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Definition Skew is the relative richness of put vs call options, expressed in Implied Volatility (IV). For options with a specific expiry, 25 Delta Skew refers to puts with a […]
Skew is the relative richness of put vs call options, expressed in Implied Volatility (IV). For options with a specific expiry, 25 Delta Skew refers to puts with a delta of -25% and calls with a delta of 25% to demonstrate this difference in the market’s perception of implied volatility.
25 Delta Skew is calculated as the difference between a 25-delta put’s implied volatility and a 25-delta call’s implied volatility, normalized by the ATM Implied Volatility. This metric focuses on options contracts expiring in 1 week.
Bitcoin Options 25 Delta Skew implies puts are becoming more favorable in this market, which indicates bearish sentiment is building in the crypto ecosystem.
January saw a bullish regime for Bitcoin, as calls were the favorable option.
February, however, saw switching between calls and puts, which was reflected in a fairly flat price structure for February.
However, March has seen Bitcoin down 3%, as the premium for puts continues to increase.
While volatility is near all-time lows, something could be brewing in the short-medium term.
Options 25 Delta Skew: (Source: Glassnode)
Options ATM Implied Volatility: (Source: Glassnode)
The post The calm before the storm? Bearish sentiment builds as premium for Bitcoin puts increase appeared first on CryptoSlate.
