Crypto Options Analytics Newsletter Oct. 24th, 2020
- 1. Oct. 24th 2020 G-VOL Crypto Option Analytics Newsletter
- 2. SUMMARY Upgrade to GVOL- Pro $79mo gvol.io 1) BTC Volatility and Other Statistics 2) ETH Volatility and Other Statistics 3) Side by Side: The Highlights 4) New Pro-Features 5) Disclaimer
- 4. - BTC volatility as of 2020-10-24 - - Overall IV levels have risen significantly, short dated option IV has gained about +5-10pts - - Although hard to see here, skews are relatively positive (calls are about 1-2pts more bid than puts) - - Tail options become expensive quickly, with IVâs around 100%
- 5. Options with approx. 35 days to expiration (filter 10 to 60 days) -ATM IV exploded higher when spot price Bitcoin broke above YTD highs of 12,500 -This IV pop also created large opportunity for skew traders, sending BTC option skew up around +10pts, the recent range top -The combined effects of high IV and top of the range skew provides an interesting opportunity for a potential reversion trade
- 6. BTC volatility Term Structure as of 2020-10-24 VS âSHADOWâ - We can see the current term structure has rise about +10pts for short dated options and +5pts for longer dated options - The structure remains intact, despite higher IV levels overall - Although vol contango is still steep, a continued BTC rally could send IV term structure into backwardation
- 7. Volume Activity - Trading volumes remain strong with large options volume see on 10/21/2020 - EOM expiration (10/30/2020) currently dominates open interest found on Deribit. We expect overall OI to climb into year end, potentially to be the highest on record for Deribit.
- 8. BTC realized vol. vs implied vol. as of 2020-10-24: (0-31 days to expiration & no delta filter) - Last week IV held a hefty premium to RV, this past week RV caught up to IV. Both currently hover around 50%. - Options are currently trading âfair valueâ given RV = IV, yet there remains reason to believe bullish BTC price action could explode vol higher.
- 9. BTC volatility cone as of 2020-10-24 -The bullish price activity last week has brought 7-day RV back up to the median seen this year. -While 14-day and 30-day RV remain lower than the median, continued price action would bring these readings up too.
- 11. - ETH volatility as of 2020-10-24 - - Overall IV levels briefly rose but quickly fell back down to similar levels seen last week - - Positive skew is especially pronounced in longer dated options, while shorter dated options are more symmetrical - - Tail options are slightly less steep than the BTC counterpart
- 12. Options with approx. 35 days to expiration (filter 10 to 60 days) - IV saw a brief but major rally from 55pts to 75pts, which was then quickly faded back down -The IV pop and related skew pop (to +10pts) was much more short lived than in BTC, this is an example of BTC vol leaking into ETH, making an ETH vol and skew fade even more attractive
- 13. ETH volatility Term Structure as of 2020-10-24 VS âSHADOWâ - While BTC saw a huge term structure shift compared to the previous week, ETHâs term structure is almost identical (with exception for the short dated options) - June options actually saw a drop in IV - Short dated vol has seen a sustained +10pt rally
- 14. Volume Activity -Volumes for ETH exploded this past week with noticeably large block volume activity seen on Paradigm -Overall ETH OI is noticeably subdued, we expect this to continue despite ETH 2.0. We expect a rotation back into BTC.
- 15. ETH realized vol. vs implied vol. as of 2020-10-24: (0-31 days to expiration & no delta filter) - ETH IV and RV are trading near parity, yet ETH RV is lower compared to this summer - We could see a pickup in ETH activity and option IV due to a âbeacon chainâ launch (AKA Phase 0 of ETH 2.0)
- 16. ETH volatility cone as of 2020-10-24 - The recent ETH rally has moved RV up to the median for the 7-day window, while the 90-day window still reflects this summerâs activity - Medium RV windows are hovering around the lower 25th percentile
- 17. Side by Side The Highlights
- 18. BTC ETH The Highlights -ATM IV has come back down for both BTC and ETH after a significant rally, yet BTC remains above the previous range -ETH skew was slightly more volatile during the past week -We believe BTC vol lead the past week
- 19. The Highlights -Looking at the term structure with FWD vol in blue, we see that BTC has steeper term structure and ETH is flatter -ETH has a FWD vol bump in DEC. making it rather expensive BTC ETH
- 20. This pro-feature allows users to download the raw data in the associated chart. Net Positioning This pro-feature aggregates the aggressor activity for each put and call strike in a chosen expiration. The idea here is to approximate retail positioning, allowing traders to pick strategic strikes. Pro-Features
- 21. DISCLAIMER Important notice! Crypto currencies and options trading has large potential rewards, but also large potential risk. This site provides data and analysis to the user to facilitate the user's own investment decisions. It does not attempt to provide investment advice or recommendations. Any interpretation of the data presented that leads to an investment is at the user's own risk and Pink Swan Trading, Inc., and by extension Genesis Volatility, can not be held responsible for any losses that occur from such investments. You must be aware of the risks and be willing to accept them in order to invest in crypto currencies and options markets. Don't trade with money you can't afford to lose. This is neither a solicitation nor an offer to buy/sell crypto currencies or options. All information is obtained from sources believed to be accurate and reliable. However, errors or omissions are possible due to human and/or mechanical error. All information is provided "as is" without warranty of any kind.