Net Buying Pressure and the Information in Bitcoin Option Trades

  title={Net Buying Pressure and the Information in Bitcoin Option Trades},
  author={Carol Alexander and Jun Deng and Jianfen Feng and Huning Wan},
  journal={Econometric Modeling: Derivatives eJournal},
How do supply and demand from informed traders drive market prices of bitcoin options? Deribit options tick-level data supports the limits-to-arbitrage hypothesis about market maker’s supply. The main demand-side effects are that at-the-money option prices are largely driven by volatility traders and out-of-the-money options are simultaneously driven by volatility traders and those with proprietary information about the direction of future bitcoin price movements. The demand-side trading… 


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