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USA Week Ahead:

  1. Wednesday 9:45am ET - PMI

  2. Thursday 8:30am - Q4 GPD Prelim

  3. Friday 8:30am - Fed Speakers throughout

Disclaimer: Nothing here is trading advice or solicitation. This is for educational purposes only.

Authors have holdings in BTC, ETH, and Lyra and may change their holdings anytime


Deribit Crypto Options exchange


CRYPTO OPTIONS MACRO THEMES:

BTC bitcoin ETH ethereum SOL solana

BTC: $41,298 (-2.2% / 7-day)

ETH :$2,437 (-2.3% / 7-day)


BTC is currently testing its post-ETF approval range. I believe that this bearishness is nothing more than a short-term fluctuation. 

From a volatility perspective, the market is looking at the BTC halving as the next major volatility event.

Amberdata derivatives term structure BTC

We can observe that Deribit's recently listed April expiration exhibits a volatility kink.

Personally, I fail to comprehend the rationale behind a volatility kink during the BTC halving. Paying a premium for volatility seems reasonable for unforeseeable events, but not for well-established, clearly foreseeable, and easily accounted-for events. This appears inefficient to me.

Amberdata derivatives term structure comparison BTC vs ETH

What's even more intriguing, however, is that the April volatility anomaly is even more pronounced in the Ethereum term structure. Observe the greater discount in volatility before the April expiration and the larger premium after the April expiration.

This is what currently piques my interest in the crypto volatility surface.


Gravity5ucks

Weekly Review @Gravity5ucks

A week of perfect range between supports ($40k) and resistances ($44k), consolidated over the last 6 weeks, even though the spot at $40k has effectively diminished certainty about support resilience.
Ethereum follows in tandem, maintaining a stable ratio throughout the week at its highest values in the last 4 months.

Chart: (Binance BTCUSDT Price)

Amberdata Derivatives API Binance BTCUSDT Price hourly liquidation

Chart: (Binance ETHUSDT Price)

Amberdata Derivatives API Binance ETH USDT Price hourly liquidation

Option market volumes aren't sky-high, but still, the impact in terms of IV has been gigantic. In fact, the news of the week has been the comeback of the serial "call writer" on Ethereum, bringing the volatility ratio between the two coins to its lowest, evident across the entire term structure.

Chart: (BTC vs ETH DVol Ratio & Spread)

Amberdata derivatives ETH and BTC Deribit Volatility ratio and spread

Chart: (BTC vs ETH Term Structure)

Amberdata derivatives BTC vs ETH term structure comparison

Specifically, the sale of $2.9k calls for March and April has captured the majority of the flow, but the hits also include the $2.6k, $2.7k, and $2.8k strikes in the February expiries.
On Bitcoin, we highlight the long straddle at $44k for the front monthly with a total premium paid exceeding $5M.

Chart: (ETH Top Trades)

Amberdata derivatives ETH top trades - block trades and on screen trades

Chart: (BTC Top Trades)

Amberdata derivatives BTC top trades - block trades and on screen trades

The vega impact of the flow favored Ethereum, with over $260k of vega sold just in the $2.9k strike.

Chart: (BTC Heatmap Flow Vega Term)

Amberdata Derivatives API BTC Heatmap Flow Vega Term Structure

Chart: (ETH Heatmap Flow Vega Term)

Amberdata Derivatives API ETH Heatmap Flow Vega Term

Even more pronounced is the impact when analyzing week-over-week skews in the front month. Bitcoin loses approximately 8 volatility percentage points, while Ethereum sheds almost 18 points!
The premium sucked away in the blink of an eye.

Chart: (BTC Skew Delta Comparison WoW)

Amberdata Derivatives API BTC Skew Delta Comparison WoW

Chart: (ETH Skew Delta Comparison WoW)

Amberdata Derivatives API ETH Skew Delta Comparison WoW


Paradigm.co

Paradigm's Week In Review

BTC

ETH


Opyn DeFi Options Analytics

Opyn's Squeethcosystem Report

Crypto markets had a relatively quiet week. ETH ended the week -0.28%, oSQTH ended the week -5.36%.

Amberdata derivatives Opyn oSqueeth vs ETH

Volatility

oSQTH IV saw large declines to end the week in the high 60s.

Volume

The 7-day total volume for oSQTH via Uniswap oSQTH/ETH pool was $209.94k

January 18th saw the most volume, with a daily total of $90.10k traded.

Crab Strategy

Crab saw large gains throughout the week ending at +3.98% in USDC terms.

Opyn Twitter: https://twitter.com/opyn

Opyn Discord: discord.gg/opyn


AMBERDATA DISCLAIMER: The information provided in this research is for educational purposes only and is not investment or financial advice. Please do your own research before making any investment decisions. None of the information in this report constitutes, or should be relied on as a suggestion, offer, or other solicitation to engage in, or refrain from engaging, in any purchase, sale, or any other investment-related activity. Cryptocurrency investments are volatile and high risk in nature. Don't invest more than what you can afford to lose.

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