Settlement and delivery

What happens at expiry

Options on the venues BOSS follows expire at 08:00 UTC on their expiry date, from dailies to quarterlies. At that moment the venue fixes one official delivery price (also called the settlement price) for the underlying, and every option of that expiry is settled against it:

• A call pays max(delivery price − strike, 0).
• A put pays max(strike − delivery price, 0).
• The holder of a long option is credited that amount; the seller of a short option is debited it.

This is cash settlement. No bitcoin changes hands and nothing is assigned: the option simply disappears from both accounts, and only the cash difference remains. Out-of-the-money options expire worthless and vanish with nothing paid. Because these options are European-style, there is no exercise decision to make and no early assignment to worry about (see assignment and exercise).

The delivery price is an average

The delivery price is not the last trade or the index's last print. On Deribit it is the average of its index over the 30 minutes before expiry. Averaging makes the settlement much harder to move with a burst of trading in the final seconds. It also means the price on your screen at 08:00 can differ from what you are settled at: in a check BOSS ran against its own recorded index prints on 30 September 2026, for example, Deribit's 08:00 print was about $127 below the official delivery price, while the average of that half hour's 5-minute prints came within $17 of it. OKX and Bybit each publish their own delivery price for every expiry too, and because each venue uses its own index, the three rarely match to the dollar.

A worked example

You hold a $100,000 BTC call expiring on a Friday. At 08:00 the index prints $99,900, so the call looks worthless. But BTC spent most of the previous half hour higher, and Deribit's 30-minute average comes out at $100,150.

• The call settles at $100,150 − $100,000 = $150.
• Deribit's estimated delivery fee for an in-the-money option is min(0.015% × $100,150, 12.5% × $150) = min($15.02, $18.75) = $15.02, so you net about $135.
• Deribit's BTC options are coin-margined, so the credit arrives in BTC: $150 / $100,150 ≈ 0.0015 BTC, before the fee.

Whoever sold that call pays the same $150. Neither of you had to do anything; the position is simply gone the next time you look.

Pin risk

Pin risk is the uncertainty of an option whose strike sits right at the price near expiry. Its gamma is at its highest (see gamma), so the final payout can swing from zero to a meaningful amount on a small move during the averaging window. A short straddle or a long call butterfly centered on the price lives exactly there.

Cash settlement removes the stock-market version of pin risk (not knowing whether you will be assigned shares), but a crypto version remains: a delta hedge. If you hedged an option with a perpetual or a future, that hedge does not expire with the option. Once the option settles, the hedge is a naked directional position until you close it. Many traders simply close near-the-money options before the averaging window starts, accepting the spread to avoid the lottery (see managing positions).

Delivery fees

Holding an option through expiry can carry a delivery fee, charged only on options that finish in the money: on Deribit 0.015% of the settlement price, capped at 12.5% of the option's value, and nothing on daily expiries; on OKX 0.02%, capped at 7%, also nothing on day options; on Bybit 0.015%, capped at 12.5%. These are the venues' published schedules, and BOSS treats them as estimates.