Bybit X Block Scholes Option Volatility Report (January 2025): Reflections From Year-End Expirations; Will $100K Hold This Time?

Key Highlights:

Our monthly report delves into insights from options volatility to inspire your next crypto move.

Following the significant expiration of contracts on Dec 27, 2024, and despite the largest single-day expiration in crypto derivatives history, the anticipated spike in volatility did not materialize. Instead, the realized volatility of BTC, ETH and SOL declined, defying expectations. Key takeaways include the following:

• Limited in-the-money (ITM) options expiration reduced potential hedging-driven market impact.

• Post-expiration, implied volatility for longer-dated options traded at a premium.

• The overall market remains cautiously bullish, with growing volatility premiums despite recent price movements.

Please check out the report’s highlights.