Reduced implied volatility of ether and bitcoin at-the-money (ATM) options signals diminished confidence in the potential for higher prices, according to an analyst.
According to The Block's Data Dashboard, implied volatility (IV) for ether ATM options has dropped from over 88% to a current IV of around 60% for one week, one month and multi-month expires. IV for bitcoin ATM options for the same expiry ranges has also fallen, from a mid-month high of over 77% to a current reading of below 51%.
"The plummeting implied volatility is astonishing" according to cryptocurrency derivatives trader Gordon Grant. He told The Block the multi-week IV drop is consistent with a decline in realized volatility as well.
Grant added that derivatives traders who have been selling options contracts, both before and after the recent halving event, have given up on expecting bitcoin prices to rise further.
"Structured product flows have come to rinse the market with gamma, and aggressive overwriters, into and post-halving, have effectively threw in the towel on expectations of higher bitcoin prices," Grant said.
The cryptocurrency derivatives trader pointed out how the market went from seeing December 2024 bitcoin calls at a strike-price of $100,000 as a 50% delta instrument, to now considering call options with a strike price of $75,000 to have the same level of sensitivity (50% delta).
The shift suggests traders are placing more importance on options with a lower strike price, possibly because they believe bitcoin is more likely to reach $75,000 than $100,000 by year end.
Grant added that investors waited too long to sell their bitcoin when the market prices were high before the halving event, and as a result, missed the chance to make profits because the market prices dropped afterwards.
Additionally, he said there has been a rush of traders trying to sell options contracts before they expired because the prices for those contracts were much higher before the halving, particularly those that bet on bitcoin reaching $100,000 by December 2024.
"Hodlers of bitcoin appeared late to cash in on cyclically high vols pre-halving and the rush for the exits out of fat premiums that saw those same December $100,000 options go from 20% of spot to now well under 10%, as a representative heuristic," he added.
Disclaimer: The Block is an independent media outlet that delivers news, research, and data. As of November 2023, Foresight Ventures is a majority investor of The Block. Foresight Ventures invests in other companies in the crypto space. Crypto exchange Bitget is an anchor LP for Foresight Ventures. The Block continues to operate independently to deliver objective, impactful, and timely information about the crypto industry. Here are our current financial disclosures.
© 2023 The Block. All Rights Reserved. This article is provided for informational purposes only. It is not offered or intended to be used as legal, tax, investment, financial, or other advice.
免责声明：本文章仅代表作者个人观点，不代表本平台的立场和观点。本文章仅供信息分享，不构成对任何人的任何投资建议。用户与作者之间的任何争议，与本平台无关。如网页中刊载的文章或图片涉及侵权，请提供相关的权利证明和身份证明发送邮件到support@aicoin.com，本平台相关工作人员将会进行核查。
暂时没有评论，赶紧抢沙发吧！