Implied Volatility Hits Low as Bitcoin and Ethereum Options Set to Expire
Greeks.live research institute Adam published an article on X platform stating that there are 30,500 BTC ($86,461.00 · Live) options set to expire this week, with a put-call ratio of 1.07 and the highest pain point at $82,000, carrying a notional value of $26.3 billion. Additionally, 116,000 ETH ($2,748.90 · Live) options are set to expire, also with a put-call ratio of 1.17 and the highest pain point at $2,660, carrying a notional value of $3.2 billion.
Adam notes that for the first weekly expiration after quarter settlement, Bitcoin prices surged on expiration day, with active trading in call options around $85,000, which has been a range-bound price over the past week. He also mentions that implied volatility decreased compared to last week and increased compared to two weeks ago, placing it at its lowest since this bull run began. Similarly, monthly realized volatility is following a similar trend, with main expiration term volatility risk premia decreasing.
Adam states that the current situation has led to a re-distribution of GEX (Greeks) values above $90,000, indicating a possible downward movement in prices. This follows over 10 months of bearish market conditions, which have now transitioned into a mini-bull run lasting more than a month and currently settling into a sideways adjustment phase with improved market sentiment.