Bitcoin's implied volatility is at 41.5% on Deribit, well below February's peak of 90%, as the market approaches a $10.5 billion quarterly options expiry on June 26. Deribit's CCO Jean-David Péquignot notes that call volatility is significantly cheaper than put volatility, making call spreads attractive for bullish exposure. Options traders who bought puts are currently in profit, while call buyers face losses. Factors that could drive volatility higher include the quarterly expiry, declines in tech stocks like Alphabet and SpaceX, and the upcoming core PCE inflation data release. The Dollar Index has broken above 101, potentially weighing on bitcoin and gold.

Key facts

• Bitcoin implied volatility at 41.5% on Deribit, down from February's 90% peak.
• Call volatility is cheaper than put volatility, favoring call spreads.
• Quarterly $10.5B options expiry on June 26 is a major liquidity event.
• Dollar Index broke above 101, potentially weighing on bitcoin.
• Tech stock declines and core PCE data could stoke volatility.

KeyAudit data perspective