August 3, 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.
In this mid-week crypto derivatives market update, Imran Lakha walks us through some key points.
1. Crypto realized vols continued to grind lower into the low 20s.
2. BTC term structure shifting lower, with Aug/Sep worst hit around vols but the rest of the curve also dragged down.ETH term structure not hit quite as hard as BTC
3. Skew - BTC skew has continued to move towards put premium as spot prices remain heavy and even 3-month is trading closer to flat.ETH skew front end now has a hefty 4.5 vol put premium and the back end is slightly in favor of puts.
4. BTC Option flows stabilized on BTC as vols remained low. ETH Option volumes saw an uptick, once again call-driven.
5. BTC dealer gamma has stayed very close to zero after expiry and into the weekend. ETH gamma positioning is less long after the July expiry rolled off but still net long as overwriting flow dominates market makers' books.
Missed last week's update on crypto options trading strategies with low implied vols? Catch up here.
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