Original Research on Crypto Volatility, Options, and ETF Flows
Volmex’s research desk publishes deep-dive studies on the structural drivers of crypto vol. Every paper is downloadable.
Onshore BTC ETF Options Close the Gap With Offshore
IBIT ETF options now carry $27.61B in notional OI — roughly head-to-head with Deribit BTC at $26.90B.
IBIT Options Signal Downside Protection Over Risk-Taking
IBIT options OI fell materially from its ~$28B mid-December level; positioning skews toward downside protection over risk-taking.
Onshore BTC Options OI Officially Exceeds Offshore
The first end-of-day close where US-listed ETF options — led by IBIT — carry more BTC options OI than all offshore venues combined.
A Real Inflection Point for Crypto Options
Onshore BTC ETF options OI overtakes offshore intraday — IBIT at $30.43B versus Deribit BTC at $17.39B.
Bitcoin and Ethereum Options Summary
IBIT options OI surpasses Deribit BTC for the first time — IBIT-to-Deribit OI at 95%, ETHA-to-Deribit at a record 71%.
BTC & ETH Options Positioning Before the September Fed Meeting
Onshore and offshore options OI concentrate in expiries right after the Fed’s Sep 17 meeting — traders bracing for volatility.
BTC & ETH Options Market Update
BTC ETF options skew toward downside hedging while ETH options lean bullish — a possible sign of institutional upside positioning.
BTC Options Market Update: IBIT Delta & Strikes
IBIT’s higher average delta and lower strikes imply more ATM/ITM exposure; Deribit skews to OTM calls, with similar maturity profiles.
Vol Down, Gamma Up: $3.5B BTC Options Delta
$3.5B of BTC options delta into the May 30 expiry; BVIV sits below ETF IVs, and IBIT prices higher Black-Scholes IVs than Deribit across moneyness.
Massive Delta in BTC Options
Total BTC options delta (crypto-native + ETFs) surpasses $9B and OI reaches $43B, driving heavy market-maker hedging.
BTC Options Market Update: TradFi Turns Bullish
IBIT options show upside directional exposure and longer maturities while pricing the downside aggressively — TradFi bullish, but not blindly.
BTC Options Summary: Deribit vs IBIT Delta
Deribit BTC OI at $17.53B is nearly delta-neutral; IBIT at $10.84B (62% of Deribit) carries $1.39B of directional delta.
BTC Options Update: ETFs & the Volatility Landscape
IBIT keeps gaining share; ETF-implied vols stay above BVIV, and Deribit call buyers reach for higher strikes than IBIT traders.
Macroeconomic Announcements Fuel Volatility
How scheduled macro events impact Bitcoin price and implied volatility.
The Impact of Spot Bitcoin ETFs
How ETFs reshaped BTC trading activity and volatility patterns.
Crash of August 5, 2024
Global market dislocations during the August 2024 selloff, viewed through implied volatility.
Volmex Monthly Research Update — July 2024
A volatile July: political developments, government actions, and the resulting option-market repricing.
A New Era for Ethereum: ETF Approvals
Market reactions to the SEC approval of Ether ETF applications on May 23, 2024.
Post-Bitcoin Halving Volatility
Does the post-halving environment mean the end of BTC volatility?
Cryptocurrency Market Dynamics Following the Bitcoin ETF Approvals
How ETF fund flows correlate with BTC trading activity and realized volatility.
Option Tails and Spot-Volatility Correlations
The structural input behind volatility carry: how option tails correlate with realized spot-vol.
Navigating Market Sentiment During Bitcoin ETF Approval
Tracking BTC market sentiment through the ETF approval window via implied volatility.
Portfolio Hedge Using BVIV and EVIV During FTX Collapse
How a small allocation to BVIV / EVIV protected portfolios through the FTX implosion.
The Indices Behind the Research
Every study runs on Volmex's real-time volatility benchmarks — pull them over REST and WebSocket, or watch them live on the charts.