Crypto Insights: Bitcoin Fails To Breakout

In this week's recap, Imran Lakha of Options Insight provides the latest insights into BTC and ETH derivatives markets. Explore trends in volatility, term structures, and much more to stay informed on crypto options trading.

We are back this week with Imran Lakha walking us through some key points in the crypto options market.

Realized Volatility 

• Crypto realized vol grinding lower this week, taking BTC into the low 30s. ETH is also well behaved and seeing realized vol stair-stepping down to 40.

• Front end implied vols were around 3 vols softer, but as usual, hit their lows into the weekend and have since bounced to finish higher on the week due to the latest escalation in the Middle East.

• Very positive carry once again in both assets at around 13 vols (25-30% of the implied vol)

• We have non-farm payrolls this week as the major macro data point but Powell reiterated yesterday that they are not in a rush to cut rates.

Skew Term Structure 

• Still a contango in skew term structure but short-dated calls (October) caught a bid this week as spot attempted to break above 65k. They have since faded back down and front end put skew returned as Iran is expected to strike Israel imminently.

• The highest point in the curve is the BTC call skew from Dec24 to Mar25, as clients have been buying upside for a year-end rally as 04 seasonals are good for crypto.

• We think using the symmetrical skew to protect longs with risk reversals in October looks attractive as the real gains may not come until after the US election.

Relative Value

ETH vs BTC 

• ETH/BTC spot had pulled back from recent highs and remains within the short-term downtrend.

• ETH vol has found more sellers than BTC this week as some of the long-term call bids have softened due to a lack of upside break.

• The vol spread now sits at 9 in the front and moves down to around 7.5 in the back end of the curve.

• The relative skew term structure is fairly flat but ETH upside is favored the more you look out the curve but only marginally.

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