in call notional exposure across the $90,000, $95,000 and $100,000 strikes.