Saxo Bank reported that the 30-day implied volatility for BlackRock's spot Bitcoin ETF, IBIT, reached approximately 37.4% as of September 23. This figure corresponds to an IV rank of 11.9, placing volatility expectations near their lowest point in the past 12 months.
The realized volatility over the previous 20 trading sessions was 45.5%, indicating that Bitcoin's actual price movement exceeded the expectations of the options market. Bitcoin gained roughly 37% between mid-August and September 23.
Net inflows into IBIT reached approximately $3.76 billion from August 15 to September 22. On September 24, IBIT shares traded at approximately $47.80, within a 52-week range of $33.24 to $71.30.
As of September 25, Bitcoin approached a price of $85,000. On the same day, the market faced a quarterly Deribit options expiry involving roughly $15.9 billion in notional Bitcoin options.
An IV rank of 11.9 suggests that current options pricing is lower than approximately 88% of the readings recorded over the last year. The 30-day implied volatility for IBIT options remained in the 36-37% range leading into September 25.
