Implied volatility in the bitcoin options market hit an all-time low last week, 50% below its long-term baseline for 2021-22, according to new data from blockchain analytics firm Glassnode.
But as the sell-off started this week, volatility was quickly repriced, with implied volatility on short-term contracts expiring at the end of September more than doubling.
Puts naturally experienced the most dramatic re-pricing, with the 25-Delta skew fully reversed, bouncing from an all-time low of -10% to over +10%.
But amidst such wild price swings, call and put open interest turned out to be relatively stable, with very little net change.
This means that while volatility may be misvalued, there is no massive forced deleveraging in the options market.