Bybit X Block Scholes Crypto Derivatives Analytics Report (Oct 23, 2024): Calm Market Expected Before U.S. Election as 7-Day ATM Volatility Plunges

Key Highlights:

• Our weekly crypto derivatives analytics report dives into macro events, the current state of crypto and trading signals from spot trading volume, and futures, options and perpetual contracts.

With just two weeks until the election, at-the-money (ATM) implied volatility for 14-day tenor options has surged, despite an overall downward trend in implied volatility. This has created a notably steep term structure. Sentiment remains bullish, as indicated by key metrics: open interest in both futures and call options is increasing, and funding rates are positive across all monitored tokens, not just BTC and ETH. 

As the U.S. election is approaching, the market is expected to be calm, suggesting Bitcoin’s $70K level might be visible only after November.

Please check out the report’s highlights.



[Bybit X Block Scholes Crypto Derivatives Analytics Report (Oct 23, 2024)]<https://drive.google.com/file/d/1sMh50fjDJrtcLxKfHEieVm8WnB66RRPf/view?usp=sharing>



All Tokens Are Showing Strong Funding Rates



All tokens are showing consistently strong and positive funding rates for perpetual contracts, indicating a clear buildup of bullish sentiment across the crypto ecosystem. The accumulation of long positions seeking leveraged exposure is a key trend to watch, marking the first clear signs of traders positioning themselves ahead of the election. Even with spot prices pulling back from the early October rally, traders are still eager for leveraged long exposure, despite the funding rate fees.

BTC Call Options Dominate





BTC call options are the most prominent in open positions, further reflecting bullish sentiment ahead of the election. This event is a significant driver of implied volatility, with 14-day tenor options showing a notable increase compared to the previous week. In contrast, implied volatility across other tenors has generally been on a downward trend. 

7-Day Option Implied Volatility Plunges



Notably, 7-day implied volatility has seen strong fluctuations, resulting in overall lower levels and a notably steep term structure. With only two weeks remaining until the election, market participants are prioritizing the potential impacts of this event over short-term movements.



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