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A Bitcoin hedge using a put option with a $70,000 strike price increased by 127.6% in Bitcoin terms between November 12 and November 13, according to CryptoSlate, even as the implied volatility associated with the contract declined. The price jump occurred on the Deribit exchange as the spot price of Bitcoin moved from above the strike price to below it.
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As of 15:12 UTC, Bitcoin traded at $68,671, -3.8% over 24 hours, with $43.2 billion in 24-hour volume.
On November 12 at 11:51 UTC, the November 27 $70,000 put traded at 0.0145 BTC. By 10:15 UTC on November 13, the same contract traded at 0.033 BTC. The reported implied volatility for those executions fell from 38.97% to 37.67% over the same period.
Spot price moves drive hedge premium
Bitcoin’s index price fell from $72,805.71 at the first trade to $69,320.08 at the second. A put option provides protection against a decline below its strike price at expiry. As the underlying asset falls below the fixed strike, the value of that protection increases, independent of changes in implied volatility.
For a new buyer at 10:40:51 UTC on November 13, the order book showed a bid of 0.0325 BTC and an ask of 0.0335 BTC. With the index price at $69,245.85, that ask equated to approximately $2,319.74 for one contract before fees. The 127.6% increase cited in the analysis compares executed BTC prices rather than changes in executable ask prices.
Deribit’s inverse Bitcoin options are priced in BTC, with one contract representing one Bitcoin. Converting the trades at their respective contemporaneous index prices yields a dollar equivalent of about $1,055.68 on November 12 and $2,287.56 on November 13. This represents an increase of 116.7% in dollar terms, which is smaller than the BTC-denominated increase.
Volatility index does not isolate contract cost
Deribit defines DVOL as forward-looking, annualized implied volatility over 30 days, assembled across various strikes and expiries. The November 27 put option had roughly 14 days remaining at the time of observation. Because the DVOL index covers a longer period than the specific contract, it cannot by itself establish the cost of protection for that shorter-dated option.
Completed hourly data for November 13 from 00:00 to 09:00 UTC recorded intrahour DVOL lows and highs ranging from 39.03 to 41.58. The 09:00 UTC bucket closed at 39.93, while the 10:00 UTC bucket was incomplete when captured at 10:40 UTC.
A November 13 analysis by The Daily Digits on CryptoQuant reported a DVOL of 40.77. This figure sits below the historical median of 77.8 across 290 daily closes since March 2021 when Bitcoin was at least 17.4% below its rolling 30-day closing high. The median for qualifying 2026 observations was 49.9.
October’s Producer Price Index was scheduled for release on November 13 at 08:30 Eastern Time, or 13:30 UTC, after the market observations discussed in the analysis. The scheduled inflation release provides a checkpoint for observing any subsequent repricing but does not establish a cause for the earlier move in the option premium.
Source: CryptoSlate
