The firm, who saw some early money for Steve McClaren, are also now 6/1 (opened 10/1) about the Black Cats failing to win another game this season.
Bet365 spokesman Steve Freeth said: "The nature of the departure could suggest that Sunderland already have somebody lined up.
"Steve McClaren was the first to be backed late on Saturday night, but now the market has settled its Di Canio for the money and he leads the charge to replace O'Neill."
Next Permanent Sunderland Manager
Paolo Di Canio 9/4
Steve McClaren 4/1
Mark Hughes 6/1
Roberto Di Matteo 7/1
Ole Gunnar Solskjaer 10/1
Gus Poyet 14/1
Brian McDermott 16/1
Alan Curbishley 20/1