Soundings · Issue 04

Soundings Issue 04: Calm Between Two Storms

Deribit's BTC options book charged for the US midterm election, let the premium go before the rally and sat at its calmest just before the sell-off of 5 November 2026. Soundings Issue 04 reads the book every ten minutes through both storms.

·BTC·24 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 · 5.5 MB

The US voted on Tuesday and BTC rallied on Wednesday. On Thursday it gave all of it back and more, while the S&P 500 had its worst day since April 2025. Two storms in three days, with eighteen hours of calm between them.

Issue 04 reads Deribit's BTC options book every ten minutes through all of it: what the book charged for the vote, how fast it let the premium go, how cheap and calm it was when the second storm arrived, and who was standing where when it did.

Soundings Issue 04 cover, Calm Between Two Storms, BTC 7-day implied volatility by strike with the spot path, 3 to 6 November 2026 Contents of Soundings Issue 04 and the read: two storms and the calm between them Where the BTC options book sat on election day and seventy-two hours of BTC, ETH, the S&P 500 and the VIX on one clock BTC 7-day implied volatility by strike through the election and the rally on the US open Traded BTC option notional by strike on the rally and 7-day implied against realized volatility Six coins breaking together at 12:33 UTC and the BTC volatility curve flipping into backwardation Traded BTC option notional by strike on the sell-off and the 25-delta risk reversal Cohort flows beyond every baseline and dealer gamma exposure under two sign conventions Dealer gamma by strike over time and the 13 November 74,000 put bought six days early Profit and loss of four at-the-money straddles and BTC options depth through the worst hour BTC perpetual open interest and funding and the sharpest 60-minute BTC moves since February 2026 The market's odds of BTC settling above each strike on 7 November 2026 and Cayø Largo Soundings Issue 04 summary, sources, references and author

What's inside Issue 04

•Election night. What the BTC options book charged for the vote and how fast it let the premium go, read off the volatility landscape.
•Act one. The rally on the US open, the forty minutes of buying and the roll at the top.
•The calm between. Options priced below the week just delivered and the flattest skew of the event, before crypto turned.
•Act two. Crypto turning two hours before Wall Street, the curve flipping in forty minutes and where the money went, strike by strike, as in options thermography.
•The terrain. Two conventions for dealer gamma and why they disagree near spot, against the GEX landscape.
•Who got paid. A put bought six days early and the sellers of election volatility, nearly wiped out and then rescued.
•After the storm. Liquidity, leverage, how rare the fall was and the market's odds at every strike on 7 November.

Frequently asked questions

What does Soundings Issue 04 examine? How Deribit's BTC options book read the US midterm election of 3 November 2026, the rally on the US open of 4 November and the cross-asset sell-off of 5 November, when the S&P 500 fell 4.36% and BTC had its second-sharpest hour since February 2026. The book is read every ten minutes through all three days.

What was the main finding? The book priced the vote in the front week and let that premium go before the rally. By late Thursday morning, before crypto turned at 12:33 UTC, BTC's 7-day at-the-money implied volatility was the cheapest of the week and 6.5 vol points below the realized volatility of the previous seven days, with the flattest skew of the event. The book repriced after the fall rather than before it.

Did anything in the options book warn of the sell-off? No. Issue 04 looked at the implied level, the term structure, the skew, the premium over realized volatility, cohort flows and large-lot taker flow. The only reading that turned bearish beforehand, large-lot flow at noon, had fired 568 times in the archive and preceded a 2% drop within three hours only ten times.

What does the issue show about dealer gamma? On the plateau between the two storms the usual convention, which assumes dealers are short every option, showed dealers long about 250 million USD of gamma. Reading the dealer side strike by strike from the trades showed a book close to flat. Within 3% of spot the two conventions disagreed on the sign in 68.6% of strike-cycles.

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 · 5.5 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.