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Macro volatility is rising as geopolitical tensions, oil price uncertainty, and weaker labor data shake global markets. In crypto, options markets are pricing elevated downside risk while Bitcoin continues to trade in a tight range. This week’s derivatives data reveals how traders are positioning and where volatility may be mispriced.
USA Week Ahead (ET):
- Wednesday 8:30a - CPI
- Friday 8:30a - GDP
- Friday 8:30a - PCE
MACRO Overview
Big drivers of the macro market are war and jobs.
I know nothing about the Iran war and won’t “deep dive” into it to find a trade. I’d rather naively look at the chart.
One very important chart to look at is the OVX (oil volatility 30-day VIX)
Chart: OVX (TradingView.com)
We can see the market is very concerned and oil is priced like “anything can happen”.
For context, rarely has BTC seen +100% IV 30-days out… And that asset have rallied from $0 → $120k while oil has been in a $250 price range throughout the same 18yrs period.
VIX is also waking up!
Chart: Front-Month VIX future
The front-month VIX future is now trading around 29. That’s a very high level for the future (Cash VIX likely opens in the mid-30s Monday morning).
We also had the non-farm payroll (employment report) released last week. This came in below expectations with -92k jobs lost versus the expectation for +50k jobs created.
Although this headline number isn’t good for the economy it can nudge the Fed towards rate cuts.
This upcoming week we’ll have CPI and PCE inflation data. The big jump in oil won’t be reflected and assuming inflation continues to behave (outside of oil) this could also nudge the Fed towards cuts.
Potentially providing a relief rally catalyst if markets trade weak, during the week.
BTC: $66,296 (-1.1% / 7-day)
ETH: $1,945 (-2.9% / 7-day)
SOL: $82.41 (-4.2% / 7-day)
Crypto Options Overview
Bitcoin had a stellar rally early in the week, a short-squeeze type of trade.
From last Sunday’s newsletter, spot Bitcoin rallied from $67k → $73.8k (+10%), killing put buyers.
ONLY to end the week back at $66.4k, down (-1%).
Realized volatility for daily moves was very high while week-over-week volatility was basically nothing.
Chart: RV 1-month candle vs 30-days daily (pro.amberdata.io)
We can see here the ratio for realized volatility is very interesting. The orange line represents 30-day RV using daily candles (Parkinson Method) while the blue line (orthogonal chart) represents realized volatility using 1-monthly candle, (again, Parkinson Method).
Over the past 12-months, this is the largest divergence in realized volatility calculations.
This tells use that day-to-day the market is moving a lot, but on the larger time frame, prices are standing still. Consolidation.
I continue to think the market needs to trade “within the box”.
The daily calculation for 30RV = 77%, while the monthly candle method puts us at 30RV = 58%.
I think 58% is going to be more accurate right now, but we’ll likely test the levels of the “box” allowing traders good entry and exit for short-vol.
That’s my base-case.
Today, VIX is high, OVX (oil VIX) is high, VXSLV and GVX (silver and Gold) remain elevated.
War is a good reason for high volatility, but I can’t help but think the Trump administration will do something (at least verbally) to get markets to calm down.
The Fed also has a weaker labor market allowing them to say something to support the markets as well.
Chart: Bitcoin Gamma Exposure GEX
Traders remain undecided on the market direction as well. If we look at the Deribit GEX (gamma exposure chart) we see dealers are short a lot of gamma at the $60k level and the $75k levels… essentially the ceiling and floor of the box.
Should markets actually trade beyond the box, negative gamma will make things worse from a dealer rebalancing perspective.
BUT, this also means, traders are looking at the same levels and have hedged their own exposure at the ceiling and floor.
Chart: BTC ATM Volatility
Chart: BTC Term Structure
The term structure backwardation remains high here.
The market definitely has good reason to be afraid given the unknowables of war. The unknown, unknowns.
That said, I just DON’T like buying volatility here. Rather sell.
RV has traded higher than past IV, but current IV is projecting the RV to remain high here.
Just as we noted last week, the market seems over-hedged.
The short-put (cash secured) or RR-skew (delta hedged) given the current levels of extreme pricing seems like the most interesting trade.
Chart: 30-dte Wings/ATM ratio
Again, we’re priced at COVID and FTX bankruptcy extremes in terms of call discount and put premium for ∆25 skews.
After an extremely clean trade last week, we once again have the opportunity to reload this.
Even if the trade seems too risky to manage, it’s worth knowing where we are today, before wasting money buying puts.
For bear market expression, I think shorting BITX or ETHU (the 2x performance ETFs is going to be a better trade).
This avoids paying the volatility premium, yet captures the greater “tracking error” from the negative skew (assuming realized materializes implied).
BITX vs IBIT performance
You can see that IBIT and BITX have drastically performed differently, especially since the market began dropping in October 2025.
The BITX underperformance comes from the daily rebalancing “tracking error”
Remember, if a stock drops -50% it needs to rally 100% to return to break even…
2x “tracking error” is the same phenomenon being expressed. The denominator resets everyday. So if BTC drops from $67k→ $50k then returns to $67k, IBIT will be unchanged. BITX would underperform.
Hence downside realized skew helps the short BITX trade (edge for the bears).
TL:DR - Volatility pricing is very expensive for put protection. Bears are better off shorting the 2x ETFs. Short 2x ETFs does very well if downside volatility is higher than upside volatility.
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.
