March 2, 2023

Desk Commentary - IVs of March

  • Crypto vol markets had another look into the abyss as spot prices sagged to 23000 and 1600 support for bitcoin and ether to close out the month of February.
  • Friday 3rd March vols were given down as low as 40% and kamikaze sellers of the benchmark quarterly expiry stacked offers top of book through mids in 100s of units of btc and 1000s of units of eth per strike with 31st March bitcoin 25k calls given as low as ~47% and same-date ether 1700s flirting with the 50% threshold, levels that until 2023 would have been nigh-on unthinkable for the 1month ~25-delta point on the smile.
  • In Tuesday’s session, Twitter-FUD had swirled around purported liquidations of large blocks of wrapped bitcoin and other assets in public creditor workouts, and going into the Chinese PMI, for which there was little preemptive optimism, decentralized perpetual futures market positioning suggested a decidedly bearish tilt. Yet there were signs in the month-end New York afternoon that the tide might turn, with systematic vol sellers coming to purchase both short-dated and longer-term optionality with nearly $50k of vega paid into (in hindsight) overly eager offers, putting a halt to the serially autocorrelated plunge in the implied volatility time process seen of late.
  • Those lifts proved prescient as Chinese PMI surprised to the upside and risk caught an immediate bid, with crypto proving the adage of its high-beta correlative proxy; bitcoin and ether spot prices leapt 3-4% within a short time after the number, punching through technical resistance and sending gamma sellers scrambling to cover ill-timed shorts in local strike risk ahead of the 24,000 pin where significant open interest lies for this Friday. That leap sent front end IVs sharply higher as ATM strikes for March expiries in BTC once again crested 50% with ETH some 5-7 points higher, exhibiting one of the tightest cross-product vol spreads of recent memory. While relative value players have begun to look for a reversion to historical norms of > 10 vol points, IV spread compression between BTC and ETH has taken on more of a secular tendency of late in a sign that there may only be one macroeconomic-barometric flagbearer in the digital asset ecosystem.
  • On an outright basis, demand for vega continued to firm into Wednesday’s New York open ahead of ISM leading economic indicators and Friday’s non-farm payrolls, to which the increasingly data-driven cryptocurrency trading tape has resumed its pavlovian predilection of knee-jerk jumps on any signs that inflationary forces may be fading.
  • Notwithstanding stalwart supply of front-month ATM strikes and meaty upside throughout the 1st March session, IVs have nudged incrementally higher over the last 12 hours, with 50% annualized looking to be a more middle-of-the-range level for bitcoin around which reasonable 2 way interest can support balanced flows both in terms of vol and skew which has exhibited continued inconstancy even in the face of entrenched positive spot:vol correlations, while ether remains entirely apathetic even with the Shanghai merge a month away and skew firmly bid for puts.
  • Shorter tenors also found their footing with a persistently rocky trading rhythm that saw BTC probe 23750 only to flirt with 23350 by mid afternoon before another lurid scramble back to the highs as Thursday’s Asia trading session began, suggesting that there may be more of a dearth than a surfeit of gamma around current levels of spot and vol.

Written By

Gordan Grant

Managing Director, Trading and Sales


Genesis Global Trading, Inc. and its global affiliates (collectively, “Genesis”) do not provide legal, compliance, tax or accounting advice. Genesis is a principal trading firm; it is not and does not act as a fiduciary or adviser, or in any similar capacity, in providing this material, which cannot be relied upon as investment, financial, legal, tax, regulatory, or any other type of advice. The information contained herein has not been prepared or tailored to address, and may not be suitable or appropriate for the particular financial needs, circumstances, or requirements of any person, and it should not be the basis for making any investment or transaction decision. THE INFORMATION IS NEITHER A RECOMMENDATION TO ENGAGE IN ANY TRANSACTION NOR RESEARCH MATERIAL.

