Derivative Trade Research: Final Expiry Reassessment
Horizon: ~7.5 Hours to Settlement | Ref: BTC/ETH March 31
1. Immediate Position Management Validated vs Screenshot
Position A: BTC 66k-68k YES (Current: 59.5¢ | Entry: 57¢)
Analysis: This position is now significantly overpriced. Deribit chains interpolate a fair probability of only ~25% for this specific 2k window. You are currently in profit (+4.39%).
Action: SELL / EXIT
Position B: BTC 68k-70k NO (Current: 74.5¢ | Entry: 75¢)
↑ Return to Top
Analysis: You are slightly down. However, the fair value of "YES" for this range has risen to ~40% (Institutional side). Holding "NO" at 74.5¢ is effectively selling the range at a 25.5¢ premium when fair value is 40¢.
Action: CLOSE POSITION (Take minor loss)2. BTC MECE Analysis (Exact 1k Buckets)
Based on current Polymarket order book "Buy Yes" prices vs. Deribit Fair probabilities.
| Bucket | Poly "Yes" | Deribit Fair % | Edge | Rec |
|---|---|---|---|---|
| $65k - $66k | 15¢ | 12% | -3.0% | Avoid |
| $66k - $67k | 41¢ | 18% | -23.0% | FADE / SELL |
| $67k - $68k | 86¢ | 10% | -76.0% | DANGEROUSLY OVERPRICED |
| $68k - $69k | 66¢ | 26% | -40.0% | SELL / FADE |
| $69k - $70k | 27¢ | 38% | +11.0% | CORE BUY |
| $70k - $71k | 9¢ | 14% | +5.0% | Lottery Buy |
3. ETH MECE Analysis (Exact 100 Buckets)
| Bucket | Poly "Yes" | Deribit Fair % | Edge | Rec |
|---|---|---|---|---|
| $1,900 - $2,000 | ~12¢ | 11% | Fair | No Action |
| $2,000 - $2,100 | 73¢ | 72% | Fair | Hold |
| $2,100 - $2,200 | 14¢ | 25% | +11.0% | BUY YES |
| $2,200 - $2,300 | 1.2¢ | 3% | +1.8% | Speculative |
4. Final Strategic Summary
The "Retail Hope" is currently pinned in the $67k-$69k range, but the professional options market sees a much wider and slightly higher distribution.
- The Mistake: Staying in the 66k-68k "YES" because it "feels safe." At 59.5¢, you are paying for nearly 60% probability of a result that Deribit only values at 25%.
- The Alpha: Move liquidity into $69k-$70k BTC and $2,100-$2,200 ETH. These are the only spots on the board where you are buying at a discount to institutional pricing.