Volatility has made a comeback in 2023 after +28% and +32% gains for BTC and ETH spot prices
Not all volatility is created equal. We explore how daily vol is understating the price changes in a trending market
Crypto has reached a $1 trillion market cap once again
In the fallout from FTX, volume is moving to CME futures and options
Since the start of the new year, a trending market has raised crypto prices (BTC +28%, ETH +32%) and reawakened interest in option markets.
These large moves have jolted implied volatility out of its doldrums, with BTC and ETH options rising +10-25% across all maturities. Not surprisingly, demand has been concentrated on upside call options. The next few months look promising for long volatility, with a choppy macro environment and important fundamental catalysts in crypto, namely the Shanghai hard fork in Ethereum scheduled for March. Add to the mix that the crypto market is once again at +$1 trillion just as regulatory scrutiny is reaching an all-time high, and 2023 could be a very eventful year.
In this report, we will discuss some strategies for exposure to Vega, Gamma and upside options. We will also explore the strange disconnect between realized volatility and large price movements thus far this year. Specifically, we investigate how mean-reverting or trending markets (like January 2023) affect option strategies differently depending on how they are delta hedged.
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Since the start of the new year, a trending market has raised crypto prices (BTC +28%, ETH +32%) and reawakened interest in option markets.
These large moves have jolted implied volatility out of its doldrums, with BTC and ETH options rising +10-25% across all maturities. Not surprisingly, demand has been concentrated on upside call options. The next few months look promising for long volatility, with a choppy macro environment and important fundamental catalysts in crypto, namely the Shanghai hard fork in Ethereum scheduled for March. Add to the mix that the crypto market is once again at +$1 trillion just as regulatory scrutiny is reaching an all-time high, and 2023 could be a very eventful year.
In this report, we will discuss some strategies for exposure to Vega, Gamma and upside options. We will also explore the strange disconnect between realized volatility and large price movements thus far this year. Specifically, we investigate how mean-reverting or trending markets (like January 2023) affect option strategies differently depending on how they are delta hedged.
Purpose
This research is only for the clients of BitOoda. This research is not intended to constitute an offer, solicitation, or invitation for any securities and may not be distributed into jurisdictions where it is unlawful to do so. For additional disclosures and information, please contact a BitOoda representative at info@bitooda.io.
Analyst Certification
Nick Yoder, denoted by an “AC” on the cover of this report hereby certifies that all of the views expressed in this report accurately reflect his personal views, which have not been influenced by considerations of the firm’s business or client relationships.
Conflicts of Interest
This research contains the views, opinions, and recommendations of BitOoda. This report is intended for research and educational purposes only. We are not compensated in any way based upon any specific view or recommendation.
General Disclosures
Any information (“Information”) provided by BitOoda Holdings, Inc., BitOoda Digital, LLC, BitOoda Technologies, LLC or Ooda Commodities, LLC and its affiliated or related companies (collectively, “BitOoda”), either in this publication or document, in any other communication, or on or through http://www.bitooda.io/, including any information regarding proposed transactions or trading strategies, is for informational purposes only and is provided without charge. BitOoda is not and does not act as a fiduciary or adviser, or in any similar capacity, in providing the Information, and the Information may not be relied upon as investment, financial, legal, tax, regulatory, or any other type of advice. The Information is being distributed as part of BitOoda’s sales and marketing efforts as an introducing broker and is incidental to its business as such. BitOoda seeks to earn execution fees when its clients execute transactions using its brokerage services. BitOoda makes no representations or warranties (express or implied) regarding, nor shall it have any responsibility or liability for the accuracy, adequacy, timeliness or completeness of, the Information, and no representation is made or is to be implied that the Information will remain unchanged. BitOoda undertakes no duty to amend, correct, update, or otherwise supplement the Information.
The Information has not been prepared or tailored to address, and may not be suitable or appropriate for the particular financial needs, circumstances or requirements of any person, and it should not be the basis for making any investment or transaction decision. The Information is not a recommendation to engage in any transaction. The digital asset industry is subject to a range of inherent risks, including but not limited to: price volatility, limited liquidity, limited and incomplete information regarding certain instruments, products, or digital assets, and a still emerging and evolving regulatory environment. The past performance of any instruments, products or digital assets addressed in the Information is not a guide to future performance, nor is it a reliable indicator of future results or performance.
