Bitcoin Volatility Jumps to 3-Month High Ahead of U.S. Election

• 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.

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.