  How do supply and demand from informed traders drive market prices of bitcoin
options? Deribit options tick-level data supports the limits-to-arbitrage
hypothesis about the market maker's supply. The main demand-side effects are
that at-the-money option prices are largely driven by volatility traders and
out-of-the-money options are simultaneously driven by volatility traders and
those with proprietary information about the direction of future bitcoin price
movements. The demand-side trading results contrast with prior studies on
established options markets in the US and Asia, but we also show that Deribit
is rapidly evolving into a more efficient channel for aggregating information
from informed traders.
