IV's have exploded on #bitcoin after this...
Be careful _buying_ options in this environment. Maybe better to sell and collect some premiums on OTM strikes
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Replying to
Yup
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seems the ftx bvol jump is less pronounced than deribit IV on the dump, maybe because on MOVE it is retracing the climb so pricing lower on longer contracts?
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It only has non-struck MOVE so shouldn't really matter
I think it's possible that some of the options--especially the wider/illiquid ones--blew out a bit on Deribit during the crash, maybe from liquidations? But idk, I'm mostly speaking out of my ass.
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Look at Q4 MOVE, it went down in value, but if you calculate the IV off the floating strike it went up
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Heh yeah that's one interesting question--if BTC goes from 10k to 9k, does that mean that Q4 move should go down 10%? In other words is BTC's move in Q4 more like $2500 or 25%?
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It makes conceptual sense that being unstruck only tracks variation in IV, just not sure if the maths has been completely worked out to demonstrate it, and case like this where a big drop reduces exp variation is function of coming strike being from a lower nominal price level
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yeah that's the biggest thing, other than "does vol correlate with directional movement"
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i think though that, even based on this limited data, that the implied vol concept in the unstruck MOVEs is a diff thing than IV backed out using B-S from traded options.
maybe further in future if FTX runs full open options mkt can have yet another IV contract
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Fair--though maybe what you're saying is "MOVE contracts are inefficient and you can make money buying them and selling options"?