Ben Lilly Profile picture
Economist and a Ben @jlabsdigital | Editor: https://t.co/YK6E6vhMXL | YouTube: https://t.co/uYuIBHf8jc My timeline is crypto markets, yields/rates, ☕

Apr 29, 2021, 8 tweets

Tomorrow is a monthly options expiration date. Meaning April contracts will expire. The previous five expiration dates show something unique.

Take the closing price from the day prior (aka today) and look at the high four days later, the avg increase is 17%

Hedging effect?🧵👇

Here's the last expiration date. A drop of about $5bn in OI.

Tomorrow 75.1k worth of BTC roll off or approx. $3.9 billion.

The futures market OI is beginning to react to these days as well.

I'd expect something similar as market makers hedging their positions can now adjust their positions via the futures market.

Wrote it down with more thought here:
jarvislabs.substack.com/p/market-synch…

Nice rise than drop right there

Here's the wick in Deribit futures market associated with the drop in spread..

h/t: @bit_hedge

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