Block Scholes Research

Block Scholes Research

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Block Scholes Research
Block Scholes Research
Crypto Markets Daily Dec 16, 2024

Crypto Markets Daily Dec 16, 2024

With BTC reaching a new all-time high (ATH) of $106,443, we explore the daily change of at-the-money implied volatility and implied volatility skews across BTC and ETH. Alongside, we highlight the impact of this rally on specific altcoins and outline the

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Andrew Melville
Dec 16, 2024
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Block Scholes Research
Block Scholes Research
Crypto Markets Daily Dec 16, 2024
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Record Spot, Measured Sentiment

Bitcoin (BTC) glided through $105k and rallied to a new all-time high (ATH) of $106,443 late Sunday night into early Monday, affirming a previously set bullish outlook.

This breakthrough brought with it a rebound in implied volatility at short tenors from a sharp weekend decline, with levels now having risen significantly at the front end of the structure.

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Figure 1. BTC at-the-money implied volatility for selected constant tenors. Source: Deribit, Block Scholes

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