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- We analyzed all Paradigm BTC Option block trades on Deribit between Jun-Aug 20
- A total of $620M over 378 transactions
- Here's what we found... (Spoiler: if you aren't on @tradeparadigm, you are losing $$)
Thread 👇
2/ Price Improvement vs screen
- 74% of all trades were executed AT-OR-BETTER than the best bid/offer (BBO)
- 60% of all trades were executed BETTER than the BBO
- Avg price improvement was 1.6 ticks (8 Bps)
- 13% of all trades were executed AT-OR-BETTER than the Mid price 🔥
3/ Size Improvement vs screen
- 89% of all trades executed were larger than the size shown against the best bid/offer (BBO) on screen
- The average trade on Paradigm was 72x larger than the size shown on the BBO
4/ Price Slippage
- Trades where pricing was worse than screen were 120x larger the size shown on the BBO i.e. super large trades.
- Despite the size, slippage incurred was ONLY 1.6 ticks meaning traders valued the significant size improvement vs the price deterioration
5/ Most Popular Trading Strategies
- Outright Calls (44%) and Puts (25%) dominated volumes while multi-leg trades accounted for 31% of all trades!
- Call Spreads were the most popular multi-leg trade followed by Strangles and Put Spreads
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