Ooda Commodities, LLC is a member of NFA and is subject to NFA’s regulatory oversight and examinations. However, you should be aware that NFA does not have regulatory oversight authority over underlying or spot virtual currency products or transactions or virtual currency exchanges, custodians or markets.
BitOoda Technologies, LLC is a member of FINRA.
“BitOoda”, “BitOoda Difficulty”, “BitOoda Hash”, “BitOoda Compute”, and the BitOoda logo are trademarks of BitOoda Holdings, Inc.
Copyright 2022 BitOoda Holdings, Inc. All rights reserved. No part of this material may be reprinted, redistributed, or sold without prior written consent of BitOoda.
Since the start of the new year, a trending market has raised crypto prices (BTC +28%, ETH +32%) and reawakened interest in option markets.
These large moves have jolted implied volatility out of its doldrums, with BTC and ETH options rising +10-25% across all maturities. Not surprisingly, demand has been concentrated on upside call options. The next few months look promising for long volatility, with a choppy macro environment and important fundamental catalysts in crypto, namely the Shanghai hard fork in Ethereum scheduled for March. Add to the mix that the crypto market is once again at +$1 trillion just as regulatory scrutiny is reaching an all-time high, and 2023 could be a very eventful year.
In this report, we will discuss some strategies for exposure to Vega, Gamma and upside options. We will also explore the strange disconnect between realized volatility and large price movements thus far this year. Specifically, we investigate how mean-reverting or trending markets (like January 2023) affect option strategies differently depending on how they are delta hedged.
Purpose
This research is only for the clients of BitOoda. This research is not intended to constitute an offer, solicitation, or invitation for any securities and may not be distributed into jurisdictions where it is unlawful to do so. For additional disclosures and information, please contact a BitOoda representative at info@bitooda.io.
Analyst Certification
Nick Yoder, denoted by an “AC” on the cover of this report hereby certifies that all of the views expressed in this report accurately reflect his personal views, which have not been influenced by considerations of the firm’s business or client relationships.
Conflicts of Interest
This research contains the views, opinions, and recommendations of BitOoda. This report is intended for research and educational purposes only. We are not compensated in any way based upon any specific view or recommendation.
General Disclosures
Any information (“Information”) provided by BitOoda Holdings, Inc., BitOoda Digital, LLC, BitOoda Technologies, LLC or Ooda Commodities, LLC and its affiliated or related companies (collectively, “BitOoda”), either in this publication or document, in any other communication, or on or through http://www.bitooda.io/, including any information regarding proposed transactions or trading strategies, is for informational purposes only and is provided without charge. BitOoda is not and does not act as a fiduciary or adviser, or in any similar capacity, in providing the Information, and the Information may not be relied upon as investment, financial, legal, tax, regulatory, or any other type of advice. The Information is being distributed as part of BitOoda’s sales and marketing efforts as an introducing broker and is incidental to its business as such. BitOoda seeks to earn execution fees when its clients execute transactions using its brokerage services. BitOoda makes no representations or warranties (express or implied) regarding, nor shall it have any responsibility or liability for the accuracy, adequacy, timeliness or completeness of, the Information, and no representation is made or is to be implied that the Information will remain unchanged. BitOoda undertakes no duty to amend, correct, update, or otherwise supplement the Information.
The Information has not been prepared or tailored to address, and may not be suitable or appropriate for the particular financial needs, circumstances or requirements of any person, and it should not be the basis for making any investment or transaction decision. The Information is not a recommendation to engage in any transaction. The digital asset industry is subject to a range of inherent risks, including but not limited to: price volatility, limited liquidity, limited and incomplete information regarding certain instruments, products, or digital assets, and a still emerging and evolving regulatory environment. The past performance of any instruments, products or digital assets addressed in the Information is not a guide to future performance, nor is it a reliable indicator of future results or performance.
Ooda Commodities, LLC is a member of NFA and is subject to NFA’s regulatory oversight and examinations. However, you should be aware that NFA does not have regulatory oversight authority over underlying or spot virtual currency products or transactions or virtual currency exchanges, custodians or markets.
BitOoda Technologies, LLC is a member of FINRA.
“BitOoda”, “BitOoda Difficulty”, “BitOoda Hash”, “BitOoda Compute”, and the BitOoda logo are trademarks of BitOoda Holdings, Inc.
Copyright 2022 BitOoda Holdings, Inc. All rights reserved. No part of this material may be reprinted, redistributed, or sold without prior written consent of BitOoda.