TI Weekly Options Market : Low Volatility,High Risk

TI Research

In 2021 Q3, the crypto asset industry will usher in another wave of market conditions. The innovation of DeFi 2.0 represented by Olypmus and Convex has attracted many investors to participate. The newly added amount of pledge has brought about a decrease in supply, and the incremental funds can easily drive the price of encrypted assets such as Bitcoin to new highs. As the slope of staking coins gradually flattened, Ethereum's bearish sentiment gradually increased.

Summarizing the data of last week's market, we find that:

  • The volatility of bitcoin price moved to 50% last week;
  • long-term holders are spending on-chain bitcoins;
  • Put options on Ethereum with a strike price of $3,000 were heavily allocated last week.


From the perspective of option position structure, we can see that bitcoin option positions move to the middle area. The Federal Reserve announced in November that it will reduce the scale of bond purchases. In an environment where the liquidity margin is tightening, it is recommended that investors pay attention to the future issuance of stablecoins on the chain.

According to the on-chain data presented by Glassnode, long-term holders are spending on-chain bitcoins. The speed of this expenditure is very obvious. Based on what we have tracked in the weekly report, this is an obvious leading indicator.

TokenInsight analyzed the volatility of Bitcoin in a previous report, and the average value of Bitcoin volatility is around 70%. After the volatility lows of this round of bull market, there are often substantial adjustments in spot prices. From the perspective of Bitcoin's volatility, this is a mean return process


In the past seven days, the trend of implied volatility to fall is very obvious. In a low-volatility environment, the impact of potential divergence on the market will be severe. From the perspective of position structure, options investors are not so optimistic about Ethereum. Put options on Ethereum with a strike price of $3,000 were heavily allocated last week. No matter in terms of contract or premium, the option position structure of Ethereum is not active.

From the perspective of deep-level market data, the implied volatility is gradually decreasing, and market sentiment is relatively weak. At the same time, the skew of Ethereum options changed from positive to negative. After investors start trade expectations, risk appetite has already converged, and there may be downside risks in the market.


DeFi 2.0 is the factor of this round of market changes, Ethereum once again allows the market to recognize its innovative value. As we mentioned in the previous weekly report, at the beginning of November, Meme tokens also ushered in market conditions, and investor optimism is not conducive to the healthy operation of the market. In the long run, the overall market cap of cryptos has limited upside.


TI Research

TokenInsight is a data and research organization for the digital asset market. TI provides comprehensive asset-related data and comprehensive and timely information and research services for digital assets.

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