Deribit Derivatives Introduction Policy - 25 February 2021


Futures Expiries

Expiries available

3, 6 and 9 months quarterly of the March, June, September, December cycle;

Quarterly futures expires the last Friday of each calendar quarter at 08.00 UTC.

Introduction of new expiries

A new future with new expiry date will be added the last Friday of each calendar quarter at 08.00 UTC. This means there will never be more than three expiries available for trading at the same time.



Options Expiries 

Expiries available

1, 2 daily

1, 2, 3 weekly
1, 2, 3 monthly

3, 6, 9 and 12 months quarterly of the March, June, September, December cycle.


Except for the 24-hour period following the introduction of a new expiry, two expiries of daily options, three expiries of weekly options, three expiries of monthly options and four expiries of quarterly options will be available to trade.


Daily options expire every day at 08:00 UTC.

Weekly options expire on each Friday of each week at 08.00 UTC.

Monthly options expire on the last Friday of each calendar month at 08.00 UTC.

Quarterly options expire on the last Friday of each calendar quarter at 08.00 UTC.

Introduction of new expiries

A new options expiry date will be added on Thursday immediately prior to expiration Friday except:

  • A monthly expiry will not be added it if already exists as a quarterly expiry. Instead, this quarterly expiry will now be considered a monthly expiry.

  • A weekly will not be added it if already exists as a monthly expiry. Instead, this monthly expiry will now be considered a weekly expiry


Daily options will be added the day immediately preceding the expiry day ( 08.00 UTC) and will therefore have an initial lifetime of two trading days at the time of introduction.


Dynamic Options Strike Intervals

Intervals

Deribit will introduce new call options with a Delta range of 0.1 to 0.9  and minus 0.1 - minus 0.9 for put options. The intervals to be used are shown in the diagram however might deviate as more or less intervals are required to reach the 0.1 Delta level.


Deribit shall make available for trading the ATM Strike and subsequent strikes above and below the ATM level with the intervals as shown below at the moment of introduction. Pending price moves of the underlying, Deribit may introduce new strikes. 


The series intervals offered by Deribit are based on the remaining lifetime of the maturity. By definition, the intervals will be smaller for series with a shorter remaining lifetime compared to the series with a longer remaining lifetime. 


Option Strike policy during periods of higher Expected Daily Moves
BTC
Indication Expected Daily Move: USD 2000 to 4000
Time to Expiry<=2 days<=2 weeks<=2months<=6months<=12months
ATM$1,000$1,000$2,000$5,000$10,000
Outer$2,000$2,000$5,000$10,000$20,000
Wings$5,000$10,000$20,000$50,000
ETH
Indication Expected Daily Move: USD 75 to 150
Time to Expiry<=2 days<=2 weeks<=2months<=6months<=12months
ATM$20$50$100$200$500
Outer$50$100$200$500$1,000
Wings$200$500$1,000$2,000


Option Strike policy during periods of lower Expected Daily Moves
BTC
Indication Expected Daily Move: USD 500 to 2000
Time to Expiry<=2 days<=2 weeks<=2months<=6months<=12months
ATM$500$500$1,000$2,000$5,000
Outer$1,000$1,000$2,000$5,000$10,000
Wings$2,000$5,000$10,000$20,000
ETH
Indication  Expected Daily Move: USD 25 to 75
Time to Expiry<=2 days<=2 weeks<=2months<=6months<=12months
ATM$10$20$50$100$200
Outer$20$50$100$200$500
Wings$100$200$500$1,000


Indication of moneyness


ATM around 40 to 60 Delta

Outer around 20 to 40 Delta

Wings <20 Delta for wings


Deribit may modify the provisions governing the establishment of exercise prices as it deems fit.