coindesk.com
Deribit's bitcoin volatility index jumps to its highest since late July.
Implied volatility in EUR/USD and U.S. Treasury notes surges to at least one-year highs.
Markets price a significant risk premium around the impending U.S. elections.
An options-based measure of expected price swings in bitcoin ($BTC) has hit a three-month high amid indications from betting markets of a tightly contested U.S. presidential race in crucial swing states.
Leading crypto options exchange Deribit's bitcoin implied volatility index (DVOL), a closely watched gauge of expected price swings over 30 days, rose to an annualized 63.24%, the highest since late July, according to charting platform TradingView.
$BTC's seven-day implied volatility, which captures the Fed meeting due Thursday and expected election results on Friday, has jumped to an annualized 74.4%, significantly higher than the 7-day realized or historical volatility of 41.4%.
That indicates "a significant risk premium around the elections," Singapore-based crypto trading firm QCP Capital said in a Telegram broadcast.
Early Sunday, the probability of pro-crypto Republican candidate Donald Trump winning the critical swing state of Pennsylvania weakened sharply to 53% from 61% on the decentralized predictions platform Polymarket.
Meanwhile, the New York Times/Siena poll of likely voters released early Sunday showed Trump and Harris tied at 48%, with Harris leading by two points in a Marist survey that includes undecided voters. In U.S. politics, a swing state is any state a Democrat or Republican candidate could reasonably take. The presidential election is due on Nov. 5, with results to be announced on Nov. 8.
$BTC almost hit record highs early this week, rising to $73,500 Tuesday as betting platforms pointed to a comfortable Trump lead. Since then, however, Trump's odds and $BTC's price have retreated, with the latter falling below $68,000 early today.
Vol spike in legacy markets
Options-based metrics, measuring expected price turbulence over four weeks, have also jumped in foreign exchange and U.S. Treasury markets.
The Ice BofA Move index, a measure of 30-day implied volatility in Treasury notes, jumped to 135% Friday, the highest since October 2023.
Increased volatility in the U.S. Treasury notes, which play a significant role in global leveraged financing, causes liquidity tightening and often leads to traders trimming their exposure to risk assets such as cryptocurrencies.
Elsewhere, the one-week implied volatility in EUR/USD, the most liquid pair in the currency markets, rose to its highest since the mini-U.S. banking crisis of March 2023.