-Vol Update-

August 10th, 2018

 

After Custer gave the battalion orders, Half Yellow Face spoke though Boyer. “Do not divide your men,” he said. “There are too many of the enemy for us, even if we stay together. If you must fight, keep us all together.”

Custer was in no mood to hear dire predictions. “You do the scouting, and I will attend to the fighting,” he said.

The Crow began to strip off his clothes and paint his face. Custer asked what he was doing. “Because you and I are going home today, and by a trail that is strange to us both,” said Half Yellow Face.

-From A Terrible Glory: Custer and the Little Bighorn - the last Great Battle of the American West by James Donovan

Executing volatility arbitrage within the most volatile asset class, it is only natural that we take great interest in specific episodes of human history that reveal dire moments of life or death.

Above, General Custer and his men (along with several Crow scouts) of the famed Seventh Calvary Regiment of the United States Army survey the Sioux Camp from the bluffs overlooking the Little Bighorn river, before being eventually surrounded and annihilated by Chiefs Sitting Bull and Crazy Horse.

Specifically, we study reactions under intense pressure, as volatility trading in crypto derivatives harbors a similar mental environment.

Large profits can quickly morph into large losses if proper precautions are not taken in advent of realized tail risk.

Implied Volatility (IV) for BTC December options has been in decline since the start of August (110% to 95% currently), after having steadily increased from 72% back in June.  
Meanwhile March 2019 options were released last week at an IV of well over 100%, which we have shorted (calls at 7500 pictured).

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We believe one last drop to sub $6000 levels before the end of the year is in store, before a steady push back to $8000 and beyond; we plan to take maximum advantage of upcoming bullish price movement by utilizing call options that harbor the most advantageous Theta/Gamma ratios.  

Until next time. 

Brian Koralewski is the Founder and Managing Member at Austere Capital. 

You can reach him directly at brian@austere.capital

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