Amberdata Blog

Crypto Options Analytics: CPI Surprise, FOMC Outlook & Crypto Volatility

Written by Greg Magadini | Mar 17, 2025

While macroeconomic factors continue to shape market sentiment, crypto remains tightly correlated with risk assets. Let’s dive deeper into the latest volatility trends and positioning insights in this weeks Amberdata Derivatives Newsletter:

USA Week Ahead (ET):

  1. Wednesday 2p - FOMC

Visit Amberdata.io

Disclaimer: Nothing here is trading advice or solicitation. This is for educational purposes only.

Authors have holdings in BTC, ETH, and Lyra and may change their holdings anytime.

MACRO Overview

Last week we had a good CPI print, +0.2% for Feb 2025 versus +0.3% expected. 

This bullish surprise caused the market to rally higher pre-market but was instantly sold down on market open Wednesday March 12th.

The inflation print reflects the economy before tariffs have kicked in, therefore there’s an unknown variable impacting the future CPI numbers. 

Chart: VIX

Vix finally came down Friday, but remains pretty elevated overall.
However, VVIX (Vol of Vix options) finally broke down below 100 affording portfolio managers cheap access to VIX optionality. 

I’d consider the VVIX pricing bullish for stocks. 

Chart: VVIX

The S&P has a clear technical inflection point at 5650 for the March future’s expiration. 

Despite Friday’s rally, I think we’d need a solid catalyst to break above this level and actually hold it. 

Chart: S&P 500 /ES Futures

The FOMC rate decision this Wednesday seems to be decidedly priced-in as “unchanged” by the market, according to the CME FedWatch Tool. A dovish surprise could give legs to the relief rally to continue higher. 

Chart: CME FedWatch Tool

A dovish surprise would likely not be found as a direct rate cut Wednesday but a sentiment shift from Powell during the press conference. 

Give the recent strong jobs report, I don’t expect to see this happen, but if it does, that could be a true "surprise” for the market.

BTC: $83,528 (+1.6% / 7-day)

ETH :$1,910 (-7.0% / 7-day)

SOL :$128.59 (+0.8% / 7-day)

Crypto Options Overview

In my mind, Bitcoin and crypto overall, remain driven by the macro picture right now. 

I don’t expect Bitcoin to diverge from risk-assets (SPX) for the time being. 

We can see the recent volatility in risk-assets helped create a strongly negative realized VRP for Bitcoin recently. 

Chart: Bitcoin Realized VRP

Despite the recent VRP being negative, the ATM volatility term structure remains lower than recent history peaks (the US election, inauguration) which tells me that vol would trade much higher if SPX breaks down further. 

Chart: BTC ATM IV

Scott Bessent and Trump have signaled that they’re not concerned with market dips and they’re thinking long-term for the economy. 

Meaning, SPX dropping further, Bitcoin dropping further and unemployment moving higher would help bring US treasury yields down and force the Fed to start cutting. 

It’s a guess, but I think Trump isn’t likely to reverse course on tariffs and on-shoring US manufacturing efforts at these price levels. 

Chart: BTC ∆25 RR

Chart: ETH ∆25 RR

Like last week, this makes the long-put/short-call risk-reversal position most interesting to me. 

I can’t imagine a world where risk assets crash lower and crypto doesn’t follow suit or VIX goes higher and crypto IV doesn’t follow suit.

ETH remains the most interesting short-trade. The strong ETH/BTC ratio and the overall altcoin sell-off seem like strong trends that will continue to drag ETH much lower. 

Paradigm's Week In Review

Paradigm Top Trades This Week

Weekly BTC Cumulative Taker Flow

ETH Cumulative Taker Flow

BTC Cumulative OI

ETH Cumulative OI

BTC

ETH

DeFi traders on Derive continue to use the platform for upside exposure in the options market. We can see strong Call bias for both Bitcoin and ETH.

Chart: BTC Option OI 

Chart: ETH Option OI

Platform TVL remains strong around $100m, although there’s been a slight dip since the DRV airdrop. 

AMBERDATA DISCLAIMER: The information provided in this research is for educational purposes only and is not investment or financial advice. Please do your own research before making any investment decisions. None of the information in this report constitutes, or should be relied on as a suggestion, offer, or other solicitation to engage in, or refrain from engaging, in any purchase, sale, or any other investment-related activity. Cryptocurrency investments are volatile and high risk in nature. Don't invest more than what you can afford to lose.