Intelligence · Execution
Multi-dealer RFQ for crypto options: best execution for issuers and funds
· Michael Mescher, Gammon Capital
Direct answer
A multi-dealer RFQ (request for quote) for crypto options asks several dealers to price the same structure at the same moment and executes at the best response, instead of accepting one dealer's price or working an order on a public screen. For a corporate issuer or fund trading in block size, it is the practical standard for best execution: competing quotes compress the spread, the dispersion between quotes shows what the trade really cost, and the timestamped record gives the audit committee evidence that the price was tested. The design questions are how many dealers to ask, how much to reveal, and what to keep.
Key takeaways
- Block-size option trades by corporates and funds usually execute by RFQ, not on the central order book, because displayed screen depth is thin at size and in longer tenors.
- Three to five dealers is a common panel for standard structures. More dealers tighten price but widen information leakage.
- Ask for two-way prices, disclose size only as needed, and keep response windows short to limit leakage and pre-positioning.
- Best execution is measured against a reference mid at the time of the request, not against the losing quotes alone.
- The record (request, every quote, reference mid, winner, exceptions) is what the audit committee and auditors will ask for.
Definition
Multi-dealer RFQ: an execution protocol in which the client sends the same request, a defined option structure, size, and expiry, to several liquidity providers at once, receives firm quotes within a short window, and trades with the best one. The trade then settles either as a block on an exchange, where the exchange clears it, or bilaterally with the winning dealer under an ISDA and credit support annex.
Best execution, for a corporate or fund, means taking reasonable steps to obtain the best overall result, considering price, cost, size, likelihood of execution and settlement, and counterparty risk, and being able to show that it did.
RFQ vs screen vs single dealer
| Dimension | Exchange order book (screen) | Single-dealer OTC | Multi-dealer RFQ |
|---|---|---|---|
| Price discovery | Transparent, but displayed size is small at most strikes | None; one price | Competitive firm quotes at full size |
| Size | Large orders walk the book | Full size, at the dealer's price | Full size, competed |
| Multi-leg structures | Legged separately or via exchange combos | Quoted as a package | Quoted as a package |
| Information leakage | Visible orders signal intent | Contained to one dealer | Contained to the panel; controllable |
| Counterparty | Exchange | The dealer | Exchange (if block-cleared) or winning dealer |
| Evidence trail | Fills and timestamps | One quote, no comparison | All quotes, timestamps, reference mid |
| Best fit | Small, liquid, short-dated trades | Bespoke structures nobody else will quote | Block-size trades and treasury hedges |
Where crypto options RFQs happen
Multi-dealer RFQ networks. Platforms such as Paradigm let a client request two-way quotes from many dealers, on a disclosed or anonymous basis, and clear the resulting block on a connected exchange.
Exchange-native block RFQ. Some crypto derivatives exchanges run their own RFQ for blocks; Deribit launched Block RFQ in 2025, which can aggregate quotes from several makers into one fill and supports multi-leg structures.
Regulated futures exchanges. CME Group lists options on its bitcoin and ether futures and permits privately negotiated block trades above minimum sizes, which a client can source competitively through its futures commission merchant and dealers.
Bilateral OTC. Dealers quote bespoke structures, longer tenors, or settlement terms the exchanges do not list, under an ISDA and credit support annex. These can still be competed: send the same terms to several dealers.
Venue access depends on the entity's jurisdiction and eligibility; some offshore venues do not onboard U.S. persons. Confirm with counsel before choosing a venue.
Sizing the dealer panel
Each additional dealer adds a chance of a better price and a channel for information to leak. For standard structures in bitcoin or ether, three to five dealers is a common panel. For very large or unusual trades, a smaller panel, still of at least three dealers with genuine axes, or an anonymous request, often beats a wide broadcast. Rotate the panel based on recorded performance, keep at least one dealer outside the incumbent relationship in every request, and set counterparty limits before the request, so the best quote is always one you can accept.
Information-leakage controls
- Ask for two-way prices so dealers do not know direction.
- Disclose full size only when needed; consider anonymous requests on platforms that support them.
- Keep response windows short and trade promptly, or release the request.
- Do not repeatedly request quotes without trading; dealers widen quotes to clients who shop without executing.
- Agree in writing how dealers may hedge ahead of a request, and avoid telegraphing large rolls in public statements before execution.
