Speculative appeal of stock-up vol-up assets
The host argued that assets exhibiting a positive correlation between price and implied volatility (stock-up vol-up) generate unique, highly liquid, and speculative options markets due to their unlimited upside potential.
The argument
The host explained that unlike the S&P 500, where price and volatility are negatively correlated, assets like Circle, Coinbase, and Bitcoin ETFs see volatility rise alongside price. This dynamic creates upward-sloping call skews and sticky option deltas, attracting heavy call-buying speculation and yield-seeking overwriters.
The thesis, stress-tested
✓ What validates it
- ✓Persistent upward-sloping call skews in the named assets
- ✓Continued high call-to-put volume ratios (e.g., 2.5:1 or higher)
▸ Risks discussed
- ▸Sellers of upside calls face severe risk of being caught in an upward price squeeze
- ▸The reinforcing upward spiral of price and volatility can ultimately lead to a violent unwind
Hear it yourself
"The table shows a number of stock up vol up assets and some of the option pricing characteristics that emerge. These stocks include Tesla, Nvidia, the GLD, SLV, USO, IBIT, ETHA, the Ethereum ETF, MSTR, COIN, and Circle."
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