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SPONSORED BY DELTA. EXCHANGE
GVol
Crypto Option Analytics Newsletter – Dec 13th, 2020
Be a Master of Options
Get $1000
Trade Options
Profits are yours
Options on Delta
Vanilla Options
MOVE (Straddles)
Turbo Options
Underlyings: BTC | ETH | LINK | BNB
Get $1K to trade Options on Delta
Claim $1000
SUMMARY
G-VOL Pro $79mo
gvol.io
*To become a sponsor contact greg@genesisvolatility.io
1) BTC Volatility and Other Statistics
2) ETH Volatility and Other Statistics
3) New Features
4) Disclaimer
BTC Options
BTC $19,176
- BTC volatility as of 2020-12-13
- - This week’s newsletter theme is “The gentle volatility float down!”
- - Compared to last week, IV levels for the various maturities have
dropped by about -5pts.
- - Although skews are still mostly positive, calls being bid over puts, this
asymmetry has edged closer towards symmetry over the past week.
Options with approx. 35 days to expiration (filter 10 to 60 days)
- ATM IV has been on a consistent “grind” down all week.
- Although BTC spot prices had dropped below $18k during the week, at the time of this writing, BTC prices are back to levels
seen last week.
- Skew has closely followed BTC spot price behavior.
BTC volatility Term Structure as of 2020-12-13
- The term structure shape hasn’t changed. We are still in a contango term structure. This is consistent with an environment where IV
is dropping.
- Looking at the “Shadow Term Structure” today vs last week (right), we can see IV dropping for all expirations except Sept. 2021.
Volume Activity
- This pause in option activity is congruent with spot price consolidation.
- Deribit’s new KYC rules will likely impact trading volumes and OI going forward. This isn’t related to BTC investor appetite.
- We still expect to see a push towards +$20k by the end of the year.
BTC realized vol. vs implied vol. as of 2020-12-13: (0-31 days to expiration & no delta filter)
- Both realized and implied volatilities have dropped significantly over the past week.
- We expect volatility to be highly correlated to spot activity given the big $20k “headline” price level.
- Consolidation will likely drop volatility levels down further, but a price rise above $20k could quickly bring vol. levels to +100%.
BTC volatility cone as of 2020-12-13
- As BTC spot price spent the week consolidating we saw realized vol. quickly retrace to the median levels for 7-day and 14-day
windows.
- Further price consolidation will likely bring the 30-day window to the median and the 7-day window to the lower 25th percentile.
ETH $590
- ETH volatility as of 2020-12-13
- - Unlike what we’ve seen in BTC over the past week, ETH IV has held
firm compared to last week.
- - Across maturities IV’s are about the same compared to last week, for
the exception of a very slight IV drop in short-dated options.
- - Skews for ETH are positive for all expirations, but also softened
throughout the week.
Options with approx. 35 days to expiration (filter 10 to 60 days)
- ATM IV has mostly flatlined throughout the week.
- Skew levels decreased drastically with the drop in spot price during the week, but quickly rebounded as spot price recovered.
- ETH skew had been consistenly more positive vs Bitcoin, but this week that wasn’t the case.
ETH volatility Term Structure as of 2020-12-13
- Similar to last week, the ETH term structure is still displaying a “hump” like function.
- Notice how the “Forward IV” highlights the relatively “RICH” March expiration implied volatility.
- Looking at the “Shadow Term Structure” (Right) we can see IV dropped very slightly but kept an identical shape.
- We continue to see opportunity in positions that would benefit from a more normal term structure.
Volume Activity
- Volumes in ETH options actually PICKED-UP versus last week… What is notable is block-trade volume.
- Overall OI has slowed down and seems to be on a plateau.
- OI is still largely concentrated in the Dec 25th, expiration.
ETH realized vol. vs implied vol. as of 2020-12-13: (0-31 days to expiration & no delta filter)
- 10-day realized volatility has dropped down significantly from last week.
- Unless new yearly highs are reached in ETH we expect ETH volatility to drop.
ETH volatility cone as of 2020-12-13
- ETH RV has dropped back down to the median levels for nearly all rolling windows, with the exception of the 30-day window.
- We continue to expect RV and spot price to still be highly correlated.
New Features
Global Stats: Comparing various exchanges
Compare changes in OI for various metrics
- Expiration
-Strikes
-Put / Call
90-days of hourly historical data for
- Skews
-ATM IV
-Wings / ATM (Ratio)
Three different maturity
buckets are all displayed on
one chart
DISCLAIMER
Important notice!
Crypto currencies and options trading has 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 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.

