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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

  • BTC realized vol has continued to drift lower towards 30%, as spot is stuck around 35k. ETH realized remains a touch higher as some excitement had started to build at the weekend that a catch-up move was coming.


  • Implied vol was higher on the week, especially in ETH, which has taken carry deeply positive again to around 18 vol points which is in the 85th percentile. This level of carry is likely to entice gamma seller before long and put pressure on short-dated vol, in the absence of a big move.

  • Overall, crypto markets continue to decorrelate with stocks and were not particularly impacted by the large moves higher last week. If the rise in bond term premium was a bullish factor for BTC, the fall in yields last week may be a reason for BTC to take a breather, similar to what we are seeing in Gold.

Term Structure


  • BTC term structure pivoting around the 1-month expiry.
  • Front-end down as GAMMA stops performing.
  • VEGA better bid from Dec 23 to Sep 24 as expectations around ETF approval keep calls in demand.


  • ETH term structure shifting higher.
  • The whole curve was up but the largest moves were in the back end which added close to 10 vols.
  • GAMMA buckets were also firm, despite muted realized vol.
  • This repricing on ETH vol is flow-driven and in anticipation of bigger moves to come.



  • BTC Skew was stable for a change and sits at around 7 vols in call premium across the whole curve. This is despite spot doing very little this week. The market is still anticipating a spike on final confirmation of the spot ETF approval.


  • ETH skew was the bigger mover this week, as front-end calls caught a huge bid, taking call skew above 10 vols, which is the highest level we've see this year. The whole curve is currently at an 8-10 vol call premium, which is higher than BTC.
  • This flip in call skew favouring ETH once again shows the forward-looking nature of the options market. It also reflects that call overwriters have somewhat thrown in the towel and so the supply of ETH upside vol coming to the market is vastly reduced The fact that dealers are no longer being constantly sold call in big size will also have a reflexive impact on ETH realized vol, which we have already started to see this week.

Option Flows


  • BTC Options Volumes came back to earth to around $6Bn, half of the record last week. The general theme was one of Nov and Dec 34-35k calls getting rolled up and out into Dec 23-Jan 24-Jar 24 call or call spreads. Seller of 24Nov 34k straddle hit the front of the curve lower as gamma didn't work. Some crash protection was bought 24Nov 29k puts too.


  • ETH options volumes were also down big (40%) after last week's explosion in activity. Call overwriters continue to close out ITM calls in 1650 and 1700 area. Fresh call buying demand coming in to speculate on ETH upside in November expiries to have max leverage and gamma for a move. Longer date call spreads in Mar24 also bought.

Gamma Positioning


  • BTC dealer gamma positioning has gotten longer than last week, as some November straddles got sold and calls were rolled up to get more leverage. This helps explain why moves may be getting smaller too.


  • ETH dealer gamma has flipped into negative territory (although not huge) as spot rallied towards big short strike around 1900. With call overwriters stopping out, and not bringing fresh supply to the market, dealers need to source some vol back, hence the higher implied vol this week. Realized is already performing better as a result or dealers getting short.

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Imran Lakha

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