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USA Week Ahead:

  1. Tuesday 8:30am ET: CPI

  2. Wednesday 2pm ET: Fed Rate Decision

Disclaimer: Nothing here is trading advice or solicitation.

This is for educational purposes only.

Math minded people here, pardon any typos.


This week we have two big economic numbers: CPI and a Fed Rate decision; after that, we’re pretty much clear into EOY.

The Fed rate decision consensus is 50bps and that’s likely going to be the case.

CPI on Tuesday is the only number that could really push markets either way if we witness any surprise.

Both for crypto and TradFi, we’re entering one of my favorite environments… “Vol. is expensive when it’s low, sell it”

The vix is back near 23pts due to last week’s market drop and this week’s announcements… A CPI surprise aside, I expect VIX to drop below 20 until EOY.

The holidays are setting us up for a quiet period.


I view the same phenomenon with crypto.

RV has just completely dried up and the VRP remains wide, as a function of contagion fears and macro numbers.

The truth is, likely nothing happens from now until EOY.

BTC: $16,974 -1.49%

ETH: $1,256 -2.48%

SOL: $13.42 -4.53%

DVOL: Deribit’s volatility index

BTC - (365-days w/ spot line chart)

I definitely wasn’t interested in selling vol. right after FTX imploded and DVOL was near May and June highs…

Now we’ve seen a real lack of RV follow through and DVOL is back to annual lows.

Look at this chart, many would like to buy vol. here, but in my opinion, low vol. is often expensive vol… when comparing to RV.

I believe this is the case now.


(Dec. 11th, 2022 - BTC Term Structure - Deribit)

(7-day highlight)

Short-term ATM IV is rising into Tuesday’s CPI and Wednesday’s rate decision… We could even see a flat TS into the numbers.

Post decision, the coast is clear into EOY.


(Dec. 11th, 2022 - BTC RR SKEW (C-P) ∆25 - Deribit)

(7-day highlight)

Skew is holding steady these past few weeks, pricing slightly higher downside IV.

I view this as fair.

Although the CPI could surprise in both directions, contagion dangers are only a “Spot-lower” event.


(Dec. 11th, 2022 - BTC IV-RV)

We can see an extremely wide VRP here.

This supports my claim earlier that “low vol. is expensive vol.”

VRP is likely to widen further into the macro events and post CPI (Fed seems lower risk to me) we could sell it.


Volumes down for the fifth consecutive week since the beginning of November, but all-in maintenance, considering the floor base of the last year; notional and premium “obviously” at the lows.

(Deribit Historical - Historical contracts volume- BTC vs ETH) 

Finally, a week with clean trades (see previous newsletters).
Worth noting are the large quantities of put spread $12k-$10k bought in blocks for 30DEC, and the on-screen activity on the March 23. The latter with execution modes and times that make me assume a $21k-$23k call spread sold by a single entity. Despite the important quantities, the impact on the iv was practically nil. The most sophisticated trade of the week.

(BTC AD direction table with uni_trade - Options Scanner section)

On Ethereum, activity focused on the call side. Bought blocks of 30DEC $1.9k-$2.0k and a two-way activity on screen with strike $1.4k.

(ETH AD direction table with uni_trade - Options Scanner section) 

Paradigm Block Insights (05 DEC - 11 DEC)

Crypto majors grind sideways. Tail hedges are on, with year-end downside bought in size. Traders position for a busy macro week ahead, despite realized vol a one-way train lower.

BTC unch. / ETH -1% / NDX -3%

BTC Flows

SIZE end-of-year put spread traded in multiple clips over the course of the week. Wingy portfolio tail hedge perhaps...55x max payout, 1-delta.

3200x 30-Dec-22 12000/10000 Put Spread bot

Realized vol is laughable at this point with 7D ~23v.

Some vol buying interest at these levels of implieds, especially ahead of 13Dec US CPI and 14Dec FOMC.

700x 30Dec 18k Call bot

475x 30Dec 15k Put bot

Carry is brutal though...BTC realized comparable to SPX.

ETH Flows

Wingy topside bot on Friday via Dec call spreads below...feels like a closing risk.

Remember the chunky 75k 30Dec 2600/3000 CSpd sold a few weeks ago...

8350x Dec 2500/2600 CSpd bot

5000x Dec 2000/2600 CSpd bot

1625x Dec 2400/2600 CSpd bot

Check out our latest episode of The Big Picture for more on the above!

David Brickell talks macro and Joe Kruy discusses volume trends in more detail, as well as the week's major option themes. See here.




Squeeth Weekly Review (12/04/22 - 12/10/22)

As we head into what most are expecting to be a key week in providing information on the future outlook of capital markets, ETH spot prices remain relatively flat. Flows continue to be quiet as market participants are unwilling to bid up vols and sell-side players are happily collecting on the continued decline of realized vol. ETH ended the week +1.34% and oSQTH ended the week +.062%.


Squeeth IV saw declines throughout the week, rewarding sellers. Squeeth (at the time of writing) is quite cheap -relative to its reference vol- providing traders a unique opportunity to buy cheap exposure into this headline-filled week.


The 7-day total volume for oSQTH via Uniswap oSQTH/ETH pool was $2.72m. December 8th saw the highest single day volume, with a daily total of $874.61k traded. 

Crab Strategy

Crab was the place to be this week, returning +1.4% in USD terms.



Lyra Weekly Review

ETH Volatility

Current ATM IV is nearing the lows again at 63% in ETH. Near-term options and puts are only trading at a slight premium. 


Lyra IVs are now at a significant discount to CEXs, representing some decent arbitrage opportunities. 

ETH Market-Making Vault 

The ETH MMV has returned to +4.51% since its inception (June 28th, 2022), representing a weekly change of -.10%. 

Depositors earn an additional 7.02% rewards APY (boosted up to 14.04% for LYRA Stakers). ETH MMVs have been holding up well despite some intense market volatility. 

Net ETH MMV Exposure: 

BTC Market-Making Vault 

Lyra’s BTC MMV has returned +.135% since its inception (August 16th, 2022). This represents a weekly change of -.143% as the BTC Vault has struggled the last few weeks and as the BTC markets failed to realize volatility on its long gamma position.

Depositors earn an additional 7.77% rewards APY (boosted up to 15.54% for LYRA Stakers)

BTC Volatility

Net BTC MMV Exposure:

Lyra’s governance has approved an Arbitrum deployment!

Learn more about Lyra in this GVOL explainer video!




Watch @itseneff and @GenesisVol talk options here

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Tag(s): Derivatives , Research

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