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David Lawant
Verified account Anchorage Digital ⚓️@dlawant
Research @Anchorage | frm @FalconXGlobal, @BitwiseInvest + others | Decoding markets by day; music, photography, food, and books by night | John 15:16
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BTC recovery main led by Binance net taker buy flow.
Coinbase is still negative over the past 24 hs.
Coinbase is still negative over the past 24 hs.
The US election was the biggest scheduled risk for BTC this week. On Monday morning they were pricing a move of about ±3.1% (±$2.4k from $77.7k) by Wednesday's expiry.
Did they get it right? A scorecard 👇
For context, in the early hours of Wednesday BTC dipped to $75.6k, then rebounded to $78.6k. The net move into the 08:00 UTC expiry was +0.4%. A swing but inside what options priced, and it round-tripped.
Heading closer to the event, options priced a ±2.4% move (one standard deviation). BTC finished +1.2%. But the high-to-low range was 3.9% against ~3.8% implied. The swings were priced almost exactly. The net move was about half of it.
Implied vol (what options charge) vs realized vol (what BTC did): event day 49.9% vs 41.3%. In the past 24h, these numbers were 45.9% vs 40.7%, and the day before 44.3% vs 27.8%. In other words, event protection cost more than the moves delivered.
This is not uncommon. Over the past year, 7-day implied beat the vol that followed in about 7 of 10 weeks. But the average gap is only ~2 vol points, since the other weeks can hit hard, and in the last 3 months realized ran slightly above implied.
The verdict is that the options market was right on the swings, rich on the close. 1D vol is already down to 38.6%, from 44.3% on Monday. The event premium is gone.
Did they get it right? A scorecard 👇
For context, in the early hours of Wednesday BTC dipped to $75.6k, then rebounded to $78.6k. The net move into the 08:00 UTC expiry was +0.4%. A swing but inside what options priced, and it round-tripped.
Heading closer to the event, options priced a ±2.4% move (one standard deviation). BTC finished +1.2%. But the high-to-low range was 3.9% against ~3.8% implied. The swings were priced almost exactly. The net move was about half of it.
Implied vol (what options charge) vs realized vol (what BTC did): event day 49.9% vs 41.3%. In the past 24h, these numbers were 45.9% vs 40.7%, and the day before 44.3% vs 27.8%. In other words, event protection cost more than the moves delivered.
This is not uncommon. Over the past year, 7-day implied beat the vol that followed in about 7 of 10 weeks. But the average gap is only ~2 vol points, since the other weeks can hit hard, and in the last 3 months realized ran slightly above implied.
The verdict is that the options market was right on the swings, rich on the close. 1D vol is already down to 38.6%, from 44.3% on Monday. The event premium is gone.
The front end of the BTC volatility term structure is pricing a 1-sd move of about ±3.1% (±$2.4k from $77.7k) around the midterms.
1D ATM vol is 44.3% vs 36.8% at 30D, and the Nov 4 expiry carries 49.9% forward vol vs ~36% either side.View quoted post on X
Crazy to think that investment banking analysts starting today will never know what it is to repeatedly align logos, check model consistency, and fix typos in those giant decks by hand.
The dramatic Brazilian elections on Sunday the 25th provided a unique opportunity to study 24/7 market structure.
We looked into granular data from the relevant @Polymarket contract, the @HyperliquidX EWZ perp, and the @CMEGroup BRL futures contract.
Check out what we found 👇
We looked into granular data from the relevant @Polymarket contract, the @HyperliquidX EWZ perp, and the @CMEGroup BRL futures contract.
Check out what we found 👇
View quoted post on X