BTC Vol, ETH Vol, BTC and ETH side-by-side, Evolution of BTC RV, Paradigm, Disclaimer

1. Sept 12th 2020
G-VOL
Crypto Option Analytics Newsletter

2. SUMMARY
G-VOL is now live. Free for a limited time. Genesisvolatility.io
1) BTC Volatility and Other Statistics
2) ETH Volatility and Other Statistics
3) Side by Side: The Highlights
4) Evolution of BTC RV – Samneet Chepal
5) Paradigm Features
6) Disclaimer

3. BTC Options
BTC $10,446

4. BTC Volatility as of Sept. 12th, 2020
-Overall IV levels have increased 5-10pts since last issue.
-Short dated skews have gone noticeably bid to the puts.
-Longer dated options skews continue to be bid to the calls.

5. Options with approx. 35 days to expiration
-Looking at the call minus put skew for options with 10 to 60 days, we can see that the ~25 delta skew is 5pts bid to puts,
decidedly negative.
-ATM IV has had a rollercoaster ride since last issue rallying a MASSIVE 25pts from 8/30 – 9/6 then dropping 15pts since 9/6.

6. TERM STRUCTURE: Sept. 12th, 2020
-The term structure has continued to be in contango.
-Of note is the massive fwd-IV hump in longer dated options.
-Given the IV hump, we can see that Nov and Dec are particularly expensive IV’s.
Aug. 30th, 2020 Sept. 12th, 2020

7. Volume Activity
-BTC overall OI has become more muted as of late, this lack of participation in OI strikes us as counter-intuitive to IV rallies.
-OI is concentrated in the Sept. 25th contract, with muted participation in longer dated options.
-Daily volume has returned to the 2020 average, which is considerably higher than the 2019 levels.

8. Implied Vol & Realized Vol: Sept. 12th, 2020
-Implied Volatility for short-term OTM call options with 0-31 is trading below realized volatility. This is in part due to the fact puts
are bid for these expirations.

9. Volatility Cone: Sept. 12th, 2020
-We can see realized vol come back down given the shorter windows.
-Realized vol is mostly hovering around the median for BTC now.

10. ETH Options
ETH $385

11. ETH Volatility as of Sept. 12th, 2020
-ETH IV is currently about 5pts-10pts higher than last issue.
-Even more pronounced than BTC, the short dated skews are VERY
bid to the put side.
-Like BTC, longer dated options remain bid to the call side.

12. Options with approx. 35 days to expiration
-Looking at the call minus put skew for options with 10 to 60 days, skews have become significantly negative… From peak to
valley the skews have moved 30pts…. 30pts!!!!!!
-ATM IV has lost significant elevation, dropping about 25pts from last week after a big ~40pts rally since last issue.
-Until recently ETH skew had been consistently more positive than BTC, but now it is actually more negative.

13. Aug. 30th, 2020 Sept. 12th, 2020
TERM STRUCTURE: Sept. 12th, 2020
-The term structure has continued to be in contango.
-Of note is the massive fwd-IV hump in longer dated options.
-Given the IV hump, we can see that Nov and Dec are particularly expensive IV’s.

14. Volume Activity
-Unlike BTC, ETH continues to see explosive option volume and high OI, this activity is much more congruent with volatility.
-ETH OI has been, and continues to be, concentrated in longer dated option expirations, especially in the Dec. 25th, expiration.

15. Implied Vol & Realized Vol: Sept. 12th, 2020
-Implied Volatility for short-term OTM call options with 0-31 is trading at a significant discount to realized vol.
-RV is very elevated.

16. Volatility Cone: Sept. 12th, 2020
-RV is high across the board.
-We suspect that ETH volatility is leading BTC volatility.

17. Side by Side
The Highlights

18. BTC
ETH
The Highlights
-ATM IV has similar
charts for both BTC and
ETH.
-Skew volatility is MUCH
greater for ETH.
-ETH skew is VERY
negative compared to
BTC.
-ETH IV is +20pts to
30pts higher than BTC.

19. BTC
ETH
The Highlights
-OI activity is more muted for BTC
than ETH, which leads us to believe
that ETH vol is leading BTC.
-Part of the OI differential between
BTC and ETH is due to the long dated
OI appetite ETH traders have, which
isn’t true for BTC.

20. Evolution of BTC RV
Shout-out to Samneet Chepal on this work
analyzing the evolution of BTC realized vol.
Used hourly data to calculate Garman Klass
vol over a weekly period
Notice that as BTC has grown in size and
market cap, RV has steadily come down.
Follow Samneet
Twitter
@samchepal
LinkedIn
https://www.linkedin.com/in/samneetchepal/

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23. 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.