This material contained herein is confidential and may not be distributed in whole or in part to anyone other than the intended recipients. Unauthorized reproduction or distribution of all or any of this material or the information contained herein is strictly prohibited. These materials are incomplete without reference to, and should be viewed solely in conjunction with, the terms and disclosures set forth on the Genesis website, which are deemed incorporated herein.

The information provided in this communication does not constitute investment advice, financial advice, trading advice, or other advice. If any person elects to enter into transactions with Genesis, whether as a result of this material or otherwise, Genesis will enter into such transactions as principal only and will act solely in its own best interests, which may be adverse to your interests. Therefore, you are advised to make your own assessment of whether a Genesis service that you are considering is suitable for you and ensure that you have the necessary experience and knowledge to understand the risks involved in relation to those particular services, transactions or investments. Prior to entering into any transaction, you should determine, without reliance upon us or our affiliates, the economic risks and merits (and independently determine that you are able to assume these risks) as well as the legal, tax and accounting characterizations and consequences. In this regard, by accepting this material, you acknowledge that (a) we are not in the business of providing (and you are not relying on us for) legal, tax or accounting advice, (b) there may be legal, tax or accounting risks associated with any transaction, (c) you should receive (and rely on) separate and qualified legal, tax and accounting advice and (d) you should apprise senior management in your organization as to such legal, tax and accounting advice and our disclaimer as to these matters. By accepting receipt of this material, the recipient will be deemed to represent that they possess, either individually or through their advisers, sufficient investment expertise to understand the risks involved in any transactions or services discussed herein and that they have not relied in whole or in part on any of the information provided by Genesis in making such determination.

The trading of digital currency as herein described is an inherently risky activity. Digital currency does not benefit from the protections afforded by the Securities Investor Protection Corporation. A counterparty’s ability to enter into derivatives with Genesis depends on satisfying a number of regulatory requirements imposed on derivatives under the Dodd–Frank Wall Street Reform and Consumer Protection Act and applicable law.

Any prices or levels contained herein are preliminary and indicative only and do not represent bids or offers. These indications are provided solely for your information and consideration, are subject to change at any time without notice and are not intended as an offer to sell or a solicitation to purchase any financial instrument. Nothing contained herein shall constitute any representation or warranty as to future performance of any financial instrument, credit, currency rate or other market or economic measure. In preparing this material, we have relied upon and assumed, without independent verification, the accuracy and completeness of all information available from public sources or which was otherwise reviewed by us. Genesis does not make any representations or warranties, express or implied, as to the accuracy or completeness of the information provided herein. Any estimates included herein constitute our judgment as of the date hereof, are subject to change, may or may not be realized, and are not a complete analysis of every material fact. We and/or our affiliates may make a market in these instruments for our customers and for our own account. Accordingly, Genesis may have a position in any such instrument at any time.

Genesis and Genesis Trading are marketing names for certain businesses of Genesis Global Trading, Inc. and its global affiliates and if and as used herein may include as applicable employees or officers of any or all of such entities irrespective of the marketing name used. Products and services may not be available to all counterparties or in all jurisdictions. Securities and digital assets are not deposits or other obligations of any commercial bank, are not guaranteed by any commercial bank and are not insured by the Federal Deposit Insurance Corporation. GGC International Limited is incorporated in the British Virgin Islands (“BVI”). Genesis Global Trading, Inc, a Delaware corporation, has been granted a Virtual Currency License by the New York State Department of Financial Services and is registered with the U.S. Securities and Exchange Commission as a broker dealer. Genesis Asia Pacific Pte. Ltd. Is a private limited company organized under the laws of Singapore. Genesis Global Capital, LLC is a limited liability company organized under the laws of Delaware. Genesis Custody Limited is registered as a cryptoasset business with the UK Financial Conduct Authority.

Market Insights

Sign up for crypto market analysis from the Genesis team.

Thank you! Your submission has been received!
Oops! Something went wrong while submitting the form.
Market reviews subscription sculpture