An option-implied benchmark for prediction-market binaries

We compare barrier probabilities implied by option chains (Deribit, Yahoo Finance) with Kalshi prediction-market quotes on the same payoff, following 4.03 million contract-snapshots and 1,665 events to settlement. On crypto neither forecast is more accurate, so discrepancies are not evidence of prediction-market error. Discrepancies are hardest to trade where they look largest, consistent with the winner's curse, and no edge is established at taker execution.

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Publication Details

Journal
Zenodo (CERN European Organization for Nuclear Research)
Published
2026-09-30
DOI
https://doi.org/10.5281/zenodo.23057100
Primary Topic
Financial Markets and Investment Strategies
Type
preprint
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preprint

An option-implied benchmark for prediction-market binaries

Aleksei Demin, Fedor Tolmatskiy
Zenodo (CERN European Organization for Nuclear Research)
Financial Markets and Investment Strategies
preprint

An option-implied benchmark for prediction-market binaries

Aleksei Demin, Fedor Tolmatskiy
preprint en

Abstract

We compare barrier probabilities implied by option chains (Deribit, Yahoo Finance) with Kalshi prediction-market quotes on the same payoff, following 4.03 million contract-snapshots and 1,665 events to settlement. On crypto neither forecast is more accurate, so discrepancies are not evidence of prediction-market error. Discrepancies are hardest to trade where they look largest, consistent with the winner's curse, and no edge is established at taker execution.

Zenodo (CERN European Organization for Nuclear Research)
Shenzhen MSU-BIT University
Partnerships for the goals
Financial Markets and Investment Strategies
DOIOpen Access PDFOpenAlex
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An option-implied benchmark for prediction-market binaries — Aleksei Demin, Fedor Tolmatskiy · Zenodo (CERN European Organization for Nuclear Research) (2026) | TGRS Research Map | TGRS