Bitcoin, Ethereum Implied Volatility and related option stats

1. Oct. 31st, 2020
G-VOL
Crypto Option Analytics Newsletter

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

3. BTC Options
BTC $13,740

4. - BTC volatility as of 2020-10-31
- - Implied volatility has risen again in the past week, yet skews have
mostly kept a consistent shape
- - Short-dated IV has risen about +5pts while long-dated IV has dropped
about -3pts from last week
- - BTC has again continued to lead the spot and vol. space for crypto
markets

5. Options with approx. 35 days to expiration (filter 10 to 60 days)
-ATM IV has again moved higher after briefly dropping below the 50% IV handle
-Skew traders had a good opportunity as the IV drop also brought skews down to 0
-Like we saw last week, IV pops also brought skew levels higher, we currently reside at +5pts to the call side

6. BTC volatility Term Structure as of 2020-10-31 VS “SHADOW”
-Unlike last week, the steep contango structure has now dispersed, we are now near a flat IV term structure for BTC
-As the relentless BTC rally continues and previous cross-asset correlations break down, the IV term structure is primed for
backwardation should any large buyers suddenly spike spot prices higher
-We estimate a drop in spot price would reinstate a contango term structure, this could potentially create tradeable opportunities

7. Volume Activity
- 10/30 saw extremely high options volume on Deribit, with outsized block activity
- What is especially impressive is the large 10/30 expiration (which had the most OI last week) was quickly re-established via an 0I
increase in the 01/29 contracts
**At the time of this writing trading volume for date Oct. 31, 2020 has not finished

8. - - The large jump in 01/29 expiration OI is mostly concentrated in
36,000 Calls
- -Two of the large block trades had 8,000 and 4,000 contracts, but a
total of 16,000 contracts traded. Nearly $640k of premium blocked.
This trade occurred at 87.5% IV. This trade is nicely positioned for a
spot and vol spike
- -We will continue to monitor this activity
BTC 01/29 Expiration Activity Highlight

9. BTC realized vol. vs implied vol. as of 2020-10-31: (0-31 days to expiration & no delta filter)
- Options are currently trading “fair value” given RV = IV
- Without a premium/discount and a flat term-structure, trades are now more about vol direction and relative skew value, as opposed
to “roll down decay”

10. BTC volatility cone as of 2020-10-31
-Sustained RV increases have now put both 7-day and 14-day RV windows right on the median for the year
-It’s likely that a “real” spike higher in spot price would likely bump short-dated RV windows near the 75th percentile and beyond

11. ETH Options
ETH $389

12. - ETH volatility as of 2020-10-31
- - Unlike BTC, ETH IV has actually fallen compared to last week
- - Short-dated IV fell about -5pts while long-dated IV has dropped
- about -3pts from last week
- - Since BTC is leading the crypto market, ETH and DeFi are loosing the
spotlight, relative IV trades could provide opportunity, especially if 2.0’s
“Beacon Chain” proves to be a non-event

13. Options with approx. 35 days to expiration (filter 10 to 60 days)
- IV saw a brief rally but failed to sustain
-Like BTC, ETH skew rallied with IV but quickly gave it back

14. ETH volatility Term Structure as of 2020-10-31 VS “SHADOW”
- IV’s across all expirations saw a drop versus last week
- ETH continues to hold a steep contango with 25days to expiration providing significant “roll down decay”

15. Volume Activity
-Unlike BTC, the OI drop due to the 10/30 expiration was not quickly re-established and 01/29 did not see an OI uptick
-ETH 12/25 expiration continues to dominate the OI distribution
**At the time of this writing trading volume for date Oct. 31, 2020 has not finished

16. ETH realized vol. vs implied vol. as of 2020-10-31: (0-31 days to expiration & no delta filter)
- ETH IV and RV are trading near parity, yet a steep contango term structure provides “roll down decay” opportunity
- We could see a pickup in ETH activity and option IV due to a “beacon chain” launch (AKA Phase 0 of ETH 2.0), yet a non-event would
greatly deflate vol

17. ETH volatility cone as of 2020-10-31
- After seeing 7-day RV recently test the median, almost all short-dated RV windows flirt with the lower 25th percentile
- The pronounced summer rally seen in ETH, related to DeFi activity, is keeping the 90-day RV window elevated

18. Side by Side
The Highlights

19. BTC
ETH
The Highlights
-ATM IV has now
displayed divergence
between BTC and ETH
-BTC and ETH skew
display the same IV
correlation phenomenon
-BTC continues to lead
the crypto markets

20. The Highlights
-BTC and ETH IV levels are extremely
close to parity
-ETH has a FWD vol bump in the
11/27 expiration, making this a rich
expiration to sell for “roll down
decay”
BTC
ETH

21. This pro-feature allows users
to download the raw data in
the associated chart.
Net Positioning
This pro-feature aggregates the
aggressor activity for each put
and call strike in a chosen
expiration.
The idea here is to approximate
retail positioning, allowing
traders to pick strategic strikes.
Pro-Features

22. 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.