A DeFi bull run might take $400 Ethereum options traders by surprise

A DeFi bull run might take $400 Ethereum options traders by surprise


Ether (ETH) price gained 14% from its Sept. 6 low at $320, but this month’s futures and options expiry is less than two weeks away. As its price is still pinned below $400, this raises the question of exactly how confident are derivatives traders of a 9% recovery to $400?

By analyzing options model pricing, investors can easily conclude that traders are pricing in the 34% odds of Ether reaching $400 or higher. Still, the Black & Scholes options model main issue is heavily dependent on the number of days until expiry.

The odds for the same $400 level on Nov. 27 rise to 52%, regardless of how optimistic investors are for the Ethereum 2.0 launch date or the altcoin’s growing use in decentralized finance platforms.

Ethereum’s volatility leaves room for surprises

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Volatility is the central indicator of intense price swings, although it does not infer a positive or negative direction. 

Historical volatility exclusively measures past movements and is

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