July 27, 2023
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.
1. Crypto realized vols collapsed last week as spot drifted back to the middle of recent ranges with no major macro shocks to drive price action either way.
2. BTC term structure shifting lower, more in the front end so moving into a marginally steeper contango. ETH term structure was hit hard this week as ETH also failed to break higher and realized evaporated
3. Skew - BTC skew term structure has steepened this week, with front-end puts catching a bid on the break below 30k (as predicted) but the back-end call premium persists and has stretched further. ETH Skew had a similar dynamic with front-end put skew getting deeper but most of the ETH skew curve now resides in put premium except for the back-end from 6 months outwards.
4. BTC Option flows were down hard this week as spot drifted lower. ETH Option volumes also settled back down after last week's spike.
5. BTC dealer gamma has stayed around flat this week as the main short strike up at 31k has decayed away and dealers are long the more local strikes around 29k. ETH gamma positioning has been creeping longer as the 1900 strike is fairly large again.
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