Bitcoin Options CPI: Deribit Prices A 2% Move On Wednesday

Traders are not bracing for a big swing around Wednesday's US inflation report. The Bitcoin options CPI read from Deribit shows a priced move of about 2% for the day that contains the release. From a price near $83,600, that is roughly $1,700 in either direction. The numbers are public, and they match an analysis CryptoQuant published today.

What the Deribit curve says about CPI

The report lands on Wednesday, October 14, at 12:30 UTC, and Deribit options expire each day at 08:00 UTC. That means the window holding the release stretches from 08:00 UTC on October 14 to 08:00 UTC on October 15. Reading the at-the-money contracts for the October 14, 15 and 16 expiries gives implied volatility of about 32%, 35.3% and 34.9% a year.

Those expiries overlap, so stripping out the overlap isolates each one-day window. The window with CPI in it comes to about 38.5% and the day after it comes to about 34%.

One day at 38.5% annualised equals a move of roughly 2.0%. That is a little above the 1.98% reported by The Daily Digits on CryptoQuant, who used 37.9% and 34.8% for the same two windows. Two separate calculations landing this close is a good sign that the Bitcoin options CPI read is solid.

The Daily Digits' chart of forward implied volatility for the CPI window and the one after it. Source: CryptoQuant quicktake.

Bitcoin options CPI pricing against recent moves

A 2% priced move sounds modest, yet it is close to ordinary for this market. Over the last 30 closed days on Binance, Bitcoin's average move from one daily close to the next was about 1.3%. Seven of those days moved 2% or more, and three moved 3% or more.

Even this week has had its share. Bitcoin moved 2.6% on October 7, 1.9% on October 8 and 2.3% on October 12. So the options market is asking for only a small premium to hold through the print, and the Bitcoin options CPI premium shows in the curve. The CPI window sits about four volatility points above the day that follows it.

What the quicktake adds on funding and volatility

The Daily Digits says funding rates across exchanges printed 0.0077% on October 12. They have stayed between roughly 0.002% and 0.010% over the past month, which the author reads as a neutral market. The author also says 30-day implied volatility is lower than on 91% of days in Deribit's DVOL history.

One more claim from the quicktake concerns the long run. Over 1,599 days, it says, DVOL priced more volatility than the following 30 days delivered 73.5% of the time. Those are the author's own calculations, and they were not re-derived for this article.

The opening of The Daily Digits quicktake. Source: CryptoQuant quicktake.

The author names a line that would change the read. A move larger than about $1,614 in either direction between Wednesday 08:00 UTC and Thursday 08:00 UTC would mean options underpriced the report. That figure was set earlier today and the straddle keeps repricing, so anyone using it should check the live Deribit curve before the release.