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.
Realized Vol
- Crypto realized vol has hung around the 35-40 level as the large swings around last week's Greyscale news have provided some two-way volatility
Term Structure
BTC
- BTC term structure is fairly unchanged on the week. Front-end vols were firm as gamma has been performing.
ETH
- ETH term structure picking up in the front end. September maturities were the better bid as the absolute levels looked good value to pick up gamma.
Skew
BTC
- Skew - The call bid from last week quickly evaporated as spot faded and BTC found itself back at 26k. We are now back to deep put premium in the short-dated maturities as all the near-term risk is perceived to be on the downside.
ETH
- ETH skew also quickly gave up any call bid it had acquired on the price spike. Although the put premium in the short-end is in line with BTC.
Option Flows
BTC
- The increased volatility brought with it an uptick in options volumes. Protection buying was the order of the week, as 29Sep 27k puts were bought outright, along with 29Sep 26k/30k bearish risk reversals.
ETH
- ETH options volumes drifting slightly lower on the week. Biggest block trades were generally buyers of options, either to buy protection or upside but the downside was focussed on the front-end expiries out to 29Sep.
Gamma Positioning
BTC
- BTC dealer gamma became more negative as put buyers appeared and used near-dated options to hedge downside risk. Dealers have short strikes for this Friday on 26k and 25k, which can keep things choppy, particularly on the downside.
ETH
- ETH dealer gamma drifting lower, but remaining positive. The move towards 1600 has triggered some weekly put buying, but overall dealers seem well supplied with VEGA in 29Sep and longer expiries
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