An analysis of Bitcoin options ahead of the release estimated a 2.5% move during a window that included the November 10 U.S. inflation report. Comparing past and expected volatility did not show whether protection was cheap to buy.
The analysis reports 3,183 $BTC in long liquidations, worth approximately $245 million, on November 5, followed by 2,450 $BTC, worth approximately $181 million, on November 8. These were forced closures of bullish Bitcoin positions, not totals for the entire crypto market.
The study reports a 33.7 reading for Bitcoin’s 30-day realized volatility and a reading of 40 for Deribit’s DVOL index, a gap of 6.3 volatility points. These are the study’s readings, not live quotes. The study does not specify how the realized-volatility measure was annualized, which limits the precision of comparisons with annualized DVOL.
The observations cover the period before October’s Consumer Price Index release, scheduled for November 10 at 8:30 a.m. Eastern, or 13:30 UTC. They are not a market update from after the release.
What a volatility comparison can tell us
Realized volatility measures past price swings. Deribit describes DVOL as a forward-looking, annualized measure for the next 30 days. It is calculated using option prices at expiries on either side of that period, with interpolation between them.
The readings cover different time periods. A turbulent week can raise the backward-looking measure and bring it closer to implied volatility, but that does not show that the cash cost of protection has fallen.
DVOL summarizes option pricing in a single index reading. It does not show the cash premium for a specific protective option, so on its own it cannot tell a Bitcoin holder how much protection through CPI would cost.
The Daily Digits separately estimates a 2.5% Bitcoin move, or approximately $1,884, during a window containing CPI. It reports forward implied volatility of 47.9% for that window, compared with 38.9% afterward. The study does not disclose the exact expiry endpoints or the time of the quote, so the estimate cannot be used as a current, reproducible quote for protection.
This event-window estimate also differs from DVOL’s fixed 30-day horizon. Combining them would blur the difference between pricing around a single release and pricing a month of uncertainty.
Neither measure provides a directional forecast. Deribit’s explanation allows for large Bitcoin moves in either direction, and an implied move does not set a limit on the eventual outcome.
Source: cryptoslate.com. Adapted by NBTC.
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