33.5%: Bitcoin front-month options implied volatility, as quoted in mid-October, was more than 4 percentage points below realized volatility over the same period. Compared with readings from nearly the past five years, it sits in the very low range.
Volatility is quoted differently across the four venues: BTCUSDT is quoted first by listed options contracts, separately from the spot price; AEVOUSDT volatility is aggregated from individual market makers’ quotes, with off-chain matching and on-chain settlement; SNXUSDT folds it into a dynamic funding rate that moves with the rate at which skew accumulates; DYDXUSDT deducts it hourly from the spread between perpetual and spot prices. The day’s ranges were $81,801–84,352, 0.025–0.027, 0.238–0.260, and 0.130–0.145; their positions within the seven-day ranges were 24.6%, 18.1%, 46.4%, and 21.7%. The day’s high-low spreads as a share of the quotes were 3.11%, 8.36%, 9.10%, and 11.53%. Daily trading volume ranged from $645 million to $24,700.
The volatility level was pushed down, but the directional component was not. Over the same week, call-put skew shifted nearly 3 volatility points toward the downside, and the price of buying protection rose faster than the whole volatility surface. One-month volatility was 35.51%, and three-month volatility was 37.31%—the further-out quotes were more expensive.
Cheapness did not turn into a bearish position. Calls still accounted for about 60% of open interest, while money moved to the insurance side: October-expiry puts clustered at 78,000 and 80,000, with the largest block trade worth $204 million.
I checked what “five years” actually means: to rank within a five-year range, this metric has to be quoted every day; more than 80% of open interest across the five listed venues is concentrated at a single venue, so it’s not hard to check who sets the quote. At the other three venues, volatility only appears at settlement, so they can’t build up a range like this.
The five-year-low percentile applies only to the side where volatility is priced separately; the level is cheap, while the downside side is expensive. If implied volatility later rises above realized volatility and the spread on that side also narrows, that would mean the two metrics have converged, and I’d have to recalculate this reading. If neither changes, I’ll stick with this version for now. Volatility is quoted first, then we wait for price to realize it; these trading pairs on Binance spot refresh daily, so you can check them yourself. This is a record of opinion, not investment advice.$GTC
$ZK
$PYTH
#比特币期权波动率创五年新低
Volatility is quoted differently across the four venues: BTCUSDT is quoted first by listed options contracts, separately from the spot price; AEVOUSDT volatility is aggregated from individual market makers’ quotes, with off-chain matching and on-chain settlement; SNXUSDT folds it into a dynamic funding rate that moves with the rate at which skew accumulates; DYDXUSDT deducts it hourly from the spread between perpetual and spot prices. The day’s ranges were $81,801–84,352, 0.025–0.027, 0.238–0.260, and 0.130–0.145; their positions within the seven-day ranges were 24.6%, 18.1%, 46.4%, and 21.7%. The day’s high-low spreads as a share of the quotes were 3.11%, 8.36%, 9.10%, and 11.53%. Daily trading volume ranged from $645 million to $24,700.
The volatility level was pushed down, but the directional component was not. Over the same week, call-put skew shifted nearly 3 volatility points toward the downside, and the price of buying protection rose faster than the whole volatility surface. One-month volatility was 35.51%, and three-month volatility was 37.31%—the further-out quotes were more expensive.
Cheapness did not turn into a bearish position. Calls still accounted for about 60% of open interest, while money moved to the insurance side: October-expiry puts clustered at 78,000 and 80,000, with the largest block trade worth $204 million.
I checked what “five years” actually means: to rank within a five-year range, this metric has to be quoted every day; more than 80% of open interest across the five listed venues is concentrated at a single venue, so it’s not hard to check who sets the quote. At the other three venues, volatility only appears at settlement, so they can’t build up a range like this.
The five-year-low percentile applies only to the side where volatility is priced separately; the level is cheap, while the downside side is expensive. If implied volatility later rises above realized volatility and the spread on that side also narrows, that would mean the two metrics have converged, and I’d have to recalculate this reading. If neither changes, I’ll stick with this version for now. Volatility is quoted first, then we wait for price to realize it; these trading pairs on Binance spot refresh daily, so you can check them yourself. This is a record of opinion, not investment advice.$GTC
$ZK
$PYTH
#比特币期权波动率创五年新低