BitOoda Afternoon Report 12/9/2020 — Volatility

  1. December IV is 64.5% and is now below realized 15-day, which is at 77.5%.
  2. Call skew is down across maturities. December put skew made a comeback and is now the highest since the last week of September. December put skew is now steeper than call skew and is above historical averages.
  3. Contango (basis) to December shrunk to $35–50. This is the lowest level in a while and is in mid-single digits in terms of APY.
  • In December and March, put skew is attractive and calls are relatively expensive. With IV in backwardation we prefer longer Vega risk reversals in March and Shorter Vega in December.
  • We are neutral in our price view, however, if new highs are exceeded and the levels hold, we will be forced to become constructive on price again.
  • Use contango to enhance returns. We are aggressive here, as it stays 12%-15% APR.
  • In December, Calls are attractive relative to Puts and we recommend getting long the call skew outright or via risk reversals with a long Vega basis; scale the levels or ratios depending on your view on IV. While inexpensive by recent standards, the decay bill going into expiry is significant.
  • In March and June, put skew is attractive and calls are relatively expensive. We prefer longer Vega risk reversals (short call long put) here.
  • We are turning bullish in our price view given the sentiment moderation. We emphasize the importance of stop loss orders should the uptrend break.
  • Exit contango trades until a more opportune moment.

A boutique digital asset investment bank focused on providing innovative and compliant capital markets solutions for institutional clients.

Love podcasts or audiobooks? Learn on the go with our new app.

Recommended from Medium

Bitcoin is not money. If you seek “compliance” you are asking for trouble.

The Guide to The Wishing Well

Ferrum Network and BitMax.io Announce First FRM Burn Event

Hi guys! I would like to share with you my thoughts on the GoldFinch project and in general about…

NFTs — TRASH OR TECH

CRYPTO MASS ADOPTION (LEVEL GOD)

Bitcoin ATM Maschine — BitcoinWiki Visit. Source: De.BitcoinWiki.Org

Why WhaleRoom is About to Become the Most Inclusive & Exclusive Community at the Same Time

Shaping the Future of Crypto Valley with Emi Lorincz

Shaping the Future of Crypto Valley with Emi Lorincz

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
BitOoda

BitOoda

A boutique digital asset investment bank focused on providing innovative and compliant capital markets solutions for institutional clients.

More from Medium

Deviant Finance Integrates Chainlink Price Feeds to Help Secure Reserve System

How to buy SUSHI at Low Fees, Best Rates using RocketX Exchage| RocketX Exchange vs Uniswap vs…

Sample of one of my writings from 2017 about crypto

Another Monday, Another Week in (Quiet?) CryptoLand? 07/02/2022