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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.
- Crypto realized vol has dropped back into the mid-20s even as spot remains weak.
- ETH took out the 1600 support zone with a 4% drop yesterday taking realized above BC which is yet to break down.
- BTC term structure is firmer across the curve. Front-end vols led the move as protection buying is concentrated on shorter maturities up to Nov 23.
- ETH term structure is not as well bid as BTC despite the break lower. Mid-curve underperforming. Long-end vol holding better as it still trades at a healthy discount to BTC.
- As spot tested the weekly support zone on BTC, put skew remained well bid, particularly in the weekly expiry which is now around 6.5 vols in put premium. Mid-curve skew has softened a little since last week and long end still remains firmly in call premium of around 2 vols.
- ETH skew is also in put premium for most of the curve, with weekly and 1-month at the deepest premium of 4-6 vols. Further out the curve, we start to see skew normalize but not as much as BTC.
- Volumes dropped off this week as spot ground lower to key supports. Protection buying was seen mainly in Sep expiries via puts and put spreads but there was also a notable clip of 29 Dec 20K outright puts.
- ETH options volumes drifting slightly lower on the week. The biggest block trade was a large 29 Dec protection buyer on 1400 puts outright. Other puts traded across the curve in Sep-Dec maturities.
- BTC dealer gamma remains negative as dealers are short local strikes for this week in the 24-25.5k range. Above 26k we should see positions normalize and be more neutral.
- ETH dealer gamma has stayed near flat as put sellers supplied enough vol for dealers to not get taken short for long. We do see some local shorts between 1500- 1600 but as usual, the street appears to own wings in ETH in Sep and Oct expiries.
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