July 13, 2023
Weekly Mid-Week Crypto Derivatives Market Recap where Imran Lakha of Options Insight gives brief and concise breakdowns of BTC's & ETH's Volatility, Term-structure, Relative Value, Skew, Crypto Option Flows, and Gamma positioning.
In this week's crypto derivatives market recap, Imran walks us through some key points.
1. Realized vol across the two major crypto assets has dropped around 10 points in the last week as ranges have been respected and no breakout occurred.
2. BTC term structure falling back into contango on the low realized empowering gamma sellers. ETH term structure also pivoted around the year-end expiry, with the front end trashed by around 7 vols, as realized collapsed,
3. Skew - Skew has been quite volatile this week, especially the front end, which briefly dumped into put premium on BC last week but then saw a quick rebound with spot recovering from near 30k once again.
4. BTC Option volumes dropping off last week due to a lack of volatility. / ETH Option flows once again bullish and in the longer part of the curve.
5. BTC dealer gamma drifted shorter throughout most of last week but then spiked back up to near flat as some local gamma was sold into the weekend / ETH gamma positioning drifting higher as spot failed to break and settled near the 1900 long strike that is building up in July expiries.
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