Soundings · Issue 03

Soundings Issue 03: The Strike Axis

Ask an options trader for the odds that ETH settles above a strike and you will hear Delta. Soundings Issue 03 teaches the nine strike Greeks, then reads the market's own odds at every ETH strike and expiry.

·ETH·32 pages·Positioning, not predictions

Every figure here is computed on Cayø Largo, our own crypto-options archive: six coins, every 10 minutes since 2025.

Download the full issuePDF · 7.2 MB

Ask an options trader for the odds that ETH settles above a strike and most will quote you the Delta. It sits on every screen and it looks like a probability. The textbook gives a different number. The market charges a third.

Issue 03 teaches the nine Greeks that move the strike instead of the price, shows where they mirror the spot Greeks and where the volatility smile breaks the mirror, then puts the market's own odds for every ETH strike and expiry on one board. The second half grades those odds against thirteen months of settlements and shows how a trader can put them to work.

Soundings Issue 03 cover, The Strike Axis, with the market's odds of ETH settling above each strike on 7 October 2026 Contents of Soundings Issue 03 and the read: Delta, the textbook and the market Where the ETH options market sat on 7 October 2026 and the nine strike Greeks grouped by family Dual delta as the price of a bet on a strike and dual gamma as the probability density Lightning and flare across one ETH expiry and how strike probabilities drain into expiry Nine identities between strike and spot Greeks and the four terms the smile adds to the density The market's probability minus dual delta across strikes and thirteen months of the correction The distribution ETH options price against a lognormal, at 30 and 7 days The Odds Board: the market's odds of ETH settling above every strike at every listed expiry How the Odds Board is built and checked and three probability readings graded against 101 settlements The market's 30-day odds band against where ETH settled and call spreads priced as probabilities Butterflies as slices of the distribution and pin risk at one strike into settlement One ETH expiry's last 72 hours of dual gamma by strike and pinning read through the strike Greeks Surface charm and dealer flow on cayolargo.fi and the Greeks archive behind the issue What Issue 03 did not test and where the work goes next References for Soundings Issue 03 and Cayø Largo Soundings Issue 03 back page and author

What's inside Issue 03

•Three answers to one question. Delta, dual delta and the market's own probability for the same ETH strike and why they differ.
•The nine strike Greeks. Dual delta, dual gamma, lightning, surface vanna, flare, halo, surface charm, droplet and aurora, each on real ETH expiries, with the full Greeks set they belong to.
•Two views of one surface. Nine exact identities linking strike and spot Greeks, measured on the ETH book and the one place the smile adds information.
•The distribution ETH trades on. Thin shoulders and fat tails against a lognormal, read off the volatility surface.
•The Odds Board. The market's odds at every strike and listed expiry on 7 October 2026 and how it is built and checked.
•Proven against what happened. 101 settlements and 290 mornings of odds graded against outcomes, with both results published.
•Using the board. Call spreads, butterflies, pin risk, pinning and dealer flow and what the issue did not test.

Frequently asked questions

What does Soundings Issue 03 examine? The odds that the ETH options market prices at every strike. Issue 03 teaches the nine Greeks Cayø Largo computes by moving the strike instead of the price, shows that at each option's own volatility they are exact rearrangements of the spot Greeks and shows that the volatility smile is the one thing that adds information. It then reads the market's own odds of ETH settling above every strike, at every listed Deribit expiry, on 7 October 2026.

What is dual delta and how does it differ from delta? Delta is N(d1), the hedge ratio. It is often read as the chance of finishing in the money. The probability under the same Black-Scholes model is N(d2), which Cayø Largo stores as dual delta, the derivative of the option price with respect to the strike. On the ETH 30 October 2026 expiry, read on 7 October, the 2,850 call showed a delta of 24.1% against a dual delta of 20.7%. The market's own probability, with the smile included, was 18.4%.

What is the Odds Board? The market's probability of ETH settling above each strike at every listed expiry, read from the whole Deribit option chain with the volatility smile included, rather than from one option's volatility. Issue 03 prints the full board for 7 October 2026 at 08:00 UTC on pages 16 and 17.

How have the market's odds held up against what actually settled? Graded on 101 ETH settlements, the smile-consistent odds showed the lowest calibration error of three readings, ahead of N(d2) and delta. Read every morning at a 30-day horizon over 290 mornings, ETH landed inside the market's 10% to 90% band 71.4% of the time against the 80% priced, with the shortfall on the downside in a year when ETH fell 38.7%. Issue 03 publishes both results and explains what they do and do not show.

Is Soundings investment advice? No. Soundings describes the structure of the crypto options book. It contains no price or volatility forecast and no recommendation to buy, sell or hold any instrument. It is published by Halcyon Waters sp. z o.o. using Deribit data.

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Download the full issuePDF · 7.2 MB

Soundings describes the structure of the crypto options book. It is not investment advice and contains no price or volatility forecast. Published by Halcyon Waters sp. z o.o. Source data from Deribit, computed on Cayø Largo.