“Call spreads remain attractive to anyone wanting recovery exposure in the post-quarterly reset. And now look even better on a relative-vol basis as call spread longs buy the cheaper wing of a skew that tilts the other way,” he said.
There are a number of factors that could drive volatility higher in the short term. Friday’s options expire, for example, which Péquignot described as “traditionally one of the most significant liquidity events on the annual calendar.”
Also, prior to expiration, option traders who bought puts or downside bets in recent months are in profit. That is, they are in the money, while those who bought calls are set to see their bets expire worthless.
“With spot at 64,000, the June 26 book is net long puts in the money and long calls out of the money – the embedded loss sits with the call buyers chasing the 80k+ strikes,” noted Péquignot.
The sharp drop in Alphabet ( GOOG ) and SpaceX ( SPCX ) shares and declines in Asian stock indexes is another factor that could add to the volatility of bitcoin, which often takes its cue from tech stocks.
Not to forget, the Fed’s preferred inflation measure, core PCE, is scheduled for release on Thursday and is expected to show price pressures at their strongest since May 2024. Such a reading could create volatility across assets, including Treasuries and cryptocurrencies. Pay attention!
