Notes on the Options Market in BTC, November 2019 Edition

Ryan Anderson
Wave Digital Assets
4 min readDec 19, 2019


This post was written on 12/3/19.

Bitcoin price volatility, like the spot price itself, has settled into an autumn range, with 1m ATM vols rarely trading north of 75 or south of 55. Moreover, we can now distinguish a pattern of elevated vols around monthly expiries and declining vols until the next expiry. Isolated major moves in spot price still offer good chances to sell vol high, but recent local maxes have only scarcely gone higher than 85% IV.

Market Outlook: Bitcoin spot entered the month around the $9000 mark following the 40% intraday move in late October owing to news out of China which many interpreted as bullish for crypto adoption. (Other outperformers among altcoins included what were later deemed “China coins,” like NEO, TRX, ONT.) 1mo ATM implied volatility, our favorite measure, concomitantly spiked through 90% and remained in that neighborhood through expiry before declining precipitously back to the autumn range.

Through November, that range of broadly 50%-70% IV held as spot grinded south, with the exception of the Nov 21–23 period, when BTC fell 14% in a major technical move to flash below $7000. Even in that fall, vols hit a max of around 80%.

More notable than changes in the level of volatility have been movements in the term structure of volatility. In periods of big moves for the spot price, the curve tends to flatten.

On the left-most axis we see the time to maturity, and notice that for all strikes, implied volatilities were flat to negative following the massive October move. Note also that the lowest IV on this surface is 90%!

BTC ATM Volatility Term Structure as of 11/22

Vols here flattened through next June.

An important question follows: what is the steady-state steepness of the curve? Very heuristically, we would report that one month is usually worth 3–5 points of IV, as is observable today.

BTC ATM Volatility Term Structure as of 12/3

Steady-state steepness observed on a relatively pedestrian day for BTC trading.

The last comment we’d make regards the state of the options markets, and a potentially troubling development. Deribit, the larger options exchange, released a report for November 2019, where it reported -14% turnover across all products. The real drags were in its futures business, but options were no shining beacon, with BTC options only up 1% month-over-month, and the same figure for ETH options at -36%.

Volumes as reported by Skew have landed in what seems to be a holding pattern — one notes as a matter of course the spikes in volumes which correlate well, as in spot and futures markets, to big moves in the spot price. But beyond that, there seems to be little change in the ~30mm daily figure.

The most charitable explanation for what might otherwise present a problem for the nascent options markets is that money is waiting on the sidelines for the institutional exchanges to come online in the next few months. This interpretation is consistent with what we’ve heard from our contacts in the OTC markets and options infrastructure businesses.


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Mr. Anderson is an associate at Wave Financial. The views expressed in this report reflect Mr. Anderson’s personal views about the subject companies, platforms, issuers, security and non-security investments (“investments”) and not those of Wave Financial. Mr. Anderson’s comments are not intended to be construed as recommendations or an offer to buy, sell or hold any investment. Mr. Anderson’s compensation is not directly or indirectly related to the specific recommendations or views contained in the research report. The ecosystem landscape included in this post is intended to provide generalized guidance; nothing in this analysis is intended as investment advice, a recommendation or an introduction to particular funding or capital resource.



Ryan Anderson
Wave Digital Assets

Associate at Wave Financial, interested in markets and macroecon.