Using Election-Dated BTC Options to Trade Event Volatility

Summary

This commentary considers how uncertainty around the US election could affect BTC volatility. It argues that predicting the direction of BTC after a defined political event is difficult, while a large move in either direction may create demand for options. A long straddle, combining a call and a put, provides a direction-neutral way to benefit from a sufficiently large move, though it costs premium and needs realized movement to overcome that cost.

The note compares the implied volatility of an at-the-money straddle expiring just after the election with an October straddle, describing a modest premium for the later expiry. It presents buying the later straddle as one expression of the event-volatility view, or buying it while selling the October straddle to focus exposure more specifically on the event period and reduce upfront cost. These are market observations from the time of writing, not evidence that the event premium was mispriced or that a large move would occur. Options can lose value if volatility falls or the move is insufficient.

Key ideas

• Election uncertainty can motivate volatility trades even when the direction of the underlying is unclear.
• A long straddle combines a call and put and can benefit from a large move in either direction.
• The note compares implied volatility across options expiring before and after the election.
• A calendar position buys the later straddle and sells the earlier one to emphasize event-period volatility.
• The proposed trade depends on future realized movement and volatility; the commentary supplies no outcome validation.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.