‘Black Thursday’ Distortion Makes Bitcoin Options Look Cheaper

By Omkar Godbole

With a key metric declining to record lows, bitcoin’s options market may be underpricing cryptocurrency’s future volatility. Analysts say the data is being distorted by “Black Thursday’s” 40% drop. 

The spread between bitcoin’s three-month implied volatility (IV) and historical or realized volatility (RV) fell to -47% on Wednesday, the lowest since the crypto derivatives research firm Skew began tracking the data 18 months ago. 

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