GVol
Crypto Option Analytics Newsletter – Jan 3rd, 2021

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SUMMARY
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1) BTC Volatility and Other Statistics
2) ETH Volatility and Other Statistics
3) New Features
4) Disclaimer

BTC Options
BTC $33,850

- BTC volatility as of 2021-01-03
- - Finally the real crypto rally that everyone has been waiting for!
- It’s no surprise that implied vol is through the roof for BTC options.
- - Since our last newsletter IVs have gained the following:
ST +20pts, MT +10pts, LT +3pts
- -Skews are positive across the board, yet 0-10 delta tails are
symmetrical for ST and MT options.

Options with approx. 35 days to expiration (filter 10 to 60 days)
- Once above $20k, BTC had no problem getting above $30k quickly. This increase in realized vol. has brought ATM IV levels to
the 100% range. The highest in years.
- BTC skew showed a lot of variation in the past 2 weeks. Although FOMO buying in OTM calls tends to occur on big rallies, we
also saw an appetite to hedge tail risk by buying OTM puts…. These counteracting forces created a large range in BTC skew.

BTC volatility Term Structure as of 2021-01-03
- The BTC term structure is displaying major “Backwardation” with IV peaking at 123% (Left)
- Looking at the shadow term structure (Right), we can clearly see the shift in shape, from “Contango” to “Backwardation”
- We expect any spot price pull-back to be correlated with an IV drop.

Volume Activity
- Although it may appear that overall OI has dropped, we must remember that 2020-12-25 saw a major expiration cycle.
- Volumes were large during the past two weeks. This is something noteworthy due to the typically lower trading volumes during the
holiday seasons.
- Current OI is now concentrated in the 2021-01-29 expiration.

BTC realized vol. vs implied vol. as of 2021-01-03: (0-31 days to expiration & OTM options only)
- Both realized vol. and implied vol. have displayed a steady climb upward.
- IV is currently trading at a premium to RV, this is something important to note given that RV is near the top of the historical range
(ignoring the March Madness).

BTC volatility cone as of 2021-01-03
- Short-dated realized volatilities are all exceeding the 75th percentile.
- Let’s not forget that the short-dated vol. max’s reflect the March 2020 sell-off as well… We’d argue that sharp sell-offs are
different in nature than sharp rallies.
- Realized volatility is very high here and likely signaling a short-term spot price top!

ETH $945

- ETH volatility as of 2021-01-03
- - ETH also saw a massive spot price rally and a jump higher in implied
volatilities.
- - Short-term, Medium and long-term options saw IVs increase by
+33pts, +13pts and +9pts, respectively.
- -Long-date IV is currently showing the most positive SKEW, although
large strike intervals are slightly distorting the curve.

Options with approx. 35 days to expiration (filter 10 to 60 days)
- ATM IV saw a +30pts spike since our last newsletter, most of which occurred in the past couple of days.
- Skew has shown “some” variation but nothing as extravagant as BTC skew.
- Implied volatility is much higher overall for ETH than it is for BTC, despite BTC leading the rally.

ETH volatility Term Structure as of 2021-01-03
- The persistent ETH term structure “Hump” has now disappeared.
- ETH now displays a “Backwardation” term structure, something we’d expect to see in this volatility environment (left).
- The shadow term structure (right) shows how extended short-dated IV is, peaking at 170%.

Volume Activity
- Similar to Bitcoin, ETH has seen healthy volumes over the past 2 weeks, despite the holidays.
- Open interest is concentrated in the 2021-01-29 expiration as well.
- Although overall ETH OI appears to be lackluster, we’d say this is only due to the fact
that 2020-12-25 was a major expiration cycle.
-We’d also like to note the healthy block-trade volumes, especially prevalent in terms of
premium traded (left).

ETH realized vol. vs implied vol. as of 2021-01-03: (0-31 days to expiration & OTM options ONLY)
- 10-day realized volatility has finally caught up to the 100% area, although ETH has proved it can go higher.
- ETH IV is currently trading at a very large premium compared to realized vol.

ETH volatility cone as of 2021-01-03
- ETH short dated realized vol. windows are above the 75th percentile… Although we still could see higher vol as ETH spot “catches”
up to BTC spot.
- CME ETH futures could become a catalyst for institutional flows, combined with a lower float due to ETH 2.0 staking, this recipe
could send ETH spot and RV higher.

New Features

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2) 30/20 Skew
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90-days of hourly data
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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.
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However, errors or omissions are possible due to human and/or mechanical error.
All information is provided "as is" without warranty of any kind.