Crypto Election Volatility: Risk Premiums, Skew, and Relative-Value Trades
Summary
This market newsletter reviews crypto options positioning ahead of a U.S. election and a dense schedule of economic releases. It compares Bitcoin implied and realized volatility, noting a stated premium in short-dated options and a rise in implied volatility concentrated in maturities under 30 days. The author interprets this as potential for fading pre-election volatility premium, while expecting realized volatility to remain subdued until election results arrive. It also discusses call-versus-put skew and the possibility of expressing relative value through Bitcoin and Ether calls.
The issue reports observations from several venues: a wider 30-day volatility risk premium for Bitcoin than Ether, positive longer-dated skews, and put open interest exceeding call open interest, attributed partly to put selling. It also mentions losses in an options-linked strategy. These are dated market snapshots and opinion, not a tested strategy or a reliable forecast. Elections, inflation releases, employment data, geopolitical events, and monetary policy can all shift volatility and invalidate the suggested trades; the newsletter itself says it is educational rather than investment advice.
Key ideas
- The newsletter treats elevated short-dated Bitcoin implied volatility as a possible pre-election premium to sell.
- Its term-structure discussion locates much of the weekly implied-volatility increase in maturities shorter than 30 days.
- Positive longer-dated skew and put-selling activity are interpreted as signs of relatively bullish positioning.
- A proposed relative-value expression buys Bitcoin call exposure while selling Ether call exposure.
- The observations are time-specific, and macro or geopolitical surprises could change the volatility outlook.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.