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1/8 Today rather unnoticed there was a massive vol liquidation event on @DeribitExchange. While spot prices did not move too far from yesterdays close, the implied vol on #BTC (not #ETH) exploded.
1/8 Today rather unnoticed there was a massive vol liquidation event on @DeribitExchange. While spot prices did not move too far from yesterdays close, the implied vol on #BTC (not #ETH) exploded.
2/8 This shows how elevated the vol term structure now is compared to yesterday. That is an increase of more than 22% points (vols) on the long dated maturities. I can't remember having seen such an event in a long time. 
3/8 To get a better understanding of the magnitude, its worth to look at specific maturities, e.g. here the Dec21.
4/8 Or at the smile in Sep21.
5/8 Now please bear in mind, that these are snapshots of the vols now! They came already off a lot from there highs. Just as an example Sep21 40k Puts even traded at 155+% implied vol.
6/8 My best guess is that this vol explosion was related to the massive put buys on the weekly 3 days ago. While the premium paid at the time was barely significant, the lot size was and the gamma if those come to play is massive (which they did).
https://twitter.com/JSterz/status/1393279101188911106?s=20
7/8 This screenshot shows some of the Dec21 options liquidations. E.g. 570 lots on the 50k Dec21 Put. Which is about 70k vega.
8/8.
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