Calculating Cryptocurrency Option P&L Before and at Expiry
Summary
This lesson explains how to calculate profit and loss for BTC options on Deribit, with the same approach stated to apply to ETH. For a position closed before expiry, subtract the opening premium from the closing trade price; the option’s strike and underlying price are not needed for that calculation. The examples cover both long and short positions and show how a favorable price move can still leave a buyer with a loss after paying the premium.
For positions held to expiry, the document uses intrinsic value: a call’s value depends on how far the delivery price is above its strike, and a put’s value depends on how far it is below. It converts that value into BTC, then accounts for the premium; a seller’s P&L is the opposite of the buyer’s. Out-of-the-money options expire without value, and multi-leg P&L is the sum of each leg. The examples ignore fees, which should be deducted, and rely on Deribit’s specified 30-minute index TWAP for delivery price. The treatment is a simplified per-contract guide, not a full account of execution or risk.
Key ideas
- For an option closed before expiry, P&L is the closing sale price minus the opening purchase price.
- At expiry, option value is determined by intrinsic value using the strike and delivery price.
- A buyer’s expiry P&L equals value received minus premium paid, while the seller’s result is the opposite.
- An out-of-the-money option expires with no value, leaving the buyer down the premium and the seller up the premium.
- Scale per-contract P&L by position size and sum the results across legs.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.