Options Markets Still Sanguine on Volatility Risks

Despite concerns that a further hawkish repricing of Fed tightening expectations could provoke fresh cryptocurrency market volatility, Bitcoin options markets continue to signal that price risks remains limited. For example, Deribit’s Bitcoin Volatility Index (DVOL) remained unchanged at 51 on Tuesday, still not too far above January’s record lows of 42, according to data presented by The Block. Deribit is the dominant exchange for cryptocurrency derivatives.

Meanwhile, the 25% delta skew of Bitcoin options expiring in 7, 30, 60, 90 and 180 days also largely continue to go sideways, within recent ranges and, for the most part, still pretty close to zero, indicating a fairly neutral market positioning bias. In fairness, the 25% delta skew for shorter-term expiries like the 7 and 30-day are slightly negative at around -1.5, while the 180-day is at around 2.4, implying the market is a little more optimistic on the medium to long-term Bitcoin price outlook than in the short-term.