IBIT Options Signal Calmer Trading After Bitcoin's Rebound, Saxo Bank Says
Key Takeaways
- •Saxo Bank's analysis of Sept. 23 options data shows IBIT's implied volatility at 37.4%, more than eight percentage points below the fund's realized volatility of 45.5% over the prior 20 trading sessions.
- •IBIT's implied volatility rank of 11.9 places expected volatility near the bottom of its 12-month range, signaling subdued conditions by historical standards.
- •Saxo strategist Koen 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 at the time of writing, up 1.6% over the last 24 hours, a level sitting between the identified support and resistance zones.
- •IBIT debuted in January 2024 as one of the first U.S. spot Bitcoin ETFs, launched options trading that November, and has become the largest spot Bitcoin ETF by assets under management.
Options on BlackRock's iShares Bitcoin Trust (IBIT) are pricing in smaller swings than the fund experienced during Bitcoin's recent rebound, according to a Saxo Bank analysis of options data from Sept. 23. The findings place IBIT's expected volatility near the bottom of its 12-month range.
IBIT's implied volatility stood at 37.4%, compared with realized volatility of 45.5% over the 20 trading sessions through Tuesday, Saxo investment and options strategist Koen Hoorelbeke wrote Thursday. Based on Wednesday's data, Hoorelbeke's analysis put IBIT's implied volatility rank at 11.9, placing the measure near the bottom of its 12-month range.
“In our view the options market appears to be pricing calmer conditions than the recent past produced,” Hoorelbeke wrote.
Implied volatility reflects expectations of future price swings embedded in options prices, while realized volatility measures past movements. The spread between the two, more than eight percentage points in IBIT's case, indicates that derivatives markets anticipate less turbulence than the fund delivered during the rebound. Because implied volatility is a core input in how option contracts are priced, the gap also means IBIT options are being valued on calmer assumptions than the swings the fund has recently delivered. The implied volatility rank compares current expectations with the past 12 months, so a reading near the bottom signals subdued conditions by historical standards.
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 at the time of writing, up 1.6% in the last 24 hours, according to CoinGecko, a level that sits between the support and resistance zones outlined in the analysis.
IBIT debuted in January 2024 as one of the first spot Bitcoin exchange-traded funds listed in the United States, and options on the fund began trading the following November. It has since grown into the largest spot Bitcoin ETF by assets under management, and both the shares and the options have become widely used tools for gaining Bitcoin exposure through regulated U.S. venues.
Source: Cointelegraph
