Key Takeaways
Bitcoin’s implied volatility has fallen to a historically low 42% even as the asset’s price shed 6% over five days, creating a disconnect that options traders see as a prime opportunity. The price of Bitcoin dropped from $82,000 to $77,000 since May 15, driven by spot ETF outflows and a spike in U.S. Treasury yield volatility.
"That's cheap vol in absolute terms," Jean-David Péquignot, Chief Commercial Officer at crypto options exchange Deribit, told CoinDesk. He noted that with implieds in the high-30s to low-40s, the market is printing new lows for 2026.
The divergence is stark when compared to traditional markets. The MOVE index, a gauge of volatility in U.S. Treasury bonds, has jumped from 69% to 85% during the same period of Bitcoin's price decline. Despite this, Bitcoin’s 30-day annualized implied volatility index (BVIV) has remained just above its year-to-date low of 40%, according to TradingView data.
This setup suggests the market is underpricing the risk of a large price swing. Péquignot highlighted that a long straddle strategy—simultaneously buying both a call and a put option at the same strike price and expiry—could be a good setup ahead of a major macro catalyst, such as the next CPI print or a Federal Reserve speech. This strategy profits if a significant price move occurs in either direction, up or down.
This article is for informational purposes only and does not constitute investment advice.
