Volatility Weekly
Volatility Update, 6/30/23
BitOoda Crypto Market Report
Michael Tauckus
After a huge rally in cryptocurrencies last week, the markets took a bit of a breather ahead of today’s quarterly June options expiration. Following a runup to $31,000 in BTC and $1,900 in ETH, profit taking came in, driving implied volatility down on the week in the front end of the term structure. Mid to back end IV is roughly unchanged, as we continue to see supportive flows in September and December with paper buying the 35,000/45,000 call spread and 40,000 calls outright.
After this morning’s options expiration cleared some congestion in the market (43% of Open Interest), it appeared futures were poised to resume the march to new yearly highs. But not so fast, my friend – multiple Bitcoin ETF applications, which have been viewed as the catalyst for the recent rally were cited by the SEC as inadequate. After dropping ~3% on the news, markets have stabilized amid a now subdued trading session as many prepare for an extended weekend ahead of the July 4th holiday.
Bitcoin’s dominance remains, not only in the spot market, but in the options market as well, with options volumes of BTC outpacing those of ETH by 68.5% in June. We’ve often mentioned the historical implied vol spread of ETH to BTC trading at a premium. We noted a change last week in this spread, with BTC trading out to as much as a 10% premium at one point. BTC IV remains above ETH this week, and given the current narrative around Bitcoin and declining volumes in ETH, this may remain in effect for longer than we’ve seen in the past. Current IV levels seem fair to slightly underpriced in most expirations, most likely a result of the upcoming holiday. This is reflected in the daily breakevens, which we have been more than realizing for the past two weeks. If implied volatility continues to move in correlation with spot, we believe rallies into the 31-32k levels and spikes in IV and skew will present some nice yield generating call selling opportunities in the front end of the curve next week.
Unlock exclusive insights with our cutting-edge digital finance platform. Gain access to next-gen data analytics and digital asset products crafted with applied science. Subscribe now to stay ahead of the curve.
After a huge rally in cryptocurrencies last week, the markets took a bit of a breather ahead of today’s quarterly June options expiration. Following a runup to $31,000 in BTC and $1,900 in ETH, profit taking came in, driving implied volatility down on the week in the front end of the term structure. Mid to back end IV is roughly unchanged, as we continue to see supportive flows in September and December with paper buying the 35,000/45,000 call spread and 40,000 calls outright.
After this morning’s options expiration cleared some congestion in the market (43% of Open Interest), it appeared futures were poised to resume the march to new yearly highs. But not so fast, my friend – multiple Bitcoin ETF applications, which have been viewed as the catalyst for the recent rally were cited by the SEC as inadequate. After dropping ~3% on the news, markets have stabilized amid a now subdued trading session as many prepare for an extended weekend ahead of the July 4th holiday.
Bitcoin’s dominance remains, not only in the spot market, but in the options market as well, with options volumes of BTC outpacing those of ETH by 68.5% in June. We’ve often mentioned the historical implied vol spread of ETH to BTC trading at a premium. We noted a change last week in this spread, with BTC trading out to as much as a 10% premium at one point. BTC IV remains above ETH this week, and given the current narrative around Bitcoin and declining volumes in ETH, this may remain in effect for longer than we’ve seen in the past. Current IV levels seem fair to slightly underpriced in most expirations, most likely a result of the upcoming holiday. This is reflected in the daily breakevens, which we have been more than realizing for the past two weeks. If implied volatility continues to move in correlation with spot, we believe rallies into the 31-32k levels and spikes in IV and skew will present some nice yield generating call selling opportunities in the front end of the curve next week.
We’re also keeping a close eye on the IV spread between Dec 23 and June 24 in BTC. The spread currently sits at 3 vols. With the anticipated halving event next April, narrowing of this vol spread may present buying opportunities. Worth noting is the weekly rally of almost 13% in Solana on the heels of a new feature allowing users access on other blockchains.
