The Implied Volatility in The Bitcoin Options Market Last Week

[wilkine]

According to the latest data from blockchain analysis company Glassnode. The implied volatility was 50% lower than the long-term baseline observed between 2021 and 2022. However, with the onset of sell-offs this week, volatility quickly re-priced, with the implied volatility of short-term contracts expiring at the end of September more than doubling. Put options naturally underwent the most significant repricing; the 25-Delta skew completely reversed, bouncing back from a historical low of -10% to over +10%. Interestingly, amid such intense price fluctuations, the open interest in both call and put options remained relatively stable, with minimal net changes. This suggests that while volatility might have been underestimated, the options market did not experience widespread forced deleveraging.