CRYPTO MOVERS AND PRICES
Crypto is unchanged once again this morning. Spot volumes are steady and remain in the range of 60% of the 30-day average.
Crypto Story of The Day
Anecdotal discussions with clients seem to point to mixed expectations in bitcoin (BTC) price in the coming months. While the directional call is difficult, implied volatility looks historically cheap.
While we were finding it easy to point out the bull case for BTC ownership in late July and August, additional risks have clearly entered the space in the last few weeks. We've been vocal in highlighting the risks in DeFi yielding platforms, which we view as a series of leveraged carry trades, Ethereum's risks as the protocol approaches a transition to proof of stake and now the U.S. government's charges laid on BitMEX. We believe it's likely Ethereum angst increases towards the end of the year (as the proof of stake transition approaches) and the BitMEX charges implicate other similar platforms which could also come under fire.
The above underscores downside risk in the space, however, BTC has nonetheless been resilient and held steady in the range of USD 11,000. Realized volatility remains well off annual highs though implied volatility, particularly 1-month out, is seeing its lowest readings of the year
While 3-year historical realized volatility averages approximately 80, 1-month implied vol is sub 50 and 3 to 6-month is in the range of 60. Implied volatility appears depressed as risks, such as the ones we've identified above, continue to grow.