According to reports, the procedural vote on the Digital Asset Market Structure Bill in the US Senate ended in a 49-50 split, falling short of the 60 votes required to proceed to deliberation. The bill would grant the Commodity Futures Trading Commission (CFTC) primary oversight authority over digital assets. As expectations for regulatory clarity receded, selling spread across cryptocurrencies and related stocks.
In addition to these regulatory risks, the Federal Open Market Committee (FOMC) meeting is scheduled for September 15–16. Amid the overlap of two uncertainties—regulation and monetary policy—the focus is on how much of the negative news from the sharp drop on the 15th has already been priced in. Will the selling exhaust itself, or will downward pressure on related stocks persist through further declines in crypto assets? We will gauge market caution toward both companies by analyzing option market pricing ahead of the September 18 expiration.
COIN: Put dominance persists, but upside IV remains elevated, creating a mixed sentiment
$Coinbase (COIN.US)$ For COIN, the Constant Maturity Implied Volatility (CM IV) at the close on the 15th was 69.80%, down 2.86 percentage points from the previous day’s 72.66%. Meanwhile, the 30-day Historical Volatility (HV) rose 7.42 percentage points from 86.17% to 93.59%.
While realized volatility (HV) surged in response to the sharp stock price decline, implied volatility (IV), which reflects future fluctuations, actually decreased. The IV Rank is 42.22, and the IV Percentile is 38.10%, with CM IV trailing 30-day HV by 23.79 percentage points. Although price movements have become more volatile recently, the options market has not strengthened its view that such volatility will continue at the same level. The key focus going forward is whether the divergence between realized volatility and IV will narrow from the HV side or the IV side.
[COIN | Volatility Analysis]
However, caution is strong in the near term when looking at expiration dates. The ATM IV for the September 18 expiration is 82.45%, significantly higher than 68.98% for September 25, 65.87% for October 16, and 70.70% for November 20. The difference from the following week’s expiration reaches 13.47 points, highlighting the elevated levels for the September 18 expiration, which spans the FOMC meeting.
Since there are no active listed options expiring before the FOMC announcement, it is impossible to isolate the event-specific premium attributable to the FOMC from this spread. Nevertheless, the term structure as of the 15th suggests that caution regarding significant near-term price movements is concentrated in the shortest-dated contracts.
[COIN | Volatility Term Structure]
On the other hand, trading on the day was slightly put-heavy. Total volume across all expirations was 153,734 puts versus 140,69 calls, resulting in a put/call ratio of 1.10. Following the sharp decline, trading activity and position adjustments driven by downside caution appear to have increased.
However, volume alone cannot distinguish between buying and selling. While we can confirm heightened interest in puts, we cannot definitively say that trades anticipating further declines were dominant.
[COIN | Execution Analysis & Volume]
A different picture emerges when looking at open interest. Based on the latest finalized figures, open interest stood at 492,139 puts versus 654,591 calls, yielding an open-interest-based put/call ratio of 0.75.
Although volume on the 15th skewed toward puts, calls remain dominant in the accumulated open interest. Sentiment appears divided between the day’s trading and existing positions, making it difficult to conclude that the overall options market has turned bearish.
[COIN | Execution Analysis & Total Open Interest]
Looking at the September 18 expiration by strike price, trading was concentrated in the $160 put. Volume reached 33,520 contracts, with open interest as of September 14 standing at 13,793 contracts.
On the upside, call open interest at $182.5 stood at 9,281 contracts, while call volume at $200 reached 15,508 contracts. On the downside, attention is focused on $160 puts, and on the upside, on calls in the $182.5–$200 range. While these price levels are likely to be watched from a supply-and-demand perspective as expiration approaches, they do not necessarily act as support or resistance.
[COIN | Volume / Open Interest by Strike Price]
The skew also reflects mixed sentiment. The 25-delta risk reversal for the September 18 expiration was +5.01 points, with call IV at 87.08% exceeding put IV at 82.07%.
While daily volume was dominated by puts, options pricing still shows relative premium on the upside. This does not necessarily mean bullish trades are dominant, but it indicates lingering demand to hedge against significant upward moves even after the sharp decline.
[COIN | Volatility Smile]
Block trades also confirmed call buying. There were three sample trades on the 15th, totaling 4,848 contracts. In terms of notional value, single-leg trades accounted for 58.1% and multi-leg trades for 41.9%. Among single-leg trades, a 1,000-contract call buy was observed.
*Notably for COIN, despite a sharp rise in 30-day HV due to the plunge, CM IV declined. Meanwhile, in the term structure, IV for the September 18 expiration, which spans the FOMC meeting, stands out, indicating strong caution regarding near-term price movements. Furthermore, although daily volume was put-heavy, existing open interest is call-heavy, and premium remains on the upside IV. The next focal points will be whether the shortest-term IV drops after the FOMC meeting passes, or whether new trading activity expands around the $160 puts and $182.5–$200 calls.
$Strategy (MSTR.US)$ CM IV at the close on the 15th was 79.72%, nearly flat compared to the previous day’s 79.79%. Meanwhile, 30-day HV rose by 0.64 points from 103.17% to 103.81%.
