At The Money (ATM) Implied Volatility On Bitcoin (BTC) Options Has Dropped To Rare Levels

Crypto market is showing signs of being 'too quiet'
With volatility low and markets thin, caution is warranted around sharp moves
Crytpo and Bitcoin Market Cap Story of Day

Crytpo and Bitcoin Market Cap Story of Day

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CRYPTO STORY OF THE DAY

At The Money (ATM) Implied Volatility On Bitcoin (BTC) Options Has Dropped To Rare Levels - Historically, Volatility Does Not Stay At Depressed Levels For Very Long

One-month ATM vol on BTC has decisively dipped below 60%. Since the summer, that has only occurred in mid-November which ultimately preceded the drop from USD ~8,700 to ~6,500. One-month realized volatility has seen a 20 vol decline in the last week and looks poised for its third-lowest reading of 2019. Lower levels were only seen in September prior to a USD 2,000 drop in BTC and in March which preceded a move up nearly USD 2,000.

Crypto Takeaway: The crypto market is showing signs of being 'too quiet' which typically does not last very long. The only time in the last ~3-years we have seen decisively lower realized and implied vol levels was in November 2018 which preceded one of the most aggressive declines in bitcoin's history. With volatility low and markets thin, caution is warranted around sharp moves up or down coming into the Holiday Season.

CRYPTO CHART OF THE DAY

BTC ATM Implied Volatility - ATM implied volatility hovering around levels that are some of the lowest seen this fall...


Source: Skew.com

 

About the Author

FRNT Financial is a technology and sales layer that offers institutional and accredited investors access to various forms of exposure to crypto-assets.