⚠ Modest directional bet: BUY Polymarket No
Deribit P(No) ≈ 96.8% vs Polymarket 89.0%. EV ≈ +$0.09 per $1.
Directional bet — BUY Polymarket No (no hedge, accept 100% downside)
Pure directional play. You bet that Deribit's RN-prob is closer to truth than Polymarket's price. Max upside if No resolves true, max loss if No resolves false. EV is computed using Deribit's RN-prob — caveat that RN-prob includes risk premium and may differ from real-world probability by 5-15%.
| Stake | Shares | Net cost (incl 2% fee) | If right | If wrong | EV (Deribit RN) |
|---|---|---|---|---|---|
| $100 | 112 | $102.00 | +$10.36 (10%) | -$102.00 (-100%) | $+6.75 (+7%) |
| $500 | 562 | $510.00 | +$51.80 (10%) | -$510.00 (-100%) | $+33.74 (+7%) |
| $1,000 | 1,124 | $1,020.00 | +$103.60 (10%) | -$1,020.00 (-100%) | $+67.47 (+7%) |
| $5,000 | 5,618 | $5,100.00 | +$517.98 (10%) | -$5,100.00 (-100%) | $+337.37 (+7%) |
Polymarket No — best ask $0.890 · Deribit implied P(No) ≈ 96.8% · EV per $1 staked = +$0.087 · Max return 12%. Other side (Yes): EV $-0.732 per $1.
Polymarket book (live)
Deribit hedge (live) bear put spread · width $1,000
A: Long Polymarket Yes + Short Deribit synth Yes
Bet "Polymarket Yes is too cheap". Both legs zero each other if Yes wins; locked profit = Deribit short credit − Polymarket Yes cost.
| Leg | Per binary | Total at $1k | Outcome flag |
|---|---|---|---|
| BUY Polymarket Yes | $0.120 | −$107.92 | 899 shares |
| SELL Deribit synth Yes | $0.008 | +$7.22 | + $892.08 collateral |
| Edge / binary | mid | realistic |
|---|---|---|
| poly cost − deribit credit | $-0.152 | $-0.112 |
| Net P&L per $1k | $-136.83 | $-100.70 |
Expiry payoff at $1k
| BTC at expiry | Polymarket | Deribit | Net |
|---|---|---|---|
| ≤ $65,000 | $0 (Yes loses) | +$7.22 (kept credit) | $-100.70 |
| ≥ $66,000 | +$899.30 (Yes wins) | −$892.08 (max loss) + $7.22 credit | $-100.70 |
| ($65,000, $66,000) | Linear interp; better than both ends thanks to spread tightness | ≥ both ends | |
B: Long Polymarket No + Long Deribit synth Yes — preferred
Bet "Polymarket Yes is too expensive". One leg always pays $1; locked profit = $1 − (Polymarket No cost + Deribit Yes cost).
| Leg | Per binary | Total at $1k | Outcome flag |
|---|---|---|---|
| BUY Polymarket No | $0.890 | −$940.62 | 1,057 shares |
| BUY Deribit synth Yes | $0.056 | −$59.38 | spread debit |
| Edge / binary | mid | realistic |
|---|---|---|
| $1 − (poly_no + deribit_long) | $+0.078 | $+0.054 |
| Net P&L per $1k | $+82.28 | $+56.87 |
Expiry payoff at $1k
| BTC at expiry | Polymarket No | Deribit Yes | Net |
|---|---|---|---|
| ≤ $65,000 | +$1,056.87 | $0 (worthless) | $+56.87 |
| ≥ $66,000 | $0 (No loses) | +$1,056.87 (max) | $+56.87 |
| ($65,000, $66,000) | No expires worthless, Deribit pays partial | ≤ ends (negative carry) | |
Why "delta neutral" is approximate. For TRUE delta-neutrality you need (i) same expiry on both venues (Polymarket 2026-06-01 ≠ Deribit 2026-05-29 — basis risk on the gap), and (ii) tight enough Deribit spreads that synthetic-Yes mid ≈ Polymarket Yes. Excludes Polymarket 2% taker fee (~$20/$1k), gas (~$0.50), Deribit margin haircut.