Crypto Options Weekly View: Volatility Premium, Skew, and Positioning
Summary
This weekly commentary interprets Bitcoin and Ether options markets around scheduled US inflation and Federal Reserve announcements in December 2022. It compares implied volatility with realized volatility, arguing that a wide volatility risk premium alongside subdued recent movement could make implied volatility expensive relative to realized volatility. The author expects event risk to support near-term implied volatility, then sees a quieter period after the announcements, while acknowledging that an inflation surprise could change the outlook.
The note also reviews term structure and risk reversals, describing short-dated implied volatility as rising into the events and downside skew as modestly elevated. Trade-flow summaries mention put spreads, call spreads, and activity across centralized and decentralized venues; a separate review reports changing volatility, volumes, and strategy returns. These observations are a dated market snapshot and subjective interpretation, not a tested trading rule. Forecasts may fail, and the reported flows do not establish future price direction.
Key ideas
- The commentary judges implied volatility relative to realized volatility through the volatility risk premium.
- Scheduled macroeconomic releases can raise short-dated implied volatility ahead of the events.
- A wide volatility premium is presented as a potential setting for selling volatility, subject to event risk.
- The reported options skew prices somewhat more downside volatility.
- Trade-flow examples describe positioning but do not establish a reliable forecast of subsequent market direction.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.