Table explanation: BTC 5-day volatility below NDQ, S&P 500, DXY, and Gold This table illustrates all previous occurrences of BTC’s 5-day volatility falling below that of Nasdaq, S&P 500, DXY, and Gold simultaneously. Per the table, this is a highly unusual event. The current relative volatility compression in BTC compared to other equities has reached a record-long duration. High volatility has tended to follow previous incidents of relative volatility compression in BTC. *BTC return 30 days after the first date of the volatility compression period.Apart from the September 29 observation of last year, all other relative volatility compression events have been followed by volatile days with sharp bounces or frantic markets in the following 30 days.
Attractive straddle environmentAlongside the declining volatility, options IVs have fallen towards all-time lows across a set of different expiries. For instance, the IV of 1mth, 3mth, and 6mth expiries sit at all-time lows.
Thus, straddle strategies are getting increasingly more appealing. Based on previous price patterns following declining BTC volatility, toppled with BTC’s current relative volatility compression versus other equities, we believe this is a good time to utilize cheap options premiums to position for abrupt market moves.