Bitcoin options show premium ahead of Fed decision

Bitcoin options are priced for larger short-term swings ahead of the Federal Reserve's decision today at 2 p.m. Eastern, with a press conference following at 2:30 p.m. Laevitas's Oct. 26 snapshot indicates a premium over recently realized price swings, suggesting that buyers may face a risk of fading premium before significant Bitcoin movement occurs. Laevitas reported a seven-day at-the-money implied volatility at 36.5%, up from 32% a week prior, closely aligning with the 30-day equivalent of 37%. The implied volatility of 36.1% contrasts with a realized volatility of 26.9%, resulting in a 9.2-volatility-point gap, reflecting future uncertainty against past price action. The downside skew for Bitcoin's 30-day 25-delta options is at minus 4.64 volatility points, near its median of minus 4.62, indicating a consistent level of downside protection. Laevitas noted that the short-dated pricing reflects a busy calendar of central bank decisions and economic releases. If the Fed's decision does not lead to significant market movement, buyers may lose part of their premium as implied volatility decreases.

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