Volatility Weekly

Volatility Update, 1/5/24

BitOoda Crypto Market Report

Michael Tauckus
Key Takeaway #1

Carry is defined as the difference between Implied Vol and Realized Vol. If carry is negative, the market is realizing more volatility than Implied Vol is suggesting. Positive carry indicates an anticipation that the market will move more in the future than it is currently realizing

Key Takeaway #2

We continue to see positive carry in both products as the market awaits the decision on spot ETFs.

Key Takeaway #3

January Vol Curve in BTC flattened significantly this week as we witnessed hedging activity and profit taking in the front end.

Key Takeaway #4

Positive call skew remains in both majors further out the curve, indicating the bullish nature of the flows in the back end

Wishing you all a Happy New Year! May 2024 bring you prosperity and success. The cryptocurrency market kicked off the year with enthusiasm, experiencing an impressive 8% surge on January 1st. Many anticipated that this marked the beginning of a significant upward trend. However, as had been a recurring theme in 2023, the market pulled off another head fake, with an equally notable sell-off just 24 hours later, erasing the initial gains. High amounts of leverage and short dealer gamma positioning are contributors to the increased volatility as the ETF deadline approaches

Despite the choppy price movements, the buy-thedip mentality remains prevalent, making these markets challenging, especially for the short gamma players. As we’ve often mentioned, auto-liquidations during periods of illiquidity can trigger cascading, exaggerated market moves. Option flows throughout the week were varied. Tuesday witnessed significant buying of March/June Call Calendars in BTC, suggesting a bullish play around the April halving. Implied volatility held firm even through Wednesday's sell-off, with size buying of BTC 42k puts. Thursday's recovery rally saw muted flows in the options space, accompanied by the flattening of January skews in both majors, a result of hedging activity and profit-taking. Call skew remains strong in longer-dated expirations. Surprisingly, despite the underlying price volatility, options volume for the week was unimpressive, possibly indicating a wait-and-see approach as many have likely positioned themselves ahead of next week's events.

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Wishing you all a Happy New Year! May 2024 bring you prosperity and success. The cryptocurrency market kicked off the year with enthusiasm, experiencing an impressive 8% surge on January 1st. Many anticipated that this marked the beginning of a significant upward trend. However, as had been a recurring theme in 2023, the market pulled off another head fake, with an equally notable sell-off just 24 hours later, erasing the initial gains. High amounts of leverage and short dealer gamma positioning are contributors to the increased volatility as the ETF deadline approaches

Despite the choppy price movements, the buy-thedip mentality remains prevalent, making these markets challenging, especially for the short gamma players. As we’ve often mentioned, auto-liquidations during periods of illiquidity can trigger cascading, exaggerated market moves. Option flows throughout the week were varied. Tuesday witnessed significant buying of March/June Call Calendars in BTC, suggesting a bullish play around the April halving. Implied volatility held firm even through Wednesday's sell-off, with size buying of BTC 42k puts. Thursday's recovery rally saw muted flows in the options space, accompanied by the flattening of January skews in both majors, a result of hedging activity and profit-taking. Call skew remains strong in longer-dated expirations. Surprisingly, despite the underlying price volatility, options volume for the week was unimpressive, possibly indicating a wait-and-see approach as many have likely positioned themselves ahead of next week's events.

Anticipating an official ETF decision, we expect the implied volatility premium built into the January contract to diminish, returning to flat or below the second month. This presents excellent trading opportunities before the weekend. We recommend buying the BTC February straddle (65.44%) and selling the BTC January straddle (71.85%), currently valued at $2370. Additionally, we favor selling iron butterflies or iron condors in both BTC and ETH to capitalize on the high implied volatility and flat skew structure. This strategy takes advantage of the elevated implied vol, while maintaining protection in case of significant market movements. Please reach out for further discussion or with questions on how BitOoda can assist with your hedging/trading needs

Notable Headlines

Bitcoin ETF Looks Very Likely Given These Bureaucratic SEC Steps
https://www.coindesk.com/markets/2024/01/03/bitcoin-etf-looks-very-likely-given-these-bureaucratic-sec-steps/
Celsius to Unstake $466 Million Ethereum Holdings, 'Ensure Ample Liquidity' for Creditors
https://decrypt.co/211799/celsius-to-unstake-466-million-ethereum-holdings-ensure-ample-liquidity-for-creditors
Bitcoin declines as market awaits news from SEC about ongoing review of applications for spot ETFs
https://www.theblock.co/post/270571/bitcoin-declines-as-market-awaits-news-from-sec-about-ongoing-review-of-applications-for-spot-etfs
Crypto traders gamble $1.5M on Bitcoin ETF approval results
https://cointelegraph.com/news/bitcoin-etf-approval-results-gambling-reddit-community
Solana transaction volume hits highest level in more than a year as memecoin activity increases
https://www.theblock.co/post/270183/solana-transaction-volume-hits-highest-level-in-more-than-a-year-as-memecoin-activity-increases
VanEck to Donate 5% of BTC ETF Profits to Bitcoin Core Developers
https://www.coindesk.com/business/2024/01/05/vaneck-to-donate-5-of-profits-from-btc-etf-to-bitcoin-core-developers/
Bitcoin ETFs Are Coming Fast. Crypto Investing Will Never Be The Same
https://www.investors.com/news/bitcoin-etfs-are-coming-fast-crypto-investing-will-never-be-the-same/
What Caused Bitcoin's 10% Crash: Matrixport? Jim Cramer? Leverage?
https://www.coindesk.com/markets/2024/01/03/what-caused-bitcoins-10-crash-matrixport-cramer-leverage/
Citi Alumni Plan Bitcoin Securities That Don’t Need SEC Approval
https://www.bloomberg.com/news/articles/2024-01-04/ex-citi-execs-plan-bitcoin-btc-securities-that-don-t-need-ok-from-us
Bitcoin Tops $45K for First Time in 21 Months
https://www.coindesk.com/markets/2024/01/02/first-mover-americas-bitcoin-tops-45k-for-first-time-in-21-months/