Bitcoin price briefly clears $31K as monthly, quarterly close nears (Link)
New deBridge Feature Lets Solana Users Easily Access Any Ethereum-Based Blockchain (Link)
CME Group to add ether/bitcoin ratio futures in July pending regulatory approval (Link)
Fidelity becomes latest firm to re-up bid for spot bitcoin ETF (Link)
CME Group set to introduce ETH to BTC Ratio futures (Link)
Bitcoin Takes The Crown: Market Cap Dominance Soars Above 58%, Highest Level Since 2021 (Link)
SEC Says Spot Bitcoin ETF Filings Are Inadequate (Link)
New UK Law Recognizes Crypto Trading as Regulated Financial Activity (Link)
Vitalik Buterin Sympathizes With SEC-targeted Solana (Link)
Ark, 21Shares look to ‘strengthen’ bitcoin ETF filing after BlackRock joins race (Link)
Mastercard to continue crypto foray with beta launch of ‘blockchain app store (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.
After a huge rally in cryptocurrencies last week, the markets took a bit of a breather ahead of today’s quarterly June options expiration. Following a runup to $31,000 in BTC and $1,900 in ETH, profit taking came in, driving implied volatility down on the week in the front end of the term structure. Mid to back end IV is roughly unchanged, as we continue to see supportive flows in September and December with paper buying the 35,000/45,000 call spread and 40,000 calls outright.
After this morning’s options expiration cleared some congestion in the market (43% of Open Interest), it appeared futures were poised to resume the march to new yearly highs. But not so fast, my friend – multiple Bitcoin ETF applications, which have been viewed as the catalyst for the recent rally were cited by the SEC as inadequate. After dropping ~3% on the news, markets have stabilized amid a now subdued trading session as many prepare for an extended weekend ahead of the July 4th holiday.
Bitcoin’s dominance remains, not only in the spot market, but in the options market as well, with options volumes of BTC outpacing those of ETH by 68.5% in June. We’ve often mentioned the historical implied vol spread of ETH to BTC trading at a premium. We noted a change last week in this spread, with BTC trading out to as much as a 10% premium at one point. BTC IV remains above ETH this week, and given the current narrative around Bitcoin and declining volumes in ETH, this may remain in effect for longer than we’ve seen in the past. Current IV levels seem fair to slightly underpriced in most expirations, most likely a result of the upcoming holiday. This is reflected in the daily breakevens, which we have been more than realizing for the past two weeks. If implied volatility continues to move in correlation with spot, we believe rallies into the 31-32k levels and spikes in IV and skew will present some nice yield generating call selling opportunities in the front end of the curve next week.
We’re also keeping a close eye on the IV spread between Dec 23 and June 24 in BTC. The spread currently sits at 3 vols. With the anticipated halving event next April, narrowing of this vol spread may present buying opportunities. Worth noting is the weekly rally of almost 13% in Solana on the heels of a new feature allowing users access on other blockchains.
Bitcoin price briefly clears $31K as monthly, quarterly close nears (Link)
New deBridge Feature Lets Solana Users Easily Access Any Ethereum-Based Blockchain (Link)
CME Group to add ether/bitcoin ratio futures in July pending regulatory approval (Link)
Fidelity becomes latest firm to re-up bid for spot bitcoin ETF (Link)
CME Group set to introduce ETH to BTC Ratio futures (Link)
Bitcoin Takes The Crown: Market Cap Dominance Soars Above 58%, Highest Level Since 2021 (Link)
SEC Says Spot Bitcoin ETF Filings Are Inadequate (Link)
New UK Law Recognizes Crypto Trading as Regulated Financial Activity (Link)
Vitalik Buterin Sympathizes With SEC-targeted Solana (Link)
Ark, 21Shares look to ‘strengthen’ bitcoin ETF filing after BlackRock joins race (Link)
Mastercard to continue crypto foray with beta launch of ‘blockchain app store (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