The options market’s insurance premium hasn’t finished falling, but the price has already started moving down. I’m bearish on $ETH .
Deribit’s DVOL is now 50.36, while the latest one-hour realized volatility is just 43.73.
Implied volatility is 6.63 points higher than realized volatility, which looks like someone is paying in advance for a big move.
But DVOL is down 2.41 points today compared with yesterday’s close, so insurance is getting cheaper, not more expensive.
Over the same period, the price has fallen 17.23% over 30 days, while the current share of long accounts in the futures market is 72.3%.
My take: the trend has been consistently downward, yet the crowd is still piled into longs. The options premium looks more like it’s anticipating a high-volume move down than betting on a reversal.
My plan: if $ETH breaks below 2,237 convincingly, I expect this leg of the move down to continue.
If it rebounds and holds above 2,305, I’ll admit I’m wrong, and this bearish thesis is invalidated.
At this time tomorrow, will DVOL be above or below 50.36?
Deribit’s DVOL is now 50.36, while the latest one-hour realized volatility is just 43.73.
Implied volatility is 6.63 points higher than realized volatility, which looks like someone is paying in advance for a big move.
But DVOL is down 2.41 points today compared with yesterday’s close, so insurance is getting cheaper, not more expensive.
Over the same period, the price has fallen 17.23% over 30 days, while the current share of long accounts in the futures market is 72.3%.
My take: the trend has been consistently downward, yet the crowd is still piled into longs. The options premium looks more like it’s anticipating a high-volume move down than betting on a reversal.
My plan: if $ETH breaks below 2,237 convincingly, I expect this leg of the move down to continue.
If it rebounds and holds above 2,305, I’ll admit I’m wrong, and this bearish thesis is invalidated.
At this time tomorrow, will DVOL be above or below 50.36?
