Last Monday we pointed out that the 30-day realized vol in BTC has dramatically slowed down. In that morning reported, we noted that “The implied volatility in September 2019 and December 2019 contracts is 90% (fair for last 2 months’ behavior but still elevated from a longer term historical prospective).” Over the last week we have watched BTC implied vols fall to 80% and hold the low 80%’s, in line with longer-term historical levels.
With implied vols coming in, we were able to capture this opportunity and close a longer dated BTC option deal we have been structuring for over a month.
M (6/26/20) $15,000 calls trade $2,600 for 500 contracts
Referencing $10,160 spot
We are extremely proud of the entire team here at Ooda Commodites for working with our client through the entire process of executing this bilateral trade. ISDA’s and CSA’s were worked on by legal between the client firm and the liquidity providers for weeks, with some of our input, while simultaneously working constructively with the trader to help generate the best derivative structure to express his view on BTC. We had the unfortunate timing of implied vols spiking on the BTC runup in late June, and have been patiently waiting for a good buying opportunity ever since. As BTC has been consolidating near this $10,000 level, implied vols have come back in to a comfortable buying area and we were able to close this option trade. Finally, these swaps will get reported compliantly into a Swap Data Repository (SDR).
This was a wonderful display of the full life-cycle of executing a bilateral trade with the aid of an agency broker and the value our firm can bring in terms of CSA advisory, derivative structuring, and finally, best execution.
If you would like to engage our team in any of these aspects please reach out to email@example.com