Although not as pronounced as with COIN, implied volatility (IV) did not keep pace with rising realized volatility. The IV Rank stands at 26.55 and the IV Percentile at 41.27%, with Coinbase’s IV trailing its 30-day historical volatility (HV) by 24.09 points. Compared to recent price movements, the options market’s assessment of volatility remains low, and attention is focused on how this gap will narrow going forward.
[MSTR | Volatility Analysis]
However, looking at expiries, similar to Coinbase, the near-term front months show notably elevated levels. ATM IVs are 92.59% for September 18, 75.42% for September 25, 71.77% for October 16, and 74.80% for November 20. The September 18 expiry exceeds the following week’s contract by 17.17 points, a wider spread than seen in COIN.
As there are no valid comparable contracts expiring before the FOMC meeting, it is impossible to isolate the event-specific premium associated with the FOMC. Nevertheless, the term structure as of the 15th shows that caution regarding imminent large price swings—amidst the overlap of Bitcoin market fluctuations and the FOMC—is skewed toward the shortest-dated options.
[MSTR | Volatility Term Structure]
Volume data does not reveal a clear directional bias. Across all expiries, call volume totaled 181,424 contracts versus put volume of 176,506, resulting in a put/call ratio of 0.97. Although calls slightly outnumbered puts, the two were nearly balanced. While large block call trades were notable individually, overall volume does not suggest a significant shift toward bullish sentiment.
[MSTR | Trade Analysis & Volume]
On the other hand, open interest remains dominated by calls. At the latest finalized figures, call open interest stood at 1,567,953 contracts against 1,171,283 put contracts, yielding an open-interest-based put/call ratio of 0.75.
However, open interest represents the accumulation of existing positions and does not necessarily indicate an increase in new call buying on the 15th. It is necessary to distinguish this from the day’s flow.
[MSTR | Trade Analysis & Total Open Interest]
For the September 18 expiry, call open interest is concentrated in the $135–$150 range. As of September 14, the $145 strike had the highest volume in this band with 27,822 contracts. Meanwhile, on the 15th, put volume peaked at the $120 strike with 28,189 contracts.
Market participants are watching the $135–$150 call wall on the upside and the $120 put support on the downside. While these levels provide clues for assessing supply and demand leading up to expiry, they do not strictly define the upper or lower bounds of the stock price.
[MSTR | Volume / Open Interest by Strike Price]
The skew is tilted to the upside. The 25-delta risk reversal for the September 18 expiry is +5.46 points, with call IV at 96.87% exceeding put IV at 91.41%. While call and put volumes are nearly balanced, option pricing reflects a relative premium on the upside.
[MSTR | Volatility Smile]
* For MSTR, the 30-day historical volatility (HV) rose slightly, while the current month (CM) implied volatility (IV) remained largely flat, indicating that IV did not follow the rise in realized volatility. However, this trend is less pronounced than for COIN. Meanwhile, in the term structure, the at-the-money (ATM) IV for the September 18 expiration significantly exceeds those of subsequent months, reflecting strong caution regarding near-term price movements. Call and put volumes are nearly balanced, offering little directional clarity. The key focus will be whether the shortest-term IV declines after the FOMC meeting, or if new trading activity increases in the $135–$150 calls and $120 puts.
$Coinbase (COIN.US)$ The expected price range until the September 18 expiration (with a 68.27% probability) is approximately ±6.1%. While this is smaller than the sharp drop of over 10% on the 15th, considering there are only three days left until expiration, significant price movement is still anticipated. Despite the recent plunge, caution regarding near-term volatility remains unwavering.
[COIN | Probability Analysis]
[MSTR | Probability Analysis]
As of the close on the 15th, the options market suggests that neither stock has established a clear direction following the sharp decline.
Rather, the notable factor is the divergence between realized volatility and IV. For Coinbase, the 30-day HV surged from 86.17% to 93.59%, whereas the CM IV declined from 72.66% to 69.80%. For Strategy (MSTR), the 30-day HV rose slightly from 103.17% to 103.81%, while the CM IV remained largely flat. Although less pronounced than for Coinbase, IV for MSTR also failed to track the rise in realized volatility.
Meanwhile, in the term structure, the ATM implied volatility (IV) for the September 18 expiry, which spans the FOMC meeting, significantly exceeds that of subsequent expiries for both stocks. Rather than a broad-based rise in IV driven by recent realized volatility, caution appears concentrated in the shortest-dated options amid uncertainty over regulations and ahead of the FOMC decision.
The key focus moving forward is how much option market caution recedes after the FOMC meeting. If short-dated IV declines while medium- to long-dated IV remains stable, the recent spike is likely being digested as a short-term event risk. Conversely, if elevated IV spreads to longer-dated expiries and put demand strengthens again, it may suggest that uncertainties surrounding regulations and interest rates are beginning to be perceived as longer-term risks. Going forward, alignment between changes in the term structure and the direction of option flow will likely serve as clues for gauging the next market phase.
-moomoo News Kingsley
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