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USA Week Ahead:

  1. Tuesday 9a ET- S&P Case-Shiller home price index (20 cities)

  2. Tuesday 10a ET- Consumer confidence

  3. Tuesday 1:30p ET - Fed Gov. Bowman speaks

  4. Thursday 8:30 ET - GDP (revision)

  5. Thursday 1p ET - Fed Gov. Cook speaks

  6. Thursday 4p ET - Powell Speaks

  7. Friday 8:30am - PCE

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


In this upcoming week, the main events will be Jerome Powell speaking on Thursday, PCE release on Friday, GDP revisions coming-in Thursday and maybe some useful information about housing prices with Tuesday’s release of the S&P Case Shiller Index.

Last week we had the FOMC rate decision.

The US Fed decided on a rate hike “skip” but added a hawkish tone by extending their projections of “holding rates higher for longer”. Other rate hikes aren’t ruled out either.

Jerome Powell also floated the idea that it seems the neutral interest rate may have risen, which would mean higher rates for even longer.

US Tech stock were down about -3% on the week in response, while 30yr bond futures lost -2% but Gold only lost -0.55%.

What’s really interesting is the relative strength in Gold despite treasury yields moving much higher since the SVB banking crisis. Interest Rate 9/22/2023 and 3/17/2023(

Finviz GOLD September 25, 2023(

These relationships are supported by price action in crypto as well.

Assuming BTC is digital gold and ETH is the crypto “tech play” we can justify price activity manifesting in the ETH/BTC ratio.


BTC: $26,216 (-0.8% / 7-day)

ETH :$1,581 (-2.1% / 7-day)

AD Derivatives (BTC & ETH ATM Term Structures) Term structure comparison(BTC & ETH ATM Term Structures)

My thesis this week (again, I know) is really focused around the relative weakness in ETH, which is combined with historically low volatility.

AD Derivatives (ETH Variance Risk Premium “VRP”) ATM vs RV(ETH Variance Risk Premium “VRP”)

Spot price drops are a likely catalyst for a volatility pickup. We can already see that the VRP has been oscillating around the 0-mark since Setp 19th.

Historically low volatility with a near 0-VRP is cheap vol.

AD Derivatives (ETH RR-Skew chart) Skew constant maturity(ETH RR-Skew chart)

Since Sept. 20th however, we’re also seeing the option RR-Skew in ETH being priced downwards towards more expensive puts.

This is an important consideration when shopping for cheap vol. positions in ETH… which leads me again, to my repeated observation.

AD Derivatives (ETH ∆25 Wing premium to ATM IV) wings cheap or rich - calls puts(ETH ∆25 Wing premium to ATM IV)

Put wings become quickly expensive in ETH, trading nearly 20% higher than ATM IV (at least 2x the 2023 average).

To me, this means ETH put spreads are still the most interesting vol. play in my eyes (you can remove the delta bias by buying some spot ETH).


I think there’s a real reason for ETH to be dragged down by the macro. This would likely spike volatility higher. Given current ATM pricing, VRP and steep wing convexity, this looks like value.


The most talked-about Bitcoin trade of the week was the aggressive on-screen buys in June 2024, with $65k and $85k calls bought for a total of over 100k vega. It's also worth noting the naked long positions in November with $32k and $33k calls.

amberdata derivatives (BTC Options Scanner Top Trades) block trades and on screen trades

(BTC Options Scanner Top Trades)

amberdata derivatives Biggest Open interest change and most traded. BTC options scanner top trades

(BTC Options Scanner Top Trades)

For Ethereum, two noteworthy trades were the buy-to-close positions on October $2k and December $2.2k, and the massive selling of $1.7 calls in October with an average implied volatility of 28%!

amberdata derivatives (ETH Options Scanner Top Trades) block trades and on screen trades

(ETH Options Scanner Top Trades)

amberdata derivatives (ETH Options Scanner Top Trades) Biggest Open interest change and most traded

(ETH Options Scanner Top Trades)

Paradigm Block Insights

BTC upside rolling

Friday Vol Crush

New #TBP w/ QCP Capital!

BTC +0.25% / ETH -3% / NDX -3.4%

BTC Flows 🌊

Vols reset lower post-FOMC, we noted large BTC selling of Oct upside and rolling to Nov. Puts turn bid.

1500x 29-Sep-23 24000 / 13-Oct-23 24000 Put Calendar bought

1300x 27-Oct-23 30000 / 24-Nov-23 33000 Call Calendar bought

1222x 22-Sep-23 26000/28000 Strangle bought

1012x 27-Oct-23 26000/23000 Put Spread sold

ETH Flows 🌊

Sep downside protection lifted midweek, ETH selling on screens, ~x65k Oct 1700s given, applying pressure to Oct vols. 

12500x 29-Sep-23 1550 Put bought

8500x 24-Nov-23 1800 Call sold

8000x 27-Oct-23 1600 / 29-Dec-23 2000 CCal sold

7812x 29-Sep-23 1750/1900 Call Spread bought

7000x 29-Dec-23 1900 Call bought

Friday Vol Crush

ATM IVs deflated dramatically into the weekend, off the heels of aforementioned Oct ETH selling and BTC topside rolling, sending Oct ATMs -5v on Friday.  Vol markets tell a different story than traders in terms of excitement around possible Oct ETF approvals.  Current ATMs trade at low absolute levels:

The Big Picture is back with @QCPCapital, who currently hold the highest market maker volume in 2023! 🚀

We also chat about:

- $ETH Put Skew vs. ATM 

- $ETH Forwards are Overpriced 

- @genesisvol: Dealers Long Gamma

- @FTX_Official  FUD


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Bybit x Paradigm Futures Spread Trade Tape:


amberdata derivatives paradigm block volume trade. Puts vs calls volume BTC


The Squeethcosystem Report (9/17/23 - 9/24/23)

Crypto markets found their way lower throughout the week. ETH ended the week -2.19%, oSQTH ended the week -5.47%.


oSQTH IV was incredibly active this week trading in the mid 20s just to round trip back to the upper 50s to end the week. 


The 7-day total volume for oSQTH via Uniswap oSQTH/ETH pool was $198.83k

September 20th saw the most volume, with a daily total of $110.07k traded.

Crab Strategy

Crab saw gains during the week ending at +0.45% in USDC terms.



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.

Orderbook liquidity and Volume Profile research report

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