Riding on the back of Kevin’s post here, how can one potentially maximize their EV and position for this? Well, here’s one way to do so.

The Senior Legal Analyst at Bloomberg gives Grayscale a 70% chance of winning.

The oral hearing for Grayscale’s case was in March. In 2022, 94% of the cases that had an oral hearing in March reached a verdict within 160 days, with just one outlier that took 170 days. Grayscale is already at 160 days. So, even if we don’t hear anything today, it is quite likely that we have something by the end of the month.

If the resolution is favorable, that opens up the gateway to spot ETF approvals. And we can also expect BTC to spike up by ~15%, putting it at $34K.

The 31K calls for tomorrow’s expiry are trading at ~ $20. If the scenario were to materialize, the payoff of the option would be $3K. Hence, this option is pricing a 0.66% chance of a Grayscale win today. I would put that possibility at 4-5%.