Disclosures

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 Michael Tauckus, the research analyst 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 through http on or ://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. All derivatives brokerage is conducted by Ooda Commodities, LLC a member of NFA and 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 2024 BitOoda Holdings, Inc. All rights reserved. No part of this material may be reprinted, redistributed, or sold without prior written consent of BitOoda

Wishing you all a Happy New Year! May 2024 bring you prosperity and success. The cryptocurrency market kicked off the year with enthusiasm, experiencing an impressive 8% surge on January 1st. Many anticipated that this marked the beginning of a significant upward trend. However, as had been a recurring theme in 2023, the market pulled off another head fake, with an equally notable sell-off just 24 hours later, erasing the initial gains. High amounts of leverage and short dealer gamma positioning are contributors to the increased volatility as the ETF deadline approaches

Despite the choppy price movements, the buy-thedip mentality remains prevalent, making these markets challenging, especially for the short gamma players. As we’ve often mentioned, auto-liquidations during periods of illiquidity can trigger cascading, exaggerated market moves. Option flows throughout the week were varied. Tuesday witnessed significant buying of March/June Call Calendars in BTC, suggesting a bullish play around the April halving. Implied volatility held firm even through Wednesday's sell-off, with size buying of BTC 42k puts. Thursday's recovery rally saw muted flows in the options space, accompanied by the flattening of January skews in both majors, a result of hedging activity and profit-taking. Call skew remains strong in longer-dated expirations. Surprisingly, despite the underlying price volatility, options volume for the week was unimpressive, possibly indicating a wait-and-see approach as many have likely positioned themselves ahead of next week's events.

Anticipating an official ETF decision, we expect the implied volatility premium built into the January contract to diminish, returning to flat or below the second month. This presents excellent trading opportunities before the weekend. We recommend buying the BTC February straddle (65.44%) and selling the BTC January straddle (71.85%), currently valued at $2370. Additionally, we favor selling iron butterflies or iron condors in both BTC and ETH to capitalize on the high implied volatility and flat skew structure. This strategy takes advantage of the elevated implied vol, while maintaining protection in case of significant market movements. Please reach out for further discussion or with questions on how BitOoda can assist with your hedging/trading needs

Notable Headlines

Bitcoin ETF Looks Very Likely Given These Bureaucratic SEC Steps
https://www.coindesk.com/markets/2024/01/03/bitcoin-etf-looks-very-likely-given-these-bureaucratic-sec-steps/
Celsius to Unstake $466 Million Ethereum Holdings, 'Ensure Ample Liquidity' for Creditors
https://decrypt.co/211799/celsius-to-unstake-466-million-ethereum-holdings-ensure-ample-liquidity-for-creditors
Bitcoin declines as market awaits news from SEC about ongoing review of applications for spot ETFs
https://www.theblock.co/post/270571/bitcoin-declines-as-market-awaits-news-from-sec-about-ongoing-review-of-applications-for-spot-etfs
Crypto traders gamble $1.5M on Bitcoin ETF approval results
https://cointelegraph.com/news/bitcoin-etf-approval-results-gambling-reddit-community
Solana transaction volume hits highest level in more than a year as memecoin activity increases
https://www.theblock.co/post/270183/solana-transaction-volume-hits-highest-level-in-more-than-a-year-as-memecoin-activity-increases
VanEck to Donate 5% of BTC ETF Profits to Bitcoin Core Developers
https://www.coindesk.com/business/2024/01/05/vaneck-to-donate-5-of-profits-from-btc-etf-to-bitcoin-core-developers/
Bitcoin ETFs Are Coming Fast. Crypto Investing Will Never Be The Same
https://www.investors.com/news/bitcoin-etfs-are-coming-fast-crypto-investing-will-never-be-the-same/
What Caused Bitcoin's 10% Crash: Matrixport? Jim Cramer? Leverage?
https://www.coindesk.com/markets/2024/01/03/what-caused-bitcoins-10-crash-matrixport-cramer-leverage/
Citi Alumni Plan Bitcoin Securities That Don’t Need SEC Approval
https://www.bloomberg.com/news/articles/2024-01-04/ex-citi-execs-plan-bitcoin-btc-securities-that-don-t-need-ok-from-us
Bitcoin Tops $45K for First Time in 21 Months
https://www.coindesk.com/markets/2024/01/02/first-mover-americas-bitcoin-tops-45k-for-first-time-in-21-months/

Disclosures

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 Michael Tauckus, the research analyst 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 through http on or ://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. All derivatives brokerage is conducted by Ooda Commodities, LLC a member of NFA and 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 2024 BitOoda Holdings, Inc. All rights reserved. No part of this material may be reprinted, redistributed, or sold without prior written consent of BitOoda

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