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USA Week Ahead:

  1. Wednesday 8:30am - CPI

  2. Thursday 8:30am - PPI & Retail Sales

  3. Friday 8:30am - Empire Manufacturing

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


Last week, Canada’s CB left rates unchanged (at 5%) as said that the current level of interest rates was meeting the required affect to reach their 2% inflation target.

This week we have CPI and PPI releases, that will give us a good glimpse into future potential Fed reactions.

Next week, Sept 19th - Sept 20th, we have the FOMC rate decision, which is expected to be met with another “Skip”.

Slowing job growth in the US and a slowdown in the Chinese economy are good signs that next weeks FOMC will be met with a rate “Skip” and the Fed continues to “wait and see”.

Nonfarm payrols, change from a month earlier - labor department(Source: WSJ)

Equity volatility is back towards annual lows along with lower vol-of-vol.

All these things are signs of near-term tranquility of in Macro volatility, removing a potential source of vol for crypto.

VIX 1 year 1 day(VIX via ThinkOrSwim)

VVIX 1 year 1 day(VVIX via ThinkOrSwim)

That said, there’s still interesting value in the crypto vol. space.

BTC bitcoin ETH ethereum SOL solana

BTC: $25,917 (-0.2% / 7-day)

ETH :$1,623 (-0.8% / 7-day)

BTC/USD spot weekly chart(Spot Weekly Chart)

ETH/USD finviz (

Eyeballing this weekly chart doesn’t look great at a glance, spot prices look like they could easily drop lower.

Shadow Skew Delta BTC September 29 expiration skew timelapse (BTC Sept29 Expiration Skew timelapse)

Looking at the near-term expiration, the Sept quarterly, we can see that over the past couple of weeks, there’s been a steady lift in the Put wing IV.

This is despite good news on the ETF/Grayscale developments.

amberdata derivatives ETH ethereum vs BTC bitcoin term structure. Term structure comparison BTC vs ETH(ETH verse BTC term structure)


Decoding option flows spot/vol dynamics BTC correlations log returns spot/ATM 30. ETH corralations log returns (Decoding Option Flows REPORT)

For vol buyers, looking to get long any put protection, ETH is still more interesting than BTC in my eyes, as the spot/vol dynamics have been more negative for ETH and positive for BTC.

Not to mention the currently lower price.

Although, the macro vol picture is likely to be quiet in the near future, buying spot protection (via ETH) interests me.

The steep wing/ATM relationship ETH also continues and provides good value for Put-Spread buyers, given the sharply higher wing.

AD Derivatives Footprint volatility curves ETH Sept 29(ETH Sept29 “Volatility Footprint”)

Ad Derivatives ETH dealer gamma exposure GVOL GEX(ETH Dealer Gamma Exposure)

Even looking at the gamma profile, it just seems like the street is “too confident” selling optionality to dealers.

TL:DR (In order of importance)

  1. ETH Wings/ATM skew is steep

  2. ETH Spot/Vol dynamics are slightly more negative YTD

  3. ETH Relative Vol is historically low

  4. ETH absolutely vol is historically low (not necessarily cheap)

  5. Crypto Spot prices not reacting favorably to good news

  6. Crypto Spot chart looks “heavy”

Anyways, just some thoughts of where I see “value”.


Despite the low volume week, some interesting trades happened.

AD Derivatives Block trades and onscreen trades (BTC Options Scanner - Top Trades) (BTC Options Scanner - Top Trades)

Some divergent takes between blocks and onscreen.

BTC block net cumulative volume BTC heatmap blocks AD derivatives API(BTC Heatmaps Blocks)

AD derivatives API BTC onscreen net cumulative volume heatmaps onscreen

(BTC Heatmaps Onscreen)

Blocks longing upside calls in range $29k-$31k while selling $23k put.
Quite the opposite on-screen with $23k put bought.

On Ethereum surprisingly more action on-screen compared to blocks with the usual “short calls flow” rebalancing risk across maturities and strikes.

AD derivatives On screen trades ETH options scanner top trades(ETH Options Scanner - Top Trades Onscreen)

AD derivatives API ETH on screen net cumulative volume heatmaps

(ETH Heatmaps Onscreen)

Paradigm (@tradeparadigm) | Twitter

Paradigm Block Insights



Amberdata derivatives block volume traded. Put vs calls volume ETH

Lyra Weekly Review

Check out more info on Lyra V2 launching soon!

V1 Arbitrum:

amberdata LYRA v1 arbitrum total notional volume total premium volume

V1 Optimism

Amberdata LYRA v1 optimism total notional volume total premium volume total open interest


Current ATM IV is ~33% in ETH, back on recent lows. Both ETH and BTC sit in backwardation as realized volatility continues to be low.

ETH Market-Making Vault 

ETH Arbitrum: +3.52% since inception, +5.63% annualized

ETH Optimism: 

Depositors earn an additional 5.72-20.97% rewards APY, boosted up to 49.05% for LYRA Stakers by depositing USDC to Lyra’s Market Making Vaults.

Net MMV Exposure: 

ETH vaults on both Arbitrum and Optimism remain long at-the-money options and short small out of the monies. Vaults require a move in underlying or will continue bleeding theta over the next week. 

ETH Arbitrum:

ETH Optimism:

BTC Volatility

BTC IV has settled ~40%, remaining slightly firmer than ETH. 

Net BTC MMV Exposure:

BTC vaults also remain long gamma, short theta

Learn more about Lyra in this GVOL explainer video!




Watch @itseneff and @GenesisVol talk options here

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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