How Can the Risk of a Cease and Desist Order Be Priced into a Token’s Option Premium?

The risk of a cease and desist order is priced into the option premium through an increase in the implied volatility. Traders perceive the regulatory risk as a 'tail risk' event ▴ a low-probability, high-impact event that could cause a massive, sudden drop in the token price.

This risk is factored into the option's volatility input, making both call and put options more expensive to reflect the possibility of a catastrophic price movement.