7/30/2019 — BTC Vol Update

Today we want to recap BTC volatility as well as BTC options. As you can see from the chart below, the 30-day realized vol peaked ~120% on July 25th, but has come off back to ~105% as BTC price action has subsided. The 150-day realized vol has remained in a range of 70–80% since the beginning of the April rally.

Image for post
Image for post

These realized vol levels translate into the implied vol, as BTC options prices have crept lower over the last week. From the chart below, thanks to https://www.sk3w.co/options, we can see that over the last two months, implied vols in BTC sat in the mid 70%’s back in mid-June, spiking to north of ~120% by the end of June when BTC rallied thru $10,000 and up to $14,000, finally settling back in around 100%. As the 30-day implied vol has gone down from 120% to 105% over the last 5 days, implied vols have also come off, down from the low 100%’s to ~95%.

Image for post
Image for post

Looking back over our past BTC vol pieces, we reference our write up from June 12th. “If you are a long vol trader and want to accumulate, doing so in the low 60’s would be ideal, looking to sell options anytime we spike to or above 100%.”

After writing that piece, it only took 10 days for implied vols to reach that 100% level. It does seem that as BTC prices have settled in from the volatility we witnessed in the first half of this month, selling vol at levels above 100% as we mentioned in that previous piece is a winning strategy.

Finally, the call skew that blew out on this up move has come in during the last 5 days as well, but calls are still richer than puts, and we STILL feel there is time for HEDGERS to take advantage of this current skew curve.

Tomorrow we will give some examples of structures we feel can take advantage of this elevated call skew for hedgers.

Get the Medium app

A button that says 'Download on the App Store', and if clicked it will lead you to the iOS App store
A button that says 'Get it on, Google Play', and if clicked it will lead you to the Google Play store