We acquire a unique dataset of high-frequency traded prices for bitcoin call and put options
from the Deribit cryptocurrency derivatives exchange, by 15-minute sampling via the …

We analyse robust dynamic delta hedging of bitcoin options using a set of smile-implied and
other smile-adjusted deltas that are either model-free, in the sense that they are the same …

Over 90% of exchange trading on crypto options has always been on the Deribit platform.
This centralized crypto exchange only lists inverse products because they do not accept fiat …

1Email: c. alexander@ sussex. ac. uk and a. imeraj@ sussex. ac. uk. The information contained
in this document is for general information purposes only. In no event the authors will be …

Over 90% of exchange trading on crypto options has always been on the Deribit platform.
This centralised crypto exchange only lists inverse products because they do not accept fiat …

Over 90% of exchange trading on crypto options has always been on the Deribit platform.
This centralised crypto exchange only lists inverse products because they do not accept fiat …

In The Bitcoin VIX and Its Variance Risk Premium , published in the Spring 2021 issue of
The Journal of Alternative Investments, Carol Alexander and Arben Imeraj (both of the …

This thesis provides a fundamental analysis of the bitcoin implied volatility. The bitcoin options
market is highly fragmented, split between regulated and unregulated exchanges. This …

Here δBS is the BS delta, vBS is the BS vega, m= K/Fis the moneyness of the option, Kits
strike, Fthe perpetual price, and θm is the slope of the smile in the moneyness metric. The …

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