Bitcoin volatility has come down sharply, but people are still pricing wings relatively rich. The chart is showing the June and September volatility structure. Both upside and downside remain rather elevated. Our main bitcoin take for "must be longs" over the past months have been to use overwriting strategies and sell upside. We continue to like this strategy of "yield enhancement".
How to think about those wings? All vols have come down recently, but we find the longer term maturities still relatively elevated if this is an asset that is "growing up". Let's explore three different scenarios depending on your directional bias.