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1) Today's useful for understanding (i)BVOL. It was a volatile day! So BVOL was up (~35%), and iBVOL was down. ftx.com/trade/BVOL/USD

SBF

@SBF_FTX

May 1, 2020

2) But they hold MOVE contracts, and the daily MOVE actually expired close to 0--BTC is back where it started! So why didn't BVOL go back down, and iBVOL go back up?

SBF

@SBF_FTX

3) The answer is that they track _implied_ vol--how high volatility is trading, i.e. how volatile people think markets will be. So that means that they never hold _today_'s MOVE--always tomorrow's. So over the 30th they actually held ftx.com/trade/BTC-MOVE, which stayed high.

12:14 AM · May 1, 2020Twitter Web App

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4) They also held some weekly and quarterly MOVE contracts that increased in price. This means that they don't generally care exactly where BTC ends up at midnight UTC, and they don't generally respond to the direction it moves--just to how much people think it will keep moving.