Block Scholes X Bybit Crypto Derivatives Analytics Report (Sep 11, 2024): U.S. Election Debate Collides With Surging Volatility Premium

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.

This week, derivatives markets have been focused on the upcoming U.S. election as the presidential debate concluded, with volatility for options expiring after November 5, 2024 priced at a significant premium compared to shorter-term options. Thus far in September, key events included the Federal Reserve's anticipated interest rate cuts, supported by falling inflation figures from August. The labor market remains a critical factor influencing the Fed's decisions.

In futures markets, there was little reaction to early September's spot price volatility, indicating a preference for longer-term positions. Open interest in perpetuals remained steady despite price fluctuations, suggesting lower leverage than previous sell-offs. In the options market, there’s strong demand for volatility exposure in the period following the U.S. presidential election, dominating long-term strategies.