Nov. 22nd, 2020
G-VOL
Crypto Option Analytics Newsletter

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

BTC Options
BTC $18,600

- BTC volatility as of 2020-11-22
- - As this BTC spot rally continues IV has further increased
- -Short-dated & medium term options are up about 14pts in implied
volatility
- - Long-dated IV has also finally seen a move higher, gaining about 10pts
- - All three have positive skews in the .20-.30 delta range

Options with approx. 35 days to expiration (filter 10 to 60 days)
- The IV stability seen last week was short-lived, as ATM IV has gained nearly 20pts since last week for the 10-60day expirations.
- BTC option skews are near new highs, currently sitting around +12pts to the call side.
- These two charts highlight the rich level of opportunity. Note the big dip in ATM IV and skew levels.

BTC volatility Term Structure as of 2020-11-22
- The current term structure (left) depicts a mostly “flat” shape, where IV is bounded between 69% - 74%
- The shadow term structure (right) highlights the comparison of today versus last week... A HUGE shift upward across the board… All
expirations saw a massive increase in IV. WOW!

Volume Activity
- Deribit’s OI is on FIRE! We’re thrilled to see it! This OI chart almost resembles BTC spot!
- Volume from Monday 11/16 through Friday 11/20 was consistently large with a good chunk coming from block trades.

BTC realized vol. vs implied vol. as of 2020-11-22: (0-31 days to expiration & no delta filter)
- Last week IV was trading below RV, this week the situation has reversed… IV not only caught up to RV but is now bid over RV.
- Given BTC spot is flirting with ATH’s and BTC market capitalization is firmly in ATH territory, we can’t rule out a scenario where
spot, IV and RV all continue higher from here.

BTC volatility cone as of 2020-11-22
- Medium and short-term RVs are all near the median, which provides context to the notion that RV has been, and can be, much
higher.

ETH $551

- ETH volatility as of 2020-11-22
- - ETH has finally started catching up to BTC, both in terms of spot price
and volatility
- - Short-term and medium term expirations have seen a +30pts increase
in IV
- -Long-dated options have gained about +12pts of IV
- - Skews are positive for all three expirations

Options with approx. 35 days to expiration (filter 10 to 60 days)
- ATM IV is on a freight train higher, do not stand in the way. A melt-up may occur later which could provide a great fade
opportunity in terms of spot and vol.
- ETH ~.25 skew is also marching higher… Currently standing around the +15pts level… This does provide an interesting fade
opportunity at the current levels even if skew does go higher.

ETH volatility Term Structure as of 2020-11-22
- While the BTC term structure holds flat, the ETH term structure is clearly in a backwardated form.
- Due to the ETH IV levels seen previously in September we aren’t surprised by this massive ETH IV catch-up.
-Comparing the term structure versus last week, we see how BIG the IV has moved. Once again…. WOW!

Volume Activity
- The ETH options liquidity picture is different than BTC. Notice the overall OI isn’t parabolic like it is for BTC options.
- OI is also less evenly distributed than it is in BTC… All this suggests that ETH options trading is still more niche than the BTC
space.

ETH realized vol. vs implied vol. as of 2020-11-22: (0-31 days to expiration & no delta filter)
- Similar to BTC, the ETH RV>IV relationship seen last week has now flipped. IV is now clearly trading above RV.
- RV could still move higher, especially given that IV levels here are trading at a large premium to RV.

ETH volatility cone as of 2020-11-22
- ETH RV is above the median for almost every rolling window, but CAN go higher.
- ETH is moving and shaking… Again, we think there will be a good opportunity to sell vol at some point in the future but it makes
more sense to wait for the backside of the trade than to blindly sell vol on the frontside.
Let ETH have a blow-off top first, then fade vol.

Side by Side
The Highlights

BTC
ETH
The Highlights
-ATM IV is currently on a
rocket ship higher for
both BTC and ETH
-ATM IV for BTC gave a
nice pullback while ETH
only increased.
-BTC skew is
approaching a similar
premium as seen for ETH
skew.

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.