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Crypto Option Analytics Newsletter – Dec 6th, 2020

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3. SUMMARY
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1) BTC Volatility and Other Statistics
2) ETH Volatility and Other Statistics
3) Side-by-Side: The Highlights
4) Disclaimer

4. BTC Options
BTC $19,176

5. - BTC volatility as of 2020-12-06
- - Compared to last week, IV levels for the various maturities have
increase slightly by +5pts.
- - Early in the week BTC made a run for the $20k price level, which
briefly caused IV to jump higher.
- - Skews are mostly positive, except for short-term and medium term
maturities which become negative in the 0.0-.10 delta tails.

6. Options with approx. 35 days to expiration (filter 10 to 60 days)
- ATM IV increased sharply, by +25pts, as BTC attempted to breach the $20k level. This proves the anticipation traders have for a
strong push through the $20k level. It also proves the significance of this price level.
- BTC option skew also saw a push higher, but not drastically, as IV jumped.

7. BTC volatility Term Structure as of 2020-12-06
- As previously noted, IV has increased about +5pts versus last week (right).
- The term structure shape hasn’t changed. We are still in a contango term structure.

8. Volume Activity
- With the lack of a breach through the $20k spot price level, option volumes and open interest levels have slowed down.
- This pause in option activity is congruent with spot price consolidation.
- Option OI is concentrated in expirations around the new year. We think the market anticipates short-term consolidation with
another attempt to break new ATH’s by the year’s end.

9. BTC realized vol. vs implied vol. as of 2020-12-06: (0-31 days to expiration & no delta filter)
- Excluding the “March Madness Meltdown”, 10-day realized volatility is near the highs of the year.
- Short-term option IV is trading below the 10-day realized levels, this is consistent with a BTC spot price consolidation. IV trades
ahead of RV, which displays the market is expecting a short-term drop in volatility.

10. BTC volatility cone as of 2020-12-06
- 7-day, 14-day and 30-day realized volatility is trading at or above the 75th percentile.
- If there is indeed a short-term lull in BTC price action, we expect realized vol. to quickly retrace to the median levels for 7-day and
14-day windows.

11. ETH $595

12. - ETH volatility as of 2020-12-06
- - ETH IV’s have moved higher compared to last week, gaining about
+10pts for short-term options and +5pts for medium and long-term
options.
- - Skews for ETH are positive for all expirations.

13. Options with approx. 35 days to expiration (filter 10 to 60 days)
- Like we saw for Bitcoin, ETH ATM implied volatility saw a brief rally of nearly +30pts.
- Skew levels also increased along with implied volatility levels.
- ETH skew has been more consistenly positive versus what we see in the Bitcoin space.

14. ETH volatility Term Structure as of 2020-12-06
- Similar to last week, the ETH term structure is still displaying a “hump” like function.
- We noted in the last issue that we expected this “hump” structure to be short lived.
- Early in the week (Right) we saw short-dated option volatility increase enough to cause the term structure to become backward.
Now that IV’s have settled back down the “hump” structure has resumed.
- We continue to see opportunity in positions that would benefit from a more normal term structure.

15. Volume Activity
- After the failed price increase early in the week, volumes have become more quiet.
- Notice the low levels of volume in terms of premium and the lack of block trading activity starting on 12/02.
- OI is still largely concentrated in the Dec 25th, expiration.
- Now that the ETH 2.0 beacon chain launch is behind us, we think exchanges such as Coinbase adding staking functions for ETH
could be a future price catalyst.

16. ETH realized vol. vs implied vol. as of 2020-12-06: (0-31 days to expiration & no delta filter)
- 10-day realized volatility is near the July and September highs.
- Like we see with Bitcoin, ETH IV is trading below the 10-day realized vol., implying a drop in RV going forward. Although we do
expect these drops to be short-lived assuming a price rally resumes.

17. ETH volatility cone as of 2020-12-06
- ETH RV is above the upper 75th percentile for the 7-day, 14-day and 30-day windows.
- We are at an interesting cross-roads here. ETH prices can pause, even briefly, causing vol. to drop, yet any kind of ETH rally could
bring ETH back to the $1,000 level, causing ETH vol. to come screaming higher.

18. Side by Side
The Highlights

19. BTC
ETH
The Highlights
-ATM IV for BTC is about
12pts lower than ETH.
With a differential of
20pts at their peaks.
-ETH skew is consistently
higher than BTC skew,
yet their peaks we’re
both +25pts.

20. 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.