Implied probabilities · Deribit
Implied price distribution
Where the options market thinks the underlying will land at expiry. Density extracted via Breeden-Litzenberger — the second strike-derivative of the call-price curve is the risk-neutral probability density. Reads like a forecast distribution, even though it's just option prices doing arithmetic.
Math: Breeden & Litzenberger (1978) showed that for a European call price C(K), the risk-neutral density satisfiesp(K) = e^(rT)·∂²C/∂K². We approximate with a central second-difference on the strike grid, non-uniform-spacing aware, renormalise to integrate to 1 over the observed range, then derive the CDF and percentiles by linear interpolation. Call prices come from Deribit's mark_price (converted to USD with the underlying index). Tails are truncated, so the distribution can drift slightly from the true risk-neutral measure — read as a relative shape, not absolute.