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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, Skew, Crypto Option Flows, and Gamma positioning.

This week Imran walks us through some key points.

1. Drop in realized vol as BTC into expiry with BTC 7D realized getting back into the 30s.

2. BTC & ETH Term Structure little changed this week with a slight drop in the front whilst medium term vol was a touch higher.

3. Skew - BTC skew is still in a call premium across the curve but the front end is much flatter that the back.

4. BTC Option flows normalising somewhat as markets took a pause for the largest expiry of the year so far / ETH Option flows big buyers came in on ETH upside post Friday OPEX.

5. BTC dealer gamma spiked back up towards flat after Friday's massive expiry rolled off / ETH gamma positioning dropped off to near zero after the 30June 1800 and 1900 strikes rolled off.

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Analyzing current low volatility and market stagnation

Tag(s): Derivatives , Research

Imran Lakha

Amberdata Blog

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