Operation Epic Fury has triggered one of the most severe disruptions to the global energy supply since the 1973 oil embargo. The Strait of Hormuz remains closed. Industrial infrastructure across the oil and gas-rich Middle East has sustained damage whose full extent is still being assessed.
Macro visibility, already thin, has narrowed further, and the risk of a global economic slowdown looms as long as energy supply chains remain hindered. The more uncomfortable truth is that even a normalization of Hormuz traffic tomorrow would change less than markets might assume. Infrastructure mid-term damage is structural and the current impact is yet to fully propagate.
Into this already fragile backdrop walked the Federal Open Market Committee (FOMC). The 18 Mar decision held rates steady. No surprise there. What moved markets was the revision underneath, with inflation revised higher, a higher-for-longer path extended and the Fed's own projections now explicitly incorporating the energy shock into their inflation math.
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(Source: TradingView)
Yet the performance data since the war began tells a more interesting story than the headline. Bitcoin is up roughly 8.0%, while the Nasdaq index has shed 3.2% and gold, the canonical safe haven, has fallen an extraordinary 15%. Crude oil surged 38%, reflecting the supply shock directly. Bitcoin's outperformance is not the story of an asset rising on good news. It is the story of an asset that had already exhausted its sellers through months of prior drawdown, finding relative footing precisely when every other liquid risk proxy was breaking.
Geopolitics has displaced macro as the primary driver of market structure. The FOMC meeting, once the calendar's anchor event for risk assets, now occupies second chair to a conflict with no visible off-ramp. The March quarterly expiry lands in a market where the volatility surface is increasingly pricing the possibility that the world looks fundamentally different in a few weeks than it does today.
$16bn on the line into quarter-end expiry
The 27 Mar quarterly expiry has become the market's focal point, and the numbers reflect it. Across the three major options venues, $16bn in notional open interest is set to expire, roughly double February's $7.8bn, built in the teeth of one of the most volatile months the complex has seen. The concentration of risk at a single quarterly settlement, mid-war and mid-macro-repricing, is a statement about where participants have chosen to anchor their exposure.
On Deribit, the most liquid options venue, total open interest stands at $14bn, split $5.4bn in puts and $8.7bn in calls. The put-to-call ratio sits at 0.63, down from 0.76 at the February expiry.
Chart
(Source: CoinMetrics)
But the quarterly expiry carries a structural advantage February did not. That granularity matters for interpretation. Nearly 25% of March's put open interest sits on strikes that simply did not exist in the February structure, of which $725mn is below $50,000 and $562mn between $50,000 and $65,000. The $20,000 deep out of the money strike alone, absent from February entirely, carries $613mn, the single largest put position in the book.
Stripping out the March-only strikes and comparing only the common ladder, the shift in posture becomes sharper still. On equivalent strikes, the put-to-call ratio has compressed from 0.75 in February to 0.54 in March, not because the market has abandoned its hedges, but because call open interest on those same strikes has expanded far more aggressively than put protection.
The volatility surface jump
Between early February and 25 Mar, the entire volatility surface shifted violently higher, but not uniformly. At-the-money (ATM) volatility at $70,000 moved +7.8 points to 55%. The wings moved by a different order of magnitude. The options smile has stopped smiling. The put wing now commands a 65.7-point premium over the equivalent call wing, reflecting sustained, directional demand for left-tail protection. This dynamic signals a focus on risk management for institutional investors, the grim reality of thinning liquidity for retail traders and shifting market sentiment for casual newsreaders.
Chart
(Source: CoinMetrics)
That reading carries a technical asterisk. The 25 Mar snapshot is taken with two days to expiry, and that proximity mechanically distorts what the deep wing IV marks actually represent. Vega, the sensitivity of an option's price to a move in implied volatility, collapses to near zero for deep out-of-the-money strikes as expiry approaches. With no sensitivity remaining, even a thin bid or residual open position can generate an extreme implied volatility reading. The model solves backwards from the last observed price, but that price reflects almost no real premium nor active risk pricing, only the mathematical residue of near-worthless optionality.
