This newsletter summarizes the latest volatility statistics and analytics for Bitcoin and Ethereum options. BTC volatility increased as the spot price rallied to $16k but has since decreased as the spot price fell back down. ETH volatility also increased as its spot price moved closer to the launch of ETH 2.0. The newsletter provides analysis of implied volatility, realized volatility, volume activity, and term structures for both BTC and ETH options. It also announces new data integration from OKEX and includes the standard disclaimer.

1. Nov. 7th, 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: OKEX Data
5) Disclaimer

3. BTC Options
BTC $15,200

4. - BTC volatility as of 2020-11-07
- - BTC spot price saw an explosive rally to $16k this week
- - While long-dated option IV has been stable, short-dated options saw a
brief rally higher along with spot price
- - As spot price dropped back down IV also dropped
- - Short-dated options are now bid to the put side

5. Options with approx. 35 days to expiration (filter 10 to 60 days)
- ATM IV had a sharp move higher along with spot price, driving skew higher before dropping back down
- Again, we’re seeing many opportunities trading the BTC option skew given these variations
- Skew is now in “even” territory providing traders an interesting way to get long BTC given the correlation to IV and spot price

6. BTC volatility Term Structure as of 2020-11-07
- While the BTC IV term structure has relaxed back into contango, we did see backwardation on Friday as spot reached new YTD
highs
- Looking at both charts we can see that long-dated option IV has been relatively stubborn and hard to move

7. Volume Activity
- We keep witnessing very healthy volumes on Deribit along with explosive OI
- OI is also distributed more evenly across various expirations proving the market has participation in various time frames
- This display of broad-based market participation is strong evidence of new entrants into BTC

8. BTC realized vol. vs implied vol. as of 2020-11-07: (0-31 days to expiration & no delta filter)
- With the recent explosive RV activity, options IV is now relatively cheap since RV > IV
- Even though RV is high relative to it’s recent past, historically speaking, BTC has seen much higher RV

9. BTC volatility cone as of 2020-11-07
- We’re finally seeing some exciting RV across all the short-term windows while long-term RV windows remain mostly unaffected
- As previously noted, RV now exceeds the 75th percentile of the past year for some windows but expanding the volatility cone to
include 2017 data changes the picture profoundly. We suggest our subscribers to check that out.

10. ETH $440

11. - ETH volatility as of 2020-11-07
- - As ETH inched closer to “Phase 0” of ETH 2.0, traders jumped into
spot ETH, sending prices and option IV higher
- - ATM IV levels have moved higher for all expirations compared to last
week
- - Unlike BTC, option skews are NOT bid to the put side

12. Options with approx. 35 days to expiration (filter 10 to 60 days)
- Divergence with BTC is large
- ETH ATM IV has NOT retraced it’s move higher and ETH skew remains near the highs
- Given the IV divergence in the highly correlated crypto space, we see opportunity in trading relative IV’s

13. ETH volatility Term Structure as of 2020-11-07
- As expected, the fast spot move higher combined with the excitement around ETH 2.0 has flipped the ETH term structure from
contango to backwardation
- There is reason to believe the move higher in ETH is not yet over. This summer ETH IV exceeded 100%. Spot can still move much
higher given the BTC/ETH price ratio and the fundamental changes POS can bring.

14. Volume Activity
- Although the OI hasn’t exploded higher and isn’t evenly distributed in the same way as BTC OI, we did see very large ETH option
volume on Deribit in the past week
- ETH DEC 25th expiration continues to dominate the tape… traders might get the Phase 0 launch they’ve been positioning for

15. ETH realized vol. vs implied vol. as of 2020-11-07: (0-31 days to expiration & no delta filter)
- ETH RV and IV are trading tightly. RV seems to be dragging IV up higher with it.
- Given how high we’ve seen RV go in September, there’s a case to be made that vol is still low.

16. ETH volatility cone as of 2020-11-07
- ETH RV is higher than last week but has yet to exceed the 75th percentile like BTC has
- We expect that new YTD highs in ETH spot price would be accompanied by much higher levels of vol… potentially above 100%
again

17. Side by Side
The Highlights

18. BTC
ETH
The Highlights
-ATM IV has now
displayed divergence
between BTC and ETH
-BTC and ETH skew have
also diverged
significantly
-Relative vol trades
between BTC and ETH
are interesting here

19. The Highlights
-BTC has fallen back into contango
while ETH maintains a flat term
structure
-ETH has a peculiar term structure
shape in the short-dated options
BTC
ETH

20. We are happy to announce that
OKEX data has now been
integrated into G-VOL
Pro-Features

21. 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.