Research around Bitcoins volatility in comparison with the equities included in the S&P 500 index reveals that Bitcoin’s realized volatility from the beginning of the year and a 90-day period is better than many stocks. The research finds,
… bitcoin has exhibited lower volatility than 172 stocks of the S&P 500 in a 90 day period and 155 stocks YTD
While 30% of stocks is a huge number, there are other things to consider in this regards. It is the distribution of stocks in the S&P 500 index. Like crypto markets, NASDAQ and S&P 500 index distribution is skewed towards major indices; top 5-10 stocks account for the majority of the dominance. Hence, there are many low stocks with lower liquidity and market capitalisation. Moreover, the COVID-19 effect on the economy is also an outlier causing massive swings in price. Nevertheless, the narration even confirms with stocks included in the NASDAQ index. Mati Greenspan, the founder of Quantum Economics, noted on the drop in realised volatility compared to Nasdaq. He tweeted,
Bitcoin volatility way lower than the Nasdaq by historic measures.
The measure of Implied Volatility
The massive open interest (OI) across the options market is calling for tremendous volatility in Bitcoin. Deribit Exchange Market Insights tweeted last night,
$BTC 11k gravitational pull. With July31 11k Calls Open interest at 4.5k (Puts OI 1k) and Implied Vol 50%, longs have a short 24hour window to hope for escape velocity.
Even with the expiration of options and futures contracts today, due to roll-over of contracts, the OI can be expected to remain high. Bitcoin is currently trading at $11,307, 1.62% higher on a daily scale.
Do you think a massive break-out is probable in this weekend as well? Please share your views with us.