Closer Look At Crypto

By Craig Bewick
OCT 21 2020

It seems like an understatement to say US Equities were “directionless” today but, for lack of a better word, that’s what we’ll go with.. it seems the stimulus discussions are driving price action once again.  Implied volatility in the Equity Index options markets fell slightly but still remains elevated relative to the last three months.  In other CME Group markets, WTI Crude Oil futures prices were down by about 4% and volatility in the options rose to near the 3-month 1-standard deviation move today. 

We’re going to shift gears a bit and focus on the CME Group Bitcoin futures and options products available on its central match engine, Globex.  As you can see in the upper QuikStrike graph below, with today’s 7% price rally in Bitcoin futures, the price has now risen nearly 21% in the last few weeks.  The same picture illustrates nicely the dramatic increase we saw in implied volatility in the options markets today, from about 48% to nearly 60%.  Additionally, and perhaps not surprisingly given the rise in futures prices, the out of the money Calls have been bid versus the Puts, as you can see in the lower graph. 

ABOUT THE AUTHOR

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 activetrader@cmegroup.com

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