Bitcoin: The One Spread No One’s Watching

Why This Report Matters

Bitcoin volatility has structurally declined, but that doesn’t mean the edge is gone. Instead, it’s evolved. Today’s options market consistently misprices volatility, creating reliable alpha for those who know how to extract it. This report explains why selling options still works, when to switch and buy calls instead, and how to frame your strategy in the current macro backdrop. It’s not about chasing breakouts—it’s about understanding where the inefficiencies still lie. The analysis below reveals why implied volatility remains elevated, how ETF and stablecoin flows support the thesis, and the specific trade that captures it best.

Bitcoin volatility nearing a level where big moves have occurred.

Key Takeaways

Selling volatility remains a structurally profitable strategy in Bitcoin. The key driver is the persistent spread between implied and realized volatility, now reversed and near 7 vol points. As implied volatility is cheap, buying options offers good risk/reward opportunities, a rare occurrence. Our trade: buy the BTC $100,000/$110,000 June call spread to capture convex upside with limited risk.

Macro View

- Implied volatility has traded above realized volatility 73% of the time over the past four years.
- This consistent overpricing creates a repeatable edge for volatility sellers.
- Current IV is ~7 points below RV for 3-month options, offering tactical value for option buyers too.
- Institutional flows continue to grow, with BTC options OI rising from $8B to $24B since August 2023.

Bitcoin Implied Volatility Tends to Trade Above Realized Volatility.

Technical View

- Bitcoin is consolidating near $95K resistance after strong ETF and stablecoin inflows.
- RSI remains elevated, and the rally is not yet overextended.
- 1-month skew is neutral, suggesting the market is not yet pricing in a local top.
- Historic patterns show tops often form when put IV trades 10 vol points below call IV—this isn’t the case yet.

Risk View

- Short-term risks include a CPI surprise, hawkish Fed tone, or geopolitical shocks.
- Volatility spikes can reverse short vol strategies quickly.
- Option structures like defined-risk call spreads help mitigate downside while keeping upside optionality.

When Implied Volatility Gets Too Cheap

Bitcoin’s volatility regime has structurally declined since its 2021 highs, but the inefficiency between implied and realized volatility persists and remains a tradable edge. In 2021, 30-day realized volatility often surged above 100%, reflecting the explosive nature of both bull and bear runs. Since then, realized vol has normalized, hovering near 45–55% in early 2025. Unlike today, implied volatility—the market’s expectation of future volatility—remains consistently overstated. Historically, this mismatch has been persistent: over the last four years, implied volatility has traded above realized volatility 73% of the time (see Chart 2). This presents an opportunity for informed volatility sellers to consistently harvest premium.

Structural Bottom in Bitcoin Volatility After Grayscale Court Ruling in 2023.

A look at 3-month options shows implied volatility hovering near 55% while realized volatility is around 48%, creating a 7-vol-point spread. This level of overpricing is statistically significant and profitable for strategies such as selling straddles or strangles during calm market periods. Institutional traders, market makers, and structured products desks often deploy these strategies weekly, particularly targeting Fridays when time decay accelerates. When realized volatility typically compresses, selling options going into the weekend has become a repeatable strategy for many funds.

But this edge is not without risk. Events like the Grayscale ETF court ruling or unexpected CPI surprises can cause realized volatility to spike rapidly. Short volatility strategies can suffer sharp losses during these shocks, especially if they're not hedged. This underscores the need to pivot when conditions change tactically. For example, during Bitcoin’s recent push to $95,000—fueled by $4.8B in ETF inflows and a resurgence in stablecoin issuance—the technical and momentum backdrop called for a shift from volatility selling to volatility buying.

That’s when tactical call spread structures become ideal. Instead of outright long calls, which suffer under elevated implied vol spreads, traders can define their risk while participating in upside. The $100K/$110K June 27 call spread, costing about 2.5% of notional, provides asymmetric upside without getting stopped out of spot positions.

This strategy is especially appealing given that most Bitcoin tops occur when skew is deeply inverted (-10%)—currently, it’s neutral (-7%) - skew is the implied volatility for puts minus calls - hence calls are more expensive as option traders are bullish but not excessively yet which tends to be when calls are priced 10 volatility points higher than puts. That gives bulls (still) more room. With ETF flows surging +$4.8B and IV still cheap relative to realized (48% vs. 54%), a rare situation occurring only 27% of the time, the odds favor another leg higher but also buying options instead of simply holding Bitcoin (spot). If a volatility spike occurs, the defined premium structure contains losses, preserving flexibility. This is how professional traders navigate asymmetrical setups—defined risk, convex reward.

Actionable Idea

Trade: Buy BTC $100,000/$110,000 call spread (June 27 expiry)
Entry Cost: ~2.5% of notional
Max Gain: ~7.5% if BTC expires >$110K
Catalysts: June FOMC, CPI prints, potential positive tariff headlines
Why It Works: Gains upside exposure without risk of liquidation on pullbacks

Market Snapshot Table

• BTC Price: $95,000
• 30M Implied Vol: 48%
• 3M Realized Vol: 55%
• Skew: Neutral
• ETF Flows: +$4.8B (7D)
• Stablecoin Inflows: Strong
• RSI: >60 (bullish momentum)

Time Horizon

6–8 weeks, capturing positioning through CPI and June FOMC.

What Could Change Our View

- CPI reaccelerates materially above 3%
- Bitcoin breaks below $90K with volume
- ETF inflows reverse sharply
- Trade talks collapse

Conclusion

Volatility continues to be mispriced (too cheap) in Bitcoin, offering opportunities while most of the time (73%) selling volatility is the preferred strategy. We remain bullish on further upside and see skew, flows, and IV-RV confirming this setup. With well-structured risk via options, traders don’t need to chase spot moves. They just need to position early and smart. Expect more catalysts to build into June.

Quick update following yesterday’s report:

If Bitcoin holds above $95,000, a move toward $106,000 is likely in the near term (June). Should the Fed resume its rate-cutting cycle (by September) —potentially triggered by continued disinflation and falling oil prices—Bitcoin could stabilize above $100,000 and even target $160,000 over time. That scenario would require sustained capital inflows, which we continue to monitor closely. On-chain cycle valuations support this as a potential upside, but we approach it step by step. In that case, Trump would indeed be proven right about inflation…