Throw Away Your Skew Model : BTC at 10K
BTC is about to break into 10K territory - or already did on some exchange by the time I finish this post - the level we have not seen in over a year. As we approach this round number we will observe the usual phenomenon of price clustering around this level, as key psychological level switches from support to resistance.
I typically do not pay significant attention to technical indicators, however this one is really different. Price clustering around key powers of 10 - like hundreds, thousands, or 10 thousands have been observed and well studied. While I do not know how will this impact spot returns, I can certainly say that it will have significant effect on the distribution of prices, and for option traders this means skew.
I expect skew behave quite different than it was before around this level, as trades will primarily focus on the price, as opposed to return / vol covariance, or other skew factors. If you're currently an options market maker - this will get tricky. And if you are a trader of options I expect there will be many interesting opportunities in the coming week or two.
If you're interested in trading BTC or ETH options there is only one exchange that I will recommend - Deribit.
Subscribe to:
Posts (Atom)
Weekly market report
Wall st delivered a mixed bag of news with VIX, VNKY, and VSTOXX and their underlying markets almost unchanged. VXD - volatility index based...
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiugw_eZRHpymL0ttml9Nq5rJbth3FjsHwPNiDHl9vFhd_0Qvx2hmcx4Wa6upLB-evdzggVnF8zq7vm3MdZrBzm_BOkJiRgxSLxX-2X6dz3jh9Od2lXPQjbu3nb2wuvoFyUYcaItuaHowKqQp4WvO4Fg81morN6mHNXBvEEdqW1NW9aFPZk-usTtFCQzA/s320/weekly_vols.png)
-
As I am sure all of you know Russia has began a full scale war against my home country Ukraine. Please make no mistake - Putin's goal ...
-
Another positive week for the market, and negative week for volatility. VIX and VSTOXX long term contracts continued to fall, declining by a...
-
Deutsche Bank Currency Volatility Index was developed to provide an implied volatility benchmark for major currency markets. The index is d...