As Federal Reserve President Jerome Powell’s speech at Jackson Hole is approaching, is the central question of everyone’s mind: How fleeting could Bitcoin be?
The answer points to moderate volatility, not the extreme swings that the widespread attention to the event may imply.
“BTC options prices for about ± 2.0% movement around Powell’s Jackson Hole speech,” Pulkit Goyal, head of Crypto Market Maker Orbit Markets, told Coindesk. Orbit specializes in crypto settings and structured derivatives.
Dealers use the pricing of options with different strike prices and maturity and implied volatility and option Greeks to measure an expected range of price movement. Implicated volatility refers to the market’s expectation of how much the underlying asset is expected to move over a particular timeframe.
Volmex’s one-day implicit volatility index (BVIV1D) has risen to an annual 49% from writing, the highest since May 26, according to data source trading. This corresponds to a 24-hour price swing of 2.5%. It is slightly higher than the average daily movement of 1.18% over the past 30 days.
Note that volatility is directional, which means that price fluctuations are suggested by settings and implied volatility index can unfold in both directions.
That said, the disadvantage volatility looks more likely, if Powell sounds balanced, the extensive expectations of the interest rate hints contrast. Some dealers have picked up put on options that are preparing for such a result.
“If his tone leans more balanced than Dovish, the markets could see a retracement that has driven the demand for the protection of the disadvantage. SKEW tells the story: Overnight 25-Delta-Risk Overlings is currently 6 Vol translated calls,” Goyal told Coindesk.
Powell is scheduled to speak Friday morning at Fed’s annual Jackson Hole Economic Policy Symposium.