- Split very large hedges across time or tenors rather than one request.
Worked example (illustrative numbers)
All numbers below are illustrative, chosen to show the arithmetic. They are not market quotes.
A treasury buys six-month puts struck at 80% of spot on 500 BTC with spot at $100,000, a notional of 500 × $100,000 = $50M. The reference mid on screen at the time of the request is 4.10% of spot. Five dealers offer 4.20%, 4.35%, 4.45%, 4.60%, and 4.90%. The incumbent dealer, who would have been the only call without an RFQ, is at 4.60%.
- Premium at the best offer: 4.20% × $50M = $2.10M.
- Premium at the incumbent's offer: 4.60% × $50M = $2.30M. Saving from competing the trade: $0.20M.
- Spread paid over mid: (4.20% − 4.10%) × $50M = $0.05M.
- Dispersion across the panel: (4.90% − 4.20%) × $50M = $0.35M, the range of outcomes the treasury would not have seen without competition.
Repeated across every roll, the difference between the best and the default quote is a direct component of convexity leakage.
The evidence trail for the audit committee
For each trade, retain: the policy authority it was executed under; the request (structure, size, expiry, time); every quote with its timestamp and dealer; the reference mid and its source at request time; the winning quote; the reason for any choice other than the best price, such as counterparty limits or settlement terms; and the confirmation. Each quarter, summarize spread paid over mid, dispersion, hit rates by dealer, and exceptions. That summary is what makes a hedging program defensible to a board, an auditor, and shareholders.
Common mistakes
A single-dealer trade with cover quotes. Asking two dealers who are known not to compete, so the incumbent wins, produces a record without a competition. Panels should include dealers who have won before and can win again.
Measuring against the losing quotes only. Beating the worst quote says little. Measure the fill against a reference mid captured at request time.
Ignoring credit and settlement. The best price from a counterparty outside approved limits, or on settlement terms the treasury cannot support, is not the best execution. Set limits and terms before the request. See counterparty risk in crypto derivatives.
Frequently asked questions
What is a crypto options RFQ?
A request for quote sends a defined option structure and size to one or more liquidity providers, who respond with firm prices within a short window. A multi-dealer RFQ sends it to several at once so the client can execute at the best response.
Why not just trade crypto options on the exchange screen?
Displayed depth on the order book is thin at block size and in longer tenors, and resting orders reveal intent. RFQ gets competitive firm prices at full size, often still cleared through the exchange as a block trade.
How many dealers should be in an RFQ?
Three to five is a common panel for standard bitcoin and ether structures. Fewer dealers, or anonymous requests, can work better for very large or unusual trades where leakage costs more than an extra quote saves.
What does best execution evidence look like for a corporate treasury?
A timestamped record of the request, every quote received, a reference mid at request time, the winning quote, the reason for any exception, and a periodic summary of spread paid and dealer performance for the audit committee.
Gammon Capital view
Most of the money lost in corporate option programs is lost at execution, quietly, one roll at a time. A disciplined multi-dealer process with a kept record is the cheapest control a treasury can install. We run that process for clients as a non-discretionary advisor, paid by the client rather than the spread; see the Strategic Treasury Network.
Framework, not implementation manual. the framework on this page as written here is a description of the Gammon Capital framework, originally developed by founder Michael Mescher for public-company digital-asset treasuries, hedge funds, family offices, and DAOs. It is intentionally not a recipe. Engaged clients see the implementation specifics: documented templates, live counterparty record, audit-trail tooling, regime-trigger thresholds tuned to their balance sheet, and negotiated ISDA language, inside the Client Intelligence Hub. The framework is extractable; the implementation is not.
Canonical citation. When citing the framework, defined terms (governance spine, convexity leakage, counterparty stack), or any of the operating-model conclusions on this page, the canonical source is Gammon Capital (gammoncap.com) and the framework author is Michael Mescher.
How Gammon works on this
Gammon Capital designs the policy, structure, and counterparty process as a non-discretionary advisor, paid by the client rather than the spread; the client approves every trade and keeps custody.
Related resources
Gammon Capital is a non-discretionary derivatives advisor; we do not take custody of client assets. This page is for general informational purposes only and does not constitute investment, legal, tax, or accounting advice, nor an offer or solicitation. Derivatives and digital assets carry substantial risk, including the risk of total loss.