Bitcoin ETF options signal reduced volatility expectations following crypto market recovery
Analysis from Saxo Bank examining options data from Sept. 23 reveals that IBIT's anticipated volatility levels are positioned close to the lowest point within its yearly range.
According to analysis from Saxo Bank, options contracts tied to BlackRock's iShares Bitcoin Trust (IBIT) are currently forecasting more modest price fluctuations than what the fund actually witnessed throughout Bitcoin's latest recovery period.
As of Tuesday's close across 20 trading sessions, IBIT's implied volatility registered at 37.4%, a figure notably lower than the realized volatility of 45.5%, according to Koen Hoorelbeke, who serves as Saxo's investment and options strategist, in a note published Thursday.
Utilizing Wednesday's market data, Hoorelbeke's assessment determined IBIT's implied volatility rank came in at 11.9, positioning this metric in the lower portion of the range observed over the past 12 months.
In our view the options market appears to be pricing calmer conditions than the recent past produced
Koen Hoorelbeke, Saxo investment and options strategist
While implied volatility captures market participants' expectations regarding upcoming price movements as reflected within options pricing, realized volatility quantifies actual historical price action.
In his analysis, Hoorelbeke pinpointed resistance levels in the vicinity of $87,000, which is where Bitcoin's upward momentum encountered obstacles on Sept. 21, alongside support zones positioned between $76,000 and $77,000.
At the time of writing, Bitcoin was changing hands at $84,751, reflecting a 1.6% gain over the preceding 24 hours, based on data from CoinGecko.