The +104-point lift in the $40,000 put wing and the 181% IV reading are therefore not purely geopolitical fear crystallized at the extreme left tail. For the deepest strikes, they are predominantly a Greek artifact, time decay collapsing the denominator, not demand inflating the numerator.
The genuine volatility signal sits closer to the body of the distribution: ATM's 7.8-point lift from early February to 55% is clean, liquid and real. The skew steepening between $60,000 and $75,000, strikes with meaningful residual Vega even at two days, is where the geopolitical premium is actually being expressed.
Chart
(Source: CoinMetrics)
Three events drove the term structure in sequence throughout March. The conflict escalation phase between 1 and 9 Mar pushed 30-day ATM IV from 52% to a peak of 59%, the front end leading the curve higher as spot risk dominated. The whole surface moved in backwardation, with the 30-day tenor running 5.3 volatility points above the 90-day by 9 Mar, reflecting a market pricing immediate danger rather than sustained uncertainty.
The FOMC rate decision resolving a known risk event, the South Pars Natural Gas Field attack on 18 Mar and the pressure of Iran's categorical denial of Hormuz reopening ahead of the US deadline on 22 Mar, reintroduced tail risk precisely as the market had exhaled. The 30-day tenor spiked back to 53% on 22 Mar and the following session saw the largest single-day backwardation in the dataset at +1.7 points. The market was not pricing the deadline as a resolution. It was pricing the possibility that the answer was no.
Then the flip. By 25 Mar, the term structure crossed into contango for the first time, with 90-day IV at 51% above 30-day at 50%. It has held there since. The quarterly expiry functions as a clearing event. Once it passes, the distribution resets and the market must decide whether the geopolitical risk premium belongs in the front or the back of the curve. Presently, for the first time in weeks, it is answering the back.
Premium paid, premium withdrawn
The put-to-call market value ratio, the premium paid by market participants for options' exposure, tells the sharpest version of the sentiment story. At the peak of February's panic, put open interest market value hit an all-time high of $3.4bn against a call book worth just $0.2bn, a ratio of 16.7x. The market was paying, almost exclusively, for protection.
What followed is the counter-intuitive narrative of March. Despite the geopolitical tensions and the surface skewing aggressively to the downside, the put market value has been in consistent retreat. From $3.4bn at the February peak, put open interest market value has fallen 51% to $1.7bn as of 26 Mar. Even relative to end-February's $2.1bn, puts have shed a further 19% through the entire duration of the conflict.
Chart
(Source: CoinMetrics)
The call side completes the picture. From a trough of $0.2bn in early February, call market value has more than tripled to $0.7bn, a 105% recovery since end-February alone. The conflict escalation phase pushed puts briefly back to $2.2bn on 9 Mar, but that proved a local peak. The FOMC on 18 Mar marked the clearest inflection, with put market value dropping to $1.6bn, the lowest reading of the month, as call market value simultaneously surged to $0.8bn, the highest since before the February crash. Even as the South Pars attack and the Hormuz deadline briefly reignited defensive demand on 22 Mar, the structural drift held. Puts faded again. Calls rebuilt.
The interpretation requires care. Put market value shrinks as spot stabilizes and previously purchased protection decays or rolls off. It does not necessarily signal conviction that the worst is over. But the simultaneous and sustained recovery in call market value, from near-zero to levels that now represent genuine two-sided positioning, is harder to dismiss as passive. Participants are actively seeking upside exposure. The February all-time high in put market value represented maximum fear crystallized into premium. March represents something more ambiguous and arguably more interesting, a market that has not abandoned its hedges but has begun, tentatively, to price a path higher.
The 27 Mar expiry shows max pain at $75,000, the strike where aggregate option holder losses are maximized, often viewed as a potential price magnet into settlement. Bitcoin's resilience against a collapsing Nasdaq and gold in free fall is slightly renewing a thesis that the October crash completely shattered, that in a world of sovereign instability and macro fog, the asset has a place in a portfolio that no traditional safe haven is currently filling.
