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Crypto Options Analytics Newsletter, Nov. 15th, 2020

  1. Nov. 15th, 2020 G-VOL Crypto Option Analytics Newsletter
  2. SUMMARY G-VOL Pro $79mo Starting 11/20/20 Subscribers get early access to our newsletter 1) BTC Volatility and Other Statistics 2) ETH Volatility and Other Statistics 3) Side-by-Side: The Highlights 4) New Pro-Features: OKEX Data 5) Disclaimer
  3. BTC Options BTC $15,900
  4. - BTC volatility as of 2020-11-15 - - Short-dated options are starting to go bid in the puts for FAR OTM wings, think -.10 delta, more than similar call wings. - - Long-dated options continue to hold positive skew, bidding up the calls. This is apparent when viewing skew in terms of delta buckets. - -Taken together, we see option buyers willing to pay more for calls, yet there is a put appetite for short-term extreme down-side protect.
  5. Options with approx. 35 days to expiration (filter 10 to 60 days) - ATM IV has been more stable this past week. - Last week we noted, “Skew is now in even territory providing traders an interesting way to get long BTC given the correlation to IV and spot price” this has proven to be true. Skew rallied from 0 to + 6pts, again… Crypto skew remains to be one of the most interesting relationships for trading.
  6. BTC volatility Term Structure as of 2020-11-15 - Long-dated options have a modestly flat curve, while the short-end of the term-structure becomes quickly steep (Left). - IV continues to show positive correlation to BTC spot. As we noted on Twitter (Right) short-term IV boosted higher, along with prices, as BTC spot broke above $16k.
  7. Volume Activity - We keep witnessing very healthy volumes on Deribit and great OI slopes. - Revisiting 01/29 expiration from last week (Top Right), we continue to see OI trickle in… The option OI for this expiration (Bottom Right) is completely dominated in the call tails. The big player has yet to close anything out, although they likely hedged elsewhere.
  8. BTC realized vol. vs implied vol. as of 2020-11-15: (0-31 days to expiration & no delta filter) - Relative value of option IV continues to be cheap (since RV > IV), combine this with spot correlation and option skew, we can see a lot of potential trading opportunities.
  9. BTC volatility cone as of 2020-11-15 - Although very short-term RV has dropped compared to last week, medium-term RV continues to be higher… If spot were to rally to the $20k range into this year’s end, we’d expect to see more vol. fireworks. - Longer dated RV windows are low due to the exclusion of March spot activity and the prolonged lull between then and now.
  10. ETH $445
  11. - ETH volatility as of 2020-11-15 - - Unlike BTC, ETH FAR OTM wings are symmetrical for short-dated options - - ETH’s medium-term expiration of Dec. 25th is also very symmetrical for FAR OTM wings, while ~.25 delta range is positively skewed. - - Long-dated options continue to hold positive skew, bidding up the calls relative to the puts.
  12. Options with approx. 35 days to expiration (filter 10 to 60 days) - ATM IV has fallen slightly versus last week. - ETH ~.25 skew is much more stable compared to BTC while holding the +8pts level.
  13. ETH volatility Term Structure as of 2020-11-15 - ETH has a more traditional contango term-structure. - There is also a short-dated IV steepness which makes option selling enticing around Nov. 27th, and Dec. 4th.
  14. Volume Activity - Although the OI hasn’t exploded higher, volume continues to be robust. - ETH DEC 25th expiration continues to dominate, this is going to be the expiration contract with the most liquidity.
  15. ETH realized vol. vs implied vol. as of 2020-11-15: (0-31 days to expiration & no delta filter) - ETH RV now exceeds IV by a healthy margin… Trading long volatility strategies in this environment could prove profitable. - Given how high we’ve seen RV go in September, there’s a case to be made that RV is still low.
  16. ETH volatility cone as of 2020-11-15 - In a similar story to BTC, ETH RV has dropped for short-dated windows over the past week. - RV is basically hoovering around the median across all window lengths.
  17. Side by Side The Highlights
  18. BTC ETH The Highlights -ATM IV has been more stable over the past week for BTC and ETH. -While BTC skew had another crazy week, ETH skew has been more stable despite a higher elevation. -ETH IV holds a +5pts premium compared to BTC IV.
  19. We are happy to announce that OKEX data has now been integrated into G-VOL Pro-Features
  20. DISCLAIMER Important notice! Crypto currencies and options trading has large potential 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 believed to 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.