Bybit X Block Scholes Crypto Derivatives Analytics Report (Oct 9, 2024): BTC Options Implied Volatility Declines as Call Options Volumes Surge

Key Highlights:

• Our weekly crypto derivatives analytics report dives into macro events, the current state of crypto and trading signals from spot trading volume and futures, options and perpetual contracts.

The uncertainty surrounding the upcoming U.S. election is clearly reflected in the term structures of both BTC and ETH implied volatility. Although implied volatility levels have been declining, realized volatility has increased in early October due to recent short-term fluctuations in spot prices. This downward trend in implied volatility is in stark contrast to the typical buildup of positions observed before known event risks, such as the anticipated release of BTC Spot ETFs in January 2024. 

Recently, we noted the highest trade volumes in BTC call options in over a month, leading to a recovery in open interest for calls that has restored levels lost after the September expiration.

Please check out the report’s highlights.