Can you feel the buzz around BTC?

We’ve seen record-breaking options volumes this week.

Are you curious to discover how these massive trades are affecting crypto markets?

Then come join us in dissecting the impact of these colossal moves in this week’s…

Crypto Roundup ☟

➠ #RealizedVol

σ #Bitcoin 10d realised up ~10pts, to 85 vol

As spot continued to charge higher towards 28.5k and finished up 15% on the week.

ETH 10d realised up 5 pts to 73 vol, materially lower than #BTC.

ETH once again has failed to keep pace, with 1850 resistance proving too big an obstacle to pass.

➠ #ImpliedVol

BTC short-dated implieds settled back down to only up 5p from 10p as spot drifted back below 28k.

ETH implieds have been chopping around.

Carry firmly in negative territory, especially in BTC, which is at -17.5 vol and in the 10th percentile.

ETH carry also negative but less extreme.

Interesting to see implied vols dropping before realised did

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

➠ #TermStructure

σ BTC term structure shifting higher from 1m and out with weekly vol unchanged.

ETH curve stable on the week.

ETH/BTC vol spread collapsed.

Even the back end feeling the crunch as BTC vol outperformance has persisted for a month.

σ Statistically, we still like the long ETH side of this spread trade, however, don’t want to fight the price action.

We would likely cut the position if BTC breaks above 29k and ETH still can’t participate in the upside.

Positioning setup in ETH where dealers have been long upside has made it difficult for ETH to perform on the upside.

Unlike BTC, where dealers are short.

➠ #Skew

σ Skew flipped deeply into call premium across the whole curve from neutral last week.

BTC skew now at 6 vols for calls over in the short dates and even slightly higher in the back end.

ETH skew has also flipped and dropped by a similar amount.

But as it was starting in more put premium last week, and spot failed to rally as hard.

It makes sense that #ETH call skew is slightly less.

☞ For those patient enough to have waited for 28k, the hedging opportunity looks excellent up here…

Want the details of our positioning?

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

➠ #Options Flows

σ Record volumes in BTC options this week.

Notionals reached as high as the 2021 peaks.

Unsurprisingly most focussed on calls…

ETH flows only a third of BTC volume this week.

Focus has remained on BTC as a safe haven out of the current #BankingCrisis.

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

➠ Gamma Positioning

σ BTC dealer gamma stays negative and helps drive the move higher.

Dealers sit short local strikes from 26-28k.

σ ETH positioning close to neutral as less call buying has been seen.

Also, consistent overwriting continues.

➠ Crypto #Strategy

σ Running a decent size hedge with BTC back up at 28k.

For more crypto positions that we are currently running…

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


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

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

Watch this week’s Crypto Insight video below!

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Imran Lakha
Options Insight

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