Bitcoin Options
While volatility fell and price dropped below 30,000; Theta burn did its part on short dated Call expiries last week. Puts paid off with Vega playing smaller role since the quick visit to lower levels was not the first of its kind. Price soon recovered and rose back above 34,000 with call premia rising in already high IV regime.
After dropping back to 32,000 a record short squeeze drove price back up to almost 39000, Vol exploding and weekly premia seeing biggest increase since the run up to 42,000. What followed was a session of controlled selling back down to the pre-short-squeeze level; the skew had however shifted positive. From around the 32,000 level price rose steadily with quick retraces all the way back to 37,000 with a considerably slower increase in premia and no bigger moves in IV.
Ethereum Options
Ethereum fell to almost 1200 before continuing a volatile journey upwards correlated to BTC spot movements, skew positive throughout. ATM volatility dropped towards end of last week, with IV trading at a discount to RV. At the beginning of February we saw weekly call premium increasing again, with the following rally ultimately reaching a new ATH above 1600.
With Weekly Options C-ETH-W-050221 (Strike: 1416) currently trading @ 143 % IV as opposed to
140 % IV at the end of last week and skew positive the run up was certainly in the cards.
P-ETH-W-050221 currently trading @ 138 % IV.
