Cross-exchange option spreads: net, mid, IV spread and signal types
The 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.
In lesson 4 we saw that a price gap for the same option across exchanges is most often explained by conversion. The P2P.Army options scanner helps separate such cases from rare real dislocations: it calculates the executable spread, subtracts fees and flags whether the legs settle in the same currency.
How a cross-exchange setup works
- 1
Buy the cheap leg at the ask
On the exchange where the option is cheaper. - 2
Sell the rich leg at the bid
The same underlying, strike, type and expiry on another exchange, the same quantity in coins. - 3
Hold to expiry
If the option expires in the money, the long leg receives the payoff and the short leg pays it; if out of the money, both expire worthless. The entry price gap remains. - 4
Account for margin
The sold leg needs margin on its own exchange all the way to expiry — lesson 8.
The scanner table
| Column | What it shows |
|---|---|
| Instrument, Buy / Sell | Underlying, strike, call or put, expiry date and the two legs: where to buy (green) and where to sell (red), with the settlement currency |
| Strategy | Signal type: True lock, Relative value, Watch or IV only, and the settlement direction (for example, COIN→USDT) |
| Price, USD | The buy ask and sell bid in dollars per unit of the underlying, and the gross spread |
| Net % | The spread after estimated fees: (sell bid − buy ask − fees) ÷ mid price |
| Mid spread | The gap between mid prices (bid + ask) / 2 — the “fair value” gap, not directly tradeable |
| IV spread | The difference in the legs’ implied volatility, in points |
| To expiry, Lifetime | Time to expiry and how long the setup has persisted |
- True lock — the same settlement currency and positive after fees. The closest thing to a risk-free lock, but rare: for example, when a market maker on one exchange drops out.
- Relative value — positive after fees, but the legs settle in different currencies (COIN↔USDT): relative value with basis and currency risk, not a lock.
- Watch — prices cross, but fees eat the gap: worth watching.
- IV only — no price crossing, but a noticeable volatility gap.
The setup page
The setup page shows the key metrics (net, gross, mid, spread in dollars, IV spread, strike distance from spot, the spot used for conversion), a history chart of the net spread and IV, the legs with Greeks and a step-by-step guide. Note the 0.0 IV spread on the setup in the screenshot: the market prices the risk the same way, and the 1.19% net is a conversion gap on the coin premium over 170 days.
Calculating a live setup
Let us calculate the setup from lesson 4 the same way at prices as of October 31, 2026, 06:52 UTC: buy the BTC 80,000 call on Deribit at the ask of 0.0465 BTC ($3,593.77) and sell it on Binance at the bid of 3,640 USDT.
| Item | Out of the money at expiry | In the money at expiry |
|---|---|---|
| Entry price gap | $46.23 | $46.23 |
| Deribit fee (0.03% of BTC) | −$23.19 | −$23.19 |
| Binance fee (0.024% of BTC) | −$18.55 | −$18.55 |
| Buying BTC for the premium on spot (0.1%) | −$3.59 | −$3.59 |
| Exercise fees (0.015% × 2) | — | −$23.19 |
| Result before taxes | $0.90 | −$22.28 |
The visible 1.3% turns into zero or a loss. And that is before the main item — capital: the sold call on Binance needs margin for 55 days, while the long leg on Deribit sits in bitcoin and changes its dollar value with the BTC price.
Frequently asked questions
What is cross-exchange options arbitrage?
Buying an option where it is cheaper and selling the same option (same underlying, strike, type and date) where it is pricier, holding both to expiry.
How is net % different from the mid spread?
Net % is the executable spread (selling at the bid, buying at the ask) after estimated fees. The mid spread is the gap between mid prices, which cannot be executed directly; it is useful when books are wide.
What does Relative value COIN→USDT mean?
The setup is positive after fees, but one leg settles in coin and the other in USDT. It is not a lock but a position with basis and currency risk.
Why is so little of the spread left after fees?
Option fees are calculated on the underlying’s value — about $20–25 per BTC contract on each leg, plus exercise fees. On a spread of a few dozen dollars, that is almost all of it.
Sources
- 1.P2P.Army: options arbitrage scannerP2P.Army10/31/2026official
- 2.FeesDeribit10/22/2026
- 3.Binance Options Trading FeesBinance3/6/2026
- 4.Inverse OptionsDeribit9/26/2026
About the author
Crypto expert, arbitrage trader and investor
Crypto expert and hands-on crypto arbitrage trader, investor and software developer with over 20 years of experience. On the P2P.Army blog he covers exchange news, P2P and cross-exchange arbitrage.
- Crypto arbitrage
- P2P arbitrage
- Cross-exchange arbitrage
- Crypto exchanges
- Investing
- Software development
