Volatility Weekly
Volatility Update, 3/31/23
BitOoda Volatility Report 3/31/23
Michael Tauckus
While there was optimism that the sizable open interest in the BTC March $30,000 strike might create a gamma squeeze up and through that level, it failed to materialize before this morning’s expiration. Markets are near unchanged currently, with BTC at $28,617 and ETH at $1,839. Today marks the end of the first quarter of 2023, which saw an impressive rally across the digital asset space. Week on week, both products are little changed despite decent daily price action. Monday brought news of the CFTC’s enforcement action against Binance and CZ. This news dragged markets lower, bottoming out just below $27,000 and $1,700, respectively. The markets proved resilient, rallying late Wednesday and into Thursday and posting new highs for the year before pulling back yesterday afternoon. Ongoing concerns over inflation and the potential for government intervention in the financial system may be the catalyst needed for these assets to continue their upward trend. The pervasive bullishness was evident in option flows this week, with paper buying in the $30,000-$32,000 area in BTC and $2,000-$2,200 in ETH, as well as aggressive call spread buying across multiple expirations. This continued directional flow is encouraging, given that the market is trading within 2% of yearly highs. Implied volatility had maintained its levels around 60% in both products, with call skew continuing to be in demand. Today, however, we find implied volatility taking a nosedive, down 4% in BTC and 3% in ETH. Given the buying interest witnessed earlier this week and the overall uncertain macro picture, today’s selloff in IV may present a good opportunity to cover shorts or enter into a long Vol position.
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While there was optimism that the sizable open interest in the BTC March $30,000 strike might create a gamma squeeze up and through that level, it failed to materialize before this morning’s expiration. Markets are near unchanged currently, with BTC at $28,617 and ETH at $1,839. Today marks the end of the first quarter of 2023, which saw an impressive rally across the digital asset space. Week on week, both products are little changed despite decent daily price action. Monday brought news of the CFTC’s enforcement action against Binance and CZ. This news dragged markets lower, bottoming out just below $27,000 and $1,700, respectively. The markets proved resilient, rallying late Wednesday and into Thursday and posting new highs for the year before pulling back yesterday afternoon. Ongoing concerns over inflation and the potential for government intervention in the financial system may be the catalyst needed for these assets to continue their upward trend. The pervasive bullishness was evident in option flows this week, with paper buying in the $30,000-$32,000 area in BTC and $2,000-$2,200 in ETH, as well as aggressive call spread buying across multiple expirations. This continued directional flow is encouraging, given that the market is trading within 2% of yearly highs. Implied volatility had maintained its levels around 60% in both products, with call skew continuing to be in demand. Today, however, we find implied volatility taking a nosedive, down 4% in BTC and 3% in ETH. Given the buying interest witnessed earlier this week and the overall uncertain macro picture, today’s selloff in IV may present a good opportunity to cover shorts or enter into a long Vol position.
Key Fed inflation gauge rose 0.3% in February, less than expected (Link)
US Banks Have $620 Billion of Unrealized Losses on Their Books (Link)
Pentagon, Mine Bitcoin To Stay Superpower: Space Force Major (Link)
BlackRock Predicts More Rate Hikes, Possible Short-Term Volatility for Crypto (Link)
Fresh OCC ‘Fintech Office’ Tasked With Keeping Up With Crypto (Link)
Ripple (XRP) Explodes 20% Unfazed by Binance-CFTC Lawsuit, Bitcoin Consolidates: This Week’s Crypto Recap (Link)
Italy blocks ChatGPT, investigates suspected violations (Link)
Amazon's New Chip Moves AWS Into High-Performance Computing (Link)
Zero-knowledge Rollups Get Cheaper With Scale (Link)
Marathon CEO: ‘Diversity in Site Mix’ Is Key to Future Growth (Link)
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 author 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 Advisory LLC, 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 throughhttp://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 2023 BitOoda Holdings,Inc. All rights reserved. No part of this material may be reprinted, redistributed, or sold without prior written consent of BitOoda.
While there was optimism that the sizable open interest in the BTC March $30,000 strike might create a gamma squeeze up and through that level, it failed to materialize before this morning’s expiration. Markets are near unchanged currently, with BTC at $28,617 and ETH at $1,839. Today marks the end of the first quarter of 2023, which saw an impressive rally across the digital asset space. Week on week, both products are little changed despite decent daily price action. Monday brought news of the CFTC’s enforcement action against Binance and CZ. This news dragged markets lower, bottoming out just below $27,000 and $1,700, respectively. The markets proved resilient, rallying late Wednesday and into Thursday and posting new highs for the year before pulling back yesterday afternoon. Ongoing concerns over inflation and the potential for government intervention in the financial system may be the catalyst needed for these assets to continue their upward trend. The pervasive bullishness was evident in option flows this week, with paper buying in the $30,000-$32,000 area in BTC and $2,000-$2,200 in ETH, as well as aggressive call spread buying across multiple expirations. This continued directional flow is encouraging, given that the market is trading within 2% of yearly highs. Implied volatility had maintained its levels around 60% in both products, with call skew continuing to be in demand. Today, however, we find implied volatility taking a nosedive, down 4% in BTC and 3% in ETH. Given the buying interest witnessed earlier this week and the overall uncertain macro picture, today’s selloff in IV may present a good opportunity to cover shorts or enter into a long Vol position.
Key Fed inflation gauge rose 0.3% in February, less than expected (Link)
US Banks Have $620 Billion of Unrealized Losses on Their Books (Link)
Pentagon, Mine Bitcoin To Stay Superpower: Space Force Major (Link)
BlackRock Predicts More Rate Hikes, Possible Short-Term Volatility for Crypto (Link)
Fresh OCC ‘Fintech Office’ Tasked With Keeping Up With Crypto (Link)
Ripple (XRP) Explodes 20% Unfazed by Binance-CFTC Lawsuit, Bitcoin Consolidates: This Week’s Crypto Recap (Link)
Italy blocks ChatGPT, investigates suspected violations (Link)
Amazon's New Chip Moves AWS Into High-Performance Computing (Link)
Zero-knowledge Rollups Get Cheaper With Scale (Link)
Marathon CEO: ‘Diversity in Site Mix’ Is Key to Future Growth (Link)
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 author 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 Advisory LLC, 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 throughhttp://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 2023 BitOoda Holdings,Inc. All rights reserved. No part of this material may be reprinted, redistributed, or sold without prior written consent of BitOoda.
Markets are higher again today with Bitcoin leading the charge, up 2.7% to $45,385 while ETH is lagging a bit, up 1.1% to $2,453. We’re seeing the oft-mentioned ETH call overwriter covering some short calls overnight into this morning, with ~25k Feb calls bought. This is a small part of the book, and we expect more buying from this entity as the market pushes up to avoid auto-liquidation