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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 continued higher this week at BTC spiked into Valentine's Day breaking above 50k. ETH also found its feet and marched towards 3000, taking realized vol as high at 50%. Implied vols have also moved up at a steady pace with the bullish spot breakout, this is the typical spot/vol correlation in crypto to the upside.

  • Volatility carry remains positive, but it's been a rough ride for short gamma players as there have been very few pullbacks. Now that spot has stalled out on BTC around 52k, we may get a period of consolidation where vols can come in, particularly in the front end.

  • Apart from NVDA earnings which will set the tone for stock markets, we don't have much on the macro front this week.

  • Crypto has decoupled from stocks due to the accelerating ETF inflows, if that calms down, and stocks have a correction, we may see some near-term downside.

Term Structure


  • BTC term structure shifting higher as spot rallied through 50k resistance.

  • Most expiries are up 1-3 vols, with Apr-Jun24 the most in demand. This week's expiry was lower by 2 points.

  • Skew curve steepening as short-dated call skew quicker to fade than Jun24 and longer.


  • ETH term structure also well bid as spot broke higher towards 3000.

  • Gamma buckets were firmer as realized outperformed on ETH.

  • 3-5 vol increase across the curve.

  • Long-term call skew from Jun24 up 3 vols, whilst front-end call skew fading as expected.

Crypto Options Skew


  • As spot broke to the upside, skew went even deeper into call premium, especially in ETH which has overtaken BTC call skew in maturities longer than 2 months.

  • BTC front-end call Skew has softened since the explosive rally on 14Feb. It now sits around 3 vols in weekly options and goes up to 7 vols in the back end.

  • The ETH skew curve is steeper with 2 vol call skew in the front but 8-9 vols in the back end. This is a structural phenomenon due to the short-dated call selling appetite from staking and overwriting. Long-dated calls are still in demand to play the catch trade and the ETH ETF flows.

Crypto Option Flows


Volumes were up 40% this week as BTC broke above 50k and sucked in more call buyers. General themes in the flow were rolling up of Feb or Mar in the money calls and buying protection post rally to 53k. March upside bought via 65k/75k call spreads and Mar/ April calendars. Jun calls bought in the 60-80k range. March 52k and 53k straddles were also bought.


ETH options volumes are up over 100% to nearly $4Bn as spot breaks higher and attacks 3000. Calls getting lifted mainly in Feb and March to gain gamma exposure to the move. 23Feb ITM 2800 calls covered, and higher strikes sold. March 3000/3500 call spread bought and Mar/Apr call calendar sold (similar trade on BTC). Some deep OTM crash protection was bought in 23Feb 2200 puts.

Gamma Positioning


  • BTC dealer gamma positioning has steadily gotten more negative as spot rallied. For this week's expiry we have two big short strikes at 50k and 52k which will likely hold the market around these levels.


  • ETH dealer gamma bounced back to positive after briefly touching negative last week.
    Short dated call selling has stacked back up above 3000 and so book are more neutral.
    The big short strike is 3000 for Friday's expiry, and this was a big target area for the break higher.

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