Net buying pressure and the information in bitcoin option trades
分析了比特币期权市场的逐笔交易数据，发现随着交易量增加，做市商更有效地管理订单不平衡和库存，波动率交易者和方向性交易者共同影响期权价格，方向性效应在2021年价格泡沫期间最为显著。
Bitcoin prices are driven by upward as well as downward jumps and so the bitcoin implied volatility surface behaves differently from those of established options markets. We analyze tick-level Deribit option price data, demonstrating increasing support for the limits-to-arbitrage hypothesis. Hence market makers are managing order imbalance and inventory more effectively as Deribit bitcoin options trading volumes increases. On the demand side, volatility traders drive both at-the-money and out-of-the-money option prices, the latter also being driven by directional traders. Directional effects were most pronounced during the price bubble of 2021. Further refinements of our tests assess time-to-maturity and time-of-day effects.