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Expected ETH-ETF Approval: Effect on Implied Volatility

On the 20th May we saw an aggressive move by ETH, on the news of increased expectations of an ETH-ETF approval. ETH 1W implied vols peaked at 96% intraday. On the day, vols were up 30% from the previous day - a staggering 5 standard deviation move.

Looking at 2024 ETH 1W daily vol (absolute) changes, we can see this is the largest 1W daily vol move of the year. Since 2022, this move was second only to events during the FTX crisis.

Immersive Finance has 2.7million+ minutely calibrated ETH and BTC @Deribit implied volatility surfaces, readily available via our WebApp or via API, super-fast retrieval of meaningful datasets for actionable insights.

Our market data platform offers live spot, perps, futures and volatility updates for both exchange and constant maturity datasets as well as a minutely dataset stretching back to May 2019. This breadth of data empowers our clients to not only stay informed about the market in real time but also gain valuable insights by placing it within its historic context.

In markets as dynamic as these, risk management awareness is not just prudent but indispensable. It's about anticipating risk while also seizing opportunities in a rapidly evolving landscape.

At Immersive Finance, we recognize that market conditions can change in an instant and are here to support our clients with our suite of advanced quantitative tools.

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