Option Skews Don’t Look Too Hot
Implied volatility for near-term options are skewed towards puts, indicating that market participants have concerns, and are either buying protection or speculating that price will deteriorate further. Option expiries slightly further out at the end of the year (Jan. – Feb. 2022) are less skewed, indicating a more neutral price outlook over the mid-term.
A key reason short term skews lean bearish could be the upcoming FOMC meeting. Both traditional and crypto markets are expecting a more hawkish fed, and this sentiment has been weighing down on risk assets.
A tweet by options exchange Deribit also stated that most option premiums have been from call writing followed by put buying, indicating that investors are generally betting on downside.