Options Arbitrage from Scratch: From Calls and Puts to Parity and Cross-Exchange Gaps
A practical 8-lesson course: what an option is, what makes up its price, IV and the Greeks, how options work on Deribit, OKX, Bybit and Binance, why one option’s prices diverge across exchanges, how to read cross-exchange spreads and put-call parity in the P2P.Army scanner and what risks each scheme carries — with calculations on live quotes.
Antonio Merkle
What you will learn
- Understand calls, puts, strike, expiry and premium
- Understand option pricing, implied volatility and the Greeks
- Tell coin options from USDT options and account for capped fees
- Tell a real price dislocation from conversion and basis
- Check put-call parity against the forward and read the scanner’s deviation
- Assess short-leg margin and the risks of options arbitrage
Lessons
- 1.Options from scratch: call, put, strike, expiry and premiumAn option is the right, but not the obligation, to buy or sell an asset at a pre-agreed price. We go through the basics and build the payoff profile of a BTC call and put with an 80,000 strike on real quotes from October 31, 2026.7 min read
- 2.Option pricing: intrinsic and time value, volatility and the GreeksAn option premium is intrinsic value plus payment for time and uncertainty. The market expresses uncertainty as implied volatility, and the price’s sensitivity to the market as the Greeks. We cover it all on a real BTC option and the DVOL index.6 min read
- 3.Crypto options on Deribit, OKX, Bybit and Binance: coin vs USDT settlementA December BTC option with an 80,000 strike exists on all four exchanges, but on Deribit and OKX it is paid in bitcoin, on Binance and Bybit in USDT, and each exchange has its own index, contract size and fee cap. We go through the differences that later explain price gaps.7 min read
- 4.Why the same option’s price differs across exchangesWe take one option — BTC, 80,000 strike, December 25 expiry — and look at its prices on four exchanges in the same minute. Within one settlement currency there is nothing to earn, while between coin and USDT a gap shows. We look at where it comes from and what is left of it.9 min read
- 5.Cross-exchange option spreads: net, mid, IV spread and signal typesThe P2P.Army options scanner looks for identical options with different prices on four exchanges and sorts the findings into four types: from the rare “true lock” to “watch”, where fees eat the gap. We go through the table, the setup page and calculate a live example to the end.11 min read
- 6.Put-call parity: conversion, reversal and why the forward mattersA call minus a put with the same strike behaves like the underlying minus the strike. If the link breaks, it can be locked in with three trades on one exchange. We check parity on live prices and see why a 0.34% “deviation” is usually basis, not free money.9 min read
- 7.The P2P.Army options scanner: filters, parity, alerts and a checklistWithout filters, the top of the table is taken by far out-of-the-money options with “spreads” of tens of percent — on a penny premium that is worth nothing. We look at which filters to turn on, how to switch between cross-exchange and parity, how to set alerts and what to check before entering.8 min read
- 8.Options arbitrage risks: margin, settlement, liquidity and volatilityA bought option risks only the premium, while a sold one risks everything, and its margin is held until expiry. We go through options arbitrage risks with numbers: how much margin a $3,600 call needs, what happens in a volatility spike and why a cross-currency setup is not a lock.8 min read
Options are the most complex and most interesting market for an arbitrageur: identical contracts on four exchanges, different settlement currencies, formulas linking the call, the put and the underlying. The course goes from the basics — what an option is and where its price comes from — to cross-exchange setups and put-call parity.
BTC option quotes come from the Deribit, OKX, Binance and Bybit public APIs on October 31, 2026. Screenshots are taken in the English P2P.Army interface: scanner tables and setup pages on October 6, 2026 with that day’s real data, public blocks on October 31, 2026. The numbers illustrate the method rather than the current market.
The course’s main conclusion is an honest one: pure “risk-free options arbitrage” is rare. Within one settlement currency order books are usually consistent, and most visible gaps are conversion between coin and USDT, basis and fees. The scanner’s landing page is free; the table, history and alerts are part of the DEX/CEX plan.