Implied Probability Gap — Deribit Options vs Polymarket

What is the gap?

Two independent “smart money” sources price the same event: the Polymarket crowd (betting real money) and Deribit options traders (hedging with capital). We compute the risk-neutral probability implied by BTC options and subtract the Polymarket price.

Why do they disagree?

The two venues rarely price an event identically, for structural reasons — not because one is simply “wrong”. There is no direct arbitrage bridge between a Polymarket share and a Deribit option, so prices are not forced into line the way two order books for the same asset would be. Polymarket is driven by a retail crowd staking real money, prone to narrative and recency bias; Deribit prices come from professional desks hedging positions with capital at risk. Thinner liquidity on one side lets a few large bets or hedges move its price away from the other. The gap is a snapshot of that momentary disagreement between the betting crowd and the options desk.

How to read it

A positive gap means options price the event as more likely than the crowd; negative means less likely. Historically these dislocations converge within hours (half-life ~4h), and the Polymarket price tends to drift toward the options-implied value.

So what — what it means for you

Treat the gap as a sentiment signal, not a trade instruction. A wide gap flags an event where the crowd and the options market see materially different odds — worth a closer look before you trust either number. Example: if BTC options imply a 62% chance of “above $120k by Friday” while Polymarket prices it at 50%, the +12pp gap says professional hedging flow is more bullish than the crowd. Historically the crowd tends to drift toward the options value within hours, but this is analysis of where opinions differ, never a promise of which side is right.

Methodology

In plain terms, we ask the options market what odds it is pricing for the same question Polymarket poses, then compare. For “above $X on date D” questions we read the probability straight from BTC options (the standard N(d2) formula on the Deribit forward and interpolated implied volatility). For “reach $X by date D” questions we use a barrier-touch probability, which accounts for the price hitting the level at any point before the deadline, not just at expiry. Strikes and expiries are interpolated so the options math lines up with each Polymarket question.

Educational sentiment analysis, not investment advice. Yieldo does not facilitate betting.