BTC Option Vol Update

Happy Hump Day. Last week we wrote about $8,000 BTC as being the key level in this current market. We have remained rangebound, and volumes have dropped by about one third since the breakout higher almost a month ago. At this moment we are in a ‘range contraction’ and testing the near-term support ($7,000) and resistance ($9,000) to see which of these will break first. We still hold our price target to the upside as being $13,000, and to the downside $6,000 and possibly even back to the low $4,000s.

Over this month-long contraction period, we have seen a softening of BTC implied volatility. On the impressive rally we witnessed in mid-May, implied vols exploded from the low 60’s to just above 100%. Since then options (vol) have slowly been getting sold and have come back into the low 70’s%.

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When looking at options prices, we like to reference our BTC Realized Vol chart below to see how BTC options have historically performed. As you can see, the 150-day realized vol has sat in a tight range between 60–70%. The 30-day realized vol has a wider range, with a recent peak of about 90%. With this in mind, we believe that options prices are starting to settle into historically ‘fair value’. 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%.

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