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Crypto Options Analytics Newsletter, Dec. 13th, 2020- (Download link below for High Resolution PDF)

  • 1. SPONSORED BY DELTA. EXCHANGE GVol Crypto Option Analytics Newsletter – Dec 13th, 2020
  • 2. Be a Master of Options Get $1000 Trade Options Profits are yours Options on Delta Vanilla Options MOVE (Straddles) Turbo Options Underlyings: BTC | ETH | LINK | BNB Get $1K to trade Options on Delta Claim $1000
  • 3. SUMMARY G-VOL Pro $79mo gvol.io *To become a sponsor contact greg@genesisvolatility.io 1) BTC Volatility and Other Statistics 2) ETH Volatility and Other Statistics 3) New Features 4) Disclaimer
  • 5. - BTC volatility as of 2020-12-13 - - This week’s newsletter theme is “The gentle volatility float down!” - - Compared to last week, IV levels for the various maturities have dropped by about -5pts. - - Although skews are still mostly positive, calls being bid over puts, this asymmetry has edged closer towards symmetry over the past week.
  • 6. Options with approx. 35 days to expiration (filter 10 to 60 days) - ATM IV has been on a consistent “grind” down all week. - Although BTC spot prices had dropped below $18k during the week, at the time of this writing, BTC prices are back to levels seen last week. - Skew has closely followed BTC spot price behavior.
  • 7. BTC volatility Term Structure as of 2020-12-13 - The term structure shape hasn’t changed. We are still in a contango term structure. This is consistent with an environment where IV is dropping. - Looking at the “Shadow Term Structure” today vs last week (right), we can see IV dropping for all expirations except Sept. 2021.
  • 8. Volume Activity - This pause in option activity is congruent with spot price consolidation. - Deribit’s new KYC rules will likely impact trading volumes and OI going forward. This isn’t related to BTC investor appetite. - We still expect to see a push towards +$20k by the end of the year.
  • 9. BTC realized vol. vs implied vol. as of 2020-12-13: (0-31 days to expiration & no delta filter) - Both realized and implied volatilities have dropped significantly over the past week. - We expect volatility to be highly correlated to spot activity given the big $20k “headline” price level. - Consolidation will likely drop volatility levels down further, but a price rise above $20k could quickly bring vol. levels to +100%.
  • 10. BTC volatility cone as of 2020-12-13 - As BTC spot price spent the week consolidating we saw realized vol. quickly retrace to the median levels for 7-day and 14-day windows. - Further price consolidation will likely bring the 30-day window to the median and the 7-day window to the lower 25th percentile.
  • 12. - ETH volatility as of 2020-12-13 - - Unlike what we’ve seen in BTC over the past week, ETH IV has held firm compared to last week. - - Across maturities IV’s are about the same compared to last week, for the exception of a very slight IV drop in short-dated options. - - Skews for ETH are positive for all expirations, but also softened throughout the week.
  • 13. Options with approx. 35 days to expiration (filter 10 to 60 days) - ATM IV has mostly flatlined throughout the week. - Skew levels decreased drastically with the drop in spot price during the week, but quickly rebounded as spot price recovered. - ETH skew had been consistenly more positive vs Bitcoin, but this week that wasn’t the case.
  • 14. ETH volatility Term Structure as of 2020-12-13 - Similar to last week, the ETH term structure is still displaying a “hump” like function. - Notice how the “Forward IV” highlights the relatively “RICH” March expiration implied volatility. - Looking at the “Shadow Term Structure” (Right) we can see IV dropped very slightly but kept an identical shape. - We continue to see opportunity in positions that would benefit from a more normal term structure.
  • 15. Volume Activity - Volumes in ETH options actually PICKED-UP versus last week… What is notable is block-trade volume. - Overall OI has slowed down and seems to be on a plateau. - OI is still largely concentrated in the Dec 25th, expiration.
  • 16. ETH realized vol. vs implied vol. as of 2020-12-13: (0-31 days to expiration & no delta filter) - 10-day realized volatility has dropped down significantly from last week. - Unless new yearly highs are reached in ETH we expect ETH volatility to drop.
  • 17. ETH volatility cone as of 2020-12-13 - ETH RV has dropped back down to the median levels for nearly all rolling windows, with the exception of the 30-day window. - We continue to expect RV and spot price to still be highly correlated.
  • 19. Global Stats: Comparing various exchanges
  • 20. Compare changes in OI for various metrics - Expiration -Strikes -Put / Call 90-days of hourly historical data for - Skews -ATM IV -Wings / ATM (Ratio) Three different maturity buckets are all displayed on one chart
  • 21. DISCLAIMER Important notice! Crypto currencies and options trading has 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 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.