Dealer hedging map · Deribit

Hedging map

For each hypothetical spot scenario, what would dealers need to do to stay hedged? Surfaces the path-of-least-resistance — the scenario where dealer hedging is most stable (the natural pin).

BTC spot

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Path of least resistance

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Pin distance

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dealer hedging stabilises here

Current call wall

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Current put wall

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Hedging surface · 15 spot scenarios

Each row: a hypothetical spot move. Hedge Δ = dollar delta dealers would need to ADD (teal, dealers BUY) or REMOVE (pink, dealers SELL) to stay hedged. Path of least resistance row honey-highlighted.

ScenarioHypoth $Total GEXCall wallPut wallFlipHedge Δ changeDealer action

Loading chain + computing scenarios…

How to read

For each hypothetical spot scenario, we recompute every option's gamma + delta at that spot, then aggregate dealer position. BUY = dealers would need to add delta (buy spot) to stay hedged. SELL = dealers would need to remove delta. The Path of least resistance is the scenario where the required hedge change is smallest — the natural pin zone where dealers don't fight the move.

Caveats

The model assumes IV stays constant at each hypothetical spot — in reality skew shifts. Time decay (charm) is ignored over the intraday horizon. SpotGamma convention used (dealers short retail calls, long retail puts). For a refined real-time view of where dealers currently stand, see /options/gex and /options/flowchart.