The peak daily volatility of bitcoin is in the ~10% a day range [1], varying a lot month to month. The implied 10-minute volatility is 10% / sqrt(24 * 6) ~= 0.8

The peak daily volatility of bitcoin is in the ~10% a day range [1], varying a lot month to month. The implied 10-minute volatility is 10% / sqrt(24 * 6) ~= 0.83%, assuming independence of successive 10-minute windows. This is likely an underestimate, because most financial time series display mean reversion. The Black-Scholes price of an at-the-money option is very approximately 1/sqrt(2pi) * vol to maturity, so the option is worth somewhere around 0.3% of the notional price on a high-volatility Bitcoin day, somewhat less than the 0.8% transaction charge. However, the charge is only paid if you go through with the transaction, so really this is an option that's 0.8% out of the money. With that assumption, the value of the option is just 0.08%. [1] https://btcvol.info/ https://btcvol.info/