I must say, it's pretty surreal to research & write this AMAZING 38pg report these legends:
We've covered FOUR years of BTC volatility surface regimes.
Quantifying the duration of BTC term structure "Backwardation"
In the report we further investigate the typical richness/discount of each regime.
Together we have "Timing" and "Magnitude" to help execute trading decisions.
Spot/Vol. regimes have clearly been shifting throughout the years.
We explore those dynamics... Which have shifted AGAIN in 2023🤯
Quantifying VRP is crucial to option pricing...
We don't simply look at average VRP, but filter VRP further in a matrix like analysis to filter for
- Positive / Negative RR-Skew regimes - Contango / Backwardation Regimes - Cross Section the two
This post is based on this twitter thread.