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Weekly Mid-week Crypto Derivatives Market Recap where Imran Lakha of Options Insight gives brief yet concise breakdowns of BTC's & ETH's Volatility, Term-Structure, Relative Value, Skew, Crypto Option Flows, and Gamma positioning.

This week Imran Lakha walks us through some key points in the crypto options market.

Realized Volatility 

  • Crypto realized vol rising by around 10 vols this week, as spot exploded to the upside, with BTC seeing 8 straight days of gains.

  • Implied vols spiked higher as options buyers came in, both to cover shorts and add fresh longs to chase the move.

  • Volatility carry is back to very positive at around 10-12 vols as implied vol trades at a significant premium to realized.

  • The break higher is BTC spot was enough to get the whiole space moving higher and triggered short covering in ETH calls. This new flow has taken away the ETH dealer long gamma overhang and stopped putting a lid on ETH prices.

  • BTC positioning is very short gamma here, which also explains the high vol carry, as dealers protect themselves from getting even more short. Implied vols have some room to pullback post CPI, if spot can find some stability near the 50k level.

Term Structure


  • BTC term structure catching a strong bid and shifting materially higher.

  • Front end vols up 10-15 points as you'd expect from a near 20% rally in a week.

  • Back-end vols are also very well bid (up 5 points) as 400k VEGA gets lifted in upside calls in Jun-Dec24 expiries


  • ETH term structure also shifting higher.

  • Short-term expiries were up more than BTC as the short-covering flows exaggerated the move.

  • Back-end vols were not quite as well bid as the flow concentrated in Feb/Mar expiries.

Crypto Options Skew


  • With such a huge spot move higher, it should be no surprise that call skew returned across the curve as traders chased the break to the upside. We saw similar shifts in pricing, leaving the skew curve at 6-7 vol call premium across expiries in both assets.

  • We think the call skew in the short-term expiries may come under pressure quickly, especially in BTC, if some profit-taking is seen and traders are rolling out exposure to post-halving expiries.

  • Now that call overwriters have been burned once again, we may see a more persistent bid for ETH upside as the supply has been reduced. This remains to be seen, and if 1 week of stability is enough to entice call seller again, then we will re-evaluate our view.

Crypto Option Flows


  • BTC options volumes are up 60% this week as upside moves normally bring the flows. Lots of short covering and opportunistic buying in front-month calls.

  • The large clips came from funds buying Apr-Jun24 60-75k calls in nearly $10m premium. We also saw the selling of ITM Jun24 40k calls, so likely rolling up strikes to get more leverage to the move.


  • ETH options volumes were flat on the week, and fairly muted until the last couple of days when ETH finally started to outperform. Once again, all the flow is call-dominated, and large clips of Feb-Mar24 2600-3000 calls getting lifted and 2400-2500 shorts covered. Some Apr24 calls were sold as part of Mar/Apr24 call calendars. Some profit taking was seen in Feb 2700 and 2800 calls after the move.

Gamma Positioning


  • BTC dealer gamma positioning back to near -40m, which is towards the low end of the range, and supports higher realized vol. The big short strike that is responsible for most of the position is the 50k strike split across Feb and March expiries.


  • ETH dealer gamma  collapsed down to zero. From being very long last week, as ETH spot finally took out 2400 and call buyers came in, either to cover shorts or speculate on further upside as ETH was underperforming BTC again. The main short strikes are 23Feb 2600-2800, but lower down the positioning we get longer again.

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