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Dive into this week’s Crypto Roundup ☟

➠ #RealizedVolatility

𝞂 #BTC realised vol took another hit.

Back into the 30s as spot found a tight range lower after Friday’s drop.

#ETH realised held up slightly better.

Only dropping 5p to 40 vol.

➠ #ImpliedVolatility

𝞂  Short-dated implied vols have stayed pretty constant thanks to the Silvergate fallout.

With crypto above key supports (#Bitcoin 21k & #Ethereum 1450) and a slew of macro data due, we would expect implied vols to find some love at these levels.

Even if RV remains low.

𝞂  Positive carry in both names at around 10 vols.

Suggesting theta harvesting is still the main game in town.

☞ Wonder what option structure is best for earning theta in crypto options?

More details in this week’s Crypto Options Weekly note to subs ☜

➠  #TermStructure

𝞂  BTC and ETH term structure remain in contango as realised vol grinds lower.

ETH/BTC vol spread at 5-6 vol range across maturities.

Seems fair considering with realised between 3-7.

A long-term entry in the spread at around 5 vols looks very attractive.

We remain long.

☞  Want the details of our positioning?

Find it in this week’s Crypto Options Weekly report!  ☜

➠  #Skew

𝞂  Short-dated skew remains in favour of puts as BTC spot heads back to the lower end of the 21-25k range.

ETH skew has about 2-3 vols more put premium than BTC in the front end of the curve.

This has been a consistent pattern lately.

Long-end skew remains better bid for calls…

𝞂  6-month BTC skew at 2 vols for calls.

ETH put skew is flatter further out the curve.

The persistent ETH put skew is a potential selling opportunity for those underweight ETH and looking to add exposure.

Whereas the BTC call skew in the long end makes #RiskReversal hedges very attractive.

Especially for long-only type investors.

➠  Options #Flows

𝞂  BTC options volumes continue to fall as spot grinds lower.

ETH flows heavily dominated by some large calendar selling flows.

It’s very interesting to see how it overwhelmed the rest of flows.

☞ Get full crypto options flows breakdown in this week’s Crypto Options Weekly note to subs ☜

➠  #Gamma Positioning

𝞂  ETH positioning staying fairly constant as spot grinds lower on poor realized vol.

But overall, dealers look more balanced…


What does that mean?




Comment on this article with “GAMMA P” & I’ll spell it out for you!




➠  #Strategy

𝞂  We suspect ETH may start outperforming and are looking at how to get exposure via options.

Curious about what we’re thinking?

We also have a carry trade on that continues to perform well for us.

Want the deets on that one too?

Then you know where to get them by now…↴

☞  Details in this week’s Crypto Options Weekly note to subs  ☜




…and that’s a wrap on this week’s Crypto Roundup!

Want more details on the current dynamics in crypto vol mentioned above?

Go watch this week’s Crypto Insight video on the Options Insight YouTube Channel!

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Crypto Insight | March 7, 2023




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