Options arbitrage

What the scanner compares

An option is uniquely defined by three things: the underlying coin, the strike and the expiry date. If two venues list a contract with the same three, it is the same instrument, and the price difference is the opportunity.

Why dollars, not percent

Percentages mislead on options. A twenty-five dollar contract with an eight dollar gap reads as «thirty-five percent», yet that is one tick. Conversely a deep in-the-money option shows half a percent, which is a thousand dollars per contract.

The tick column shows the venue’s minimum price step. Coin-quoted venues use 0.0001 of the coin — about eight dollars for bitcoin.

What it does not do

• No fees included.
• No book depth.
• No reconciling of settlement currencies: Deribit and OKX quote in coin, Bybit and Binance in dollars.

The second tab: put-call parity

Gaps between venues are not the only way to check whether option prices hang together. Inside a single venue the prices owe each other consistency too, and what ties them is put-call parity.

A call and a put at the same strike and expiry add up to a synthetic forward: buying the call and selling the put is the same as agreeing to buy the coin on the expiry date at «strike plus the premium difference». That forward price must be identical at every strike, because it buys the same thing. When two strikes in one expiry imply different prices, the gap can be locked in — build the forward where it is cheap, sell it where it is dear. At expiry the coin cancels between the two halves and a known amount remains.

We deliberately avoid the textbook formula C − P = S − K·e^−rT. It carries two assumptions — the spot price and a risk-free rate — and each one paints a «parity violation» where it is really the assumptions, not the prices, that disagree. The two-strike construction needs neither.

Why the headline number is a yield, not dollars

A few thousand dollars looks impressive right up to the moment you notice it requires freezing a hundred and thirty thousand until expiry. The structure is really a collateralised loan: you pay today and receive a known amount on a known date. A healthy market should price it at roughly the going rate — a few percent a year. That is why the yield leads the table: it compares across expiries and venues, and dollars do not.

Two things deserve attention. First, a row that stands apart from its neighbours: if one venue shows noticeably more than another for the same expiry, prices there have drifted. Second, the «paid to enter» tag — a route that needs no capital at all and pays you both up front and at expiry. That one is genuine arbitrage, and it is rare.

What gets filtered out

Four legs means four fees, so the gap must exceed the price tick four times over. Strikes with half-dead books are skipped, and so is expiry day itself. Separately we check that the implied forward resembles the coin: on some venues an option is a contract on ten or a hundred coins with the premium quoted for the whole contract, and reading it as a per-coin price manufactures a flawless-looking arbitrage out of a unit mix-up.