This blog covers the general topic of financial markets.


Crypto Options

first posted: 2021-08-01 06:40:32.479951

Price and Volatility

We see below that historical volatility based on 20 1 d return is between 25% and 200%. Market implied volatilies are in a typical 70% to 110% range. img

ATM Butterfly, Call and Put Backtesting

Unhedged butterflies will make money at maturity if the spot has moved enough upwards or downwards. Calls and Puts will only make money if the move is large enough and it occurs in the right direction.

1D Options

We see that if one is trading overnight butterflies, the theta on them is outweighing the option value: img img img

2D Options

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1 Week Options

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2 Week Options

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1 Month Options

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3 Month Options

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6 Month Options

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1 Year Options

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