Options on BlackRock's IBIT are pricing calmer swings than Bitcoin's rebound actually produced, with implied volatility near the bottom of its 12-month range. The gap comes as a roughly $15.9 billion Deribit options expiry lands on Sept. 25.
Implied volatility trails the rebound's realized swings
IBIT's 30-day implied volatility stood at 37.4%. That compares with realized volatility of 45.5% over the 20 trading sessions through Tuesday, according to Saxo Bank options strategist Koen Hoorelbeke. Based on Wednesday's data, Hoorelbeke's analysis put the fund's implied volatility rank at 11.9, placing it near the bottom of its 12-month range. That reading means current options pricing is cheaper than roughly 88% of the readings from the past year.
Bitcoin's advance outran the options market's expectations
Bitcoin has gained approximately 37% since mid-August through Sept. 23. The rebound pulled IBIT shares to around $47.80 on Sept. 24, within a 52-week range of $33.24 to $71.30. Net inflows into the fund totaled roughly $3.76 billion between Aug. 15 and Sept. 22, a signal that institutional capital stepped in during the dip rather than fleeing it. Hoorelbeke identified resistance around $87,000, where Bitcoin's advance stalled on Sept. 21, and support between $76,000 and $77,000. Bitcoin traded at $84,751, up 1.6% in the last 24 hours at the time of that report.
A $15.9 billion expiry looms
A quarterly Deribit options expiry carrying roughly $15.9 billion in notional Bitcoin options fell on Sept. 25. With implied volatility compressed and Bitcoin trading around $85,000 heading in, the setup for a sharp volatility swing looked muted – though implied vol rarely stays at 12-month lows indefinitely.
Sources: Cointelegraph, Crypto Briefing
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