Measuring Risk in Crypto Options

2025 marked a transformative year for Bitcoin options markets, with two parallel venues, crypto-native Deribit and regulated ETF-based IBIT, pricing risk on the same asset through fundamentally different lenses. Open interest on IBIT grew from zero to $53.3bn at peak within twelve months, while Deribit’s December 2025 expiry became the largest single expiration in its history, clearing near $50bn down to $20bn overnight.

This report examines how participant composition, position limits, and exercise styles created persistent volatility surface divergences, analyzing the three distinct phases of skew between venues, the dramatic convexity gap in mid-2025, and the eventual convergence as institutional friction eased.

Part 1: Introduction

Part 2: Comparing Crypto Native and ETF Options

Part 3: Pricing Risk Across These Markets

Part 4: Conclusion

Part 5: Appendix: Methodology

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