Bitcoin Continues To Rally

By Craig Bewick
NOV 19 2020

US Financial and Commodity markets seem to be in a bit of limbo as good news about vaccines is weighed against a rising number of Coronavirus cases.  Once again, it is hard to find many products within any of CME Group’s six major asset classes that saw net price changes of over 1% today.  It’s somewhat interesting that, even in the face of increasing lockdowns, implied volatility in the equity index options remains near the low end of a one-standard deviation move relative to the last 6 months. 

There were a couple of exceptions that, coincidentally, are traditionally two of CME Group’s more volatile products.  Natural Gas futures prices were down by about 4.5% and Bitcoin futures prices continued to rise.  Implied volatility in the Jan 2021 natural gas options is currently as high as it’s been at this time of year than in any year since 2016, with the exception of 2019. 

We’ve graphed the price, volatility and skew of CME Group’s Bitcoin futures and options in the QuikStrike images below.  The top graph shows the price of the futures and 30-day volatility of the options and provides a nice illustration of how fast and far each has risen since the beginning of October.  The bottom graph which depicts the implied volatility of 25 Delta Calls minus that of the Puts (Risk Reversal) shows that, with the increase in prices, the Calls have been bid relative to the Puts. 


Craig Bewick has spent 25 years in futures and options markets, starting at CBOT and CME working in risk management, regulatory, technology, product management and client development. 

After 8.5 years with WH Trading LLC, Craig returned to CME Group as the Director, Client Development and Sales, working to educate and promote futures trading. Craig currently writes for InFocus Options Corner.

Connect with Craig at

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