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On Thursday February 9th, Euan Sinclair (twenty years of professional option trading experience and the author of “Volatility Trading” ,“Option Trading”) and Sam Chepal (portfolio manager with Ledger Prime) joined Greg Magadini and Fabio Bassani of Amberdata Derivatives to discuss the findings from their comprehensive research BTC Options - Dissecting Volatility Trends and Finding Edge in Four Years of Volatility Regimes. 

In this webinar, Amberdata explored the big questions that still remain in crypto volatility by dissecting the volatility surface and its associated regimes.

3 Top Takeaways

  • After analyzing the largest BTC options data set available, across bull, bear and volatile markets, the team found that there is still an edge for traders who can glean learnings from the commodities market (and in some cases the equity market) and can apply coin-specific knowledge.
  • The team offered an overview of the risk reversal structure and made the case for which strategy is potentially the most profitable given price and volatility changes. The team suggested that if the price of BTC is increasing, and volatility is decreasing, then a short risk reversal strategy can be favorable.
  • The team found that the normal state of the crypto options market is Contango. Using their proprietary data set, the team showed that the term structure is in Contango almost 77.5% of the time and rarely in Backwardation. Backwardation occurs in reaction to volatility “shocks” such as March 2020. After such a volatility shock – the team found that it took about 85 hours to revert to “normal”.

This was truly an interesting session leveraging an unprecedented analysis of BTC option data. A recording of the full discussion is available here.

BTC Options Report


Tag(s): Cryptocurrency

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