IBIT’s expected volatility sits near the bottom of its 12-month range, according to Saxo Bank’s analysis of options data from Sept. 23.
Options on BlackRock’s iShares Bitcoin Trust (IBIT) are pricing smaller swings than the fund experienced during Bitcoin’s recent rebound, according to Saxo Bank.
IBIT’s implied volatility stood at 37.4%, compared with realized volatility of 45.5% over the 20 trading sessions through Tuesday, Saxo investment and options strategist Koen Hoorelbeke wrote Thursday.
Based on Wednesday’s data, Hoorelbeke’s analysis put IBIT’s implied volatility rank at 11.9, placing the measure near the bottom of its 12-month range.
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