The Lottery Ticket Nobody Talks About: 73% Hit Rate on Deep OTM Puts
We validated 2,934 instrument-level outcomes from ORIA signals. Deep OTM puts hit 72.7% at 48h with +19.8% returns. Calls? Coin flip at 51.5%. Same signal, 8.6x difference in outcomes.
Deep out-of-the-money options are the casino of derivatives trading. Cheap premium, asymmetric payoff, and most expire worthless.
But not all of them.
We validated 2,934 instrument-level outcomes from Cayo Largo's ORIA, our options flow detection system. It flags unusual activity in Deribit BTC and ETH options: whale accumulation, abnormal volume clusters, aggressive positioning.
When these signals pointed to deep OTM puts:
72.7% win rate at 48h horizon. +19.8% average return per signal. Performance improved with time (see chart).
When the same signals pointed to deep OTM calls:
51.5% win rate, statistically no better than random. +2.3% average return. Flat across all horizons.
Same moneyness bucket. Same detection logic. 8.6x difference in outcomes.
Deep OTM puts outperform calls by 8.6x at 48h horizon when flagged by ORIA signals
Our interpretation: institutional flow into cheap puts often signals informed hedging. Someone knows something.
The signal is the same. What it catches is completely different.
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