Deribit $2.24B Bitcoin options expiry nudges BTC to $76k

Deribit’s $2.24 billion Bitcoin options expiry on Sept. 11 pushed Bitcoin into the exchange’s 08:00 UTC settlement window, produced a short rebound in the hour after settlement and left spot trading near $76,000 by European afternoon trading.

A PerpFinder snapshot at 06:40 UTC showed roughly $2.24 billion of options expiring on Deribit, split into about $1.40 billion of calls and $844 million of puts. Deribit set the official delivery price at $77,234, calculated as a 30-minute time-weighted average of its Bitcoin index from 07:30 to 08:00 UTC, sampled every four seconds. Bitcoin traded as low as $76,000 during that window and recovered toward about $77,500 by press time.

Price behavior around the expiry was visible across venues. From 07:00 to 08:00 UTC, Bitcoin fell about 0.16%–0.18% on Deribit’s BTC perpetual, Coinbase spot and Kraken spot. The asset then rose roughly 0.19%–0.21% by 09:00 UTC. The gains faded: between 08:00 and 10:00 UTC the Deribit perpetual slipped 0.014%, Coinbase fell 0.025% and Kraken lost 0.038%, leaving each slightly below their expiry-time levels.

A peer-reviewed study in Finance Research Letters analyzed 1,059 Deribit expiry days from January 2021 through December 2023 using five-minute returns. The authors reported a statistically significant tendency for Bitcoin to decline in the hour before expiry and to reverse in the two hours after expiry when at-the-money open interest ranked in the sample’s top decile. The study found the effect strongest when a reconstructed cumulative gamma proxy was negative. Its methodology estimated a market-maker proxy from contract trading history and trade initiation assumptions rather than from total open interest or a put/call ratio.

The Sept. 11 expiry reproduced only part of that pattern: the pre-expiry drop and the first-hour rebound occurred, but the later reversal did not complete and public data did not match the study’s high at-the-money open-interest condition. Model-based dashboards including Optionly, CryptoGamma and ByKaranteli did not show a negative cumulative gamma proxy near spot around the Sept. 11 expiry.

Deribit’s settlement rules fix the delivery price to a tightly sampled index window, concentrating the price determination in the settlement interval and directly linking spot trading during that period to options delivery outcomes. The Sept. 11 expiry highlighted the connection between spot trades in the settlement window and options settlement, and showed limits in what public data and current gamma proxies can confirm about market-maker exposures on any single expiry day.