TI Weekly Options Market: The Market Is Going Up - 2020 Week1

TI Research

At around 9 pm on January 2nd, the price of Bitcoin broke through the $30,000, increasing by more than 15% within 24 hours, and once exceeded $34,000 the next day. The options trading is more suitable for professional investors, and the signals of professional investors in the market can be used as one of the indicators of the future direction of the market to a certain extent.
  • It’s no surprise that implied vol is through the roof for BTC options.
  • Skews are positive across the board, yet 0-10 delta tails are symmetrical for ST and MT options.
  • Once above $20k, BTC had no problem getting above $30k quickly. This increase in realized vol. has brought ATM IV levels to the 100% range. The highest in years.
  • BTC skew showed a lot of variation in the past 2 weeks. Although FOMO buying in OTM calls tends to occur on big rallies, we also saw an appetite to hedge tail risk by buying OTM puts…. These counteracting forces created a large range in BTC skew.


TI Research

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