Bitcoin dipped into Deribit's Sept. 11 options expiry, rebounded for an hour, then gave the move back within two hours, ending slightly below its expiry-time level. The pattern only partly matches a peer-reviewed study on expiry-day reversals, and current market data don't confirm the study's strongest conditions.
Bitcoin fell about 0.16% to 0.18% across Deribit's BTC perpetual, Coinbase spot and Kraken spot in the hour before Deribit's Sept. 11 options expiry, then gained roughly 0.19% to 0.21% by 09:00 UTC. The rebound proved short-lived.
From 08:00 to 10:00 UTC, the Deribit perpetual slipped 0.014%, Coinbase fell 0.025% and Kraken lost 0.038%, leaving Bitcoin slightly below its expiry-time level on all three venues.
What the expiry showed
A PerpFinder snapshot at 06:40 UTC placed the expiring options at about $2.24 billion, split between roughly $1.40 billion of calls and $844 million of puts. Deribit's official delivery price came in at $77,234.
Bitcoin fell as low as $76,000 during the Europe afternoon session before recovering toward $77,500 as of press time. Under Deribit's settlement rules, the delivery price is a 30-minute time-weighted average of the exchange's Bitcoin index from 07:30 to 08:00 UTC, sampled every four seconds.
A partial match with a peer-reviewed pattern
The sequence resembled only part of a pattern documented in a peer-reviewed study examining 1,059 Deribit expiry days from January 2021 through December 2023 using five-minute returns. Its authors found a statistically significant tendency for Bitcoin to fall in the hour before expiry and reverse over the following two hours when at-the-money open interest ranked in the sample's top decile, an effect that was strongest when a reconstructed cumulative gamma proxy turned negative.
Friday's price path did not complete that reversal, however, and the study's high open-interest condition could not be matched with public data. Three model-based dashboards, Optionly, CryptoGamma and ByKaranteli, did not show a negative cumulative gamma proxy near spot, so the strongest version of the pattern was not corroborated.
Source: CryptoSlate
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