Are crypto vol markets hinting at a long-term trend?

The liquidity taps are increasingly expected to flow in full force later this year.

Putting the spotlight on owning the upside tail.

Keep reading as I unravel this intriguing phenomenon…

In this week’s Crypto Roundup ☟☟

➠ Realized Vol

σ BTC realised vol dropping back below 60 as 29k resistance held, and spot stayed within a range.

ETH realised has also fallen but is once again slightly above BTC on a 10d basis.

➠ Implied Vol

σ Implied vols have converged with realised

Taking carry to near zero in both BTC and ETH.

We suspect realised vol will continue lower, and implieds will hold up.

Allowing some positive carry to come back into the front end.

σ Waiting to see if crypto markets can establish a range into month-end.

Then possibly sell some optionality into Easter.

If and when the 29k resistance breaks, we think this is likely to drive vol higher again.

As the picture will look more bullish from a #technicalanalysis standpoint.


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

➠ Term Structure

σ BTC and ETH term structure both flattening back down from inverted states as gamma gets sold on lower realised.

ETH/BTC vol spread shifting back up a few points.

ETH realised takes back the baton but remains uninspiring.

A break of 29k would trigger even more #Bitcoin outperformance.

But as the level failed to break so far, vols are mean reverting.

➠ Skew

σ Skew recovered for puts as markets turned south and breakout hopes died down.

Short-dated skew has repriced the most.

Flipping back into put premium for weekly BTC options.

But the bid for calls progresses as you move out the term structure.

σ #Ethereum skew is almost entirely back to put premium except for the longest maturities, which still hold a slight call bid.

Weekly ETH skew back to 3 vols for puts over as hedges get bought.

➠ Options Flows

σ A healthy week of volumes for BTC with $5Bn notional trading

$3.5Bn expiring this week.

A $2Bn notional week for ETH ahead of 3Bn expiring this Friday.


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

➠ Crypto Strategy

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

☞ Get more details on our positioning in this week’s Crypto note to subs ☜


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

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

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Imran Lakha
Options Insight

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