Shift in BTC: The Rise of Vega vs Gamma

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 popped on the rally last week and has been stable in the mid-30s since then, with spot back into the middle of the range

Term Structure

BTC

•  BTC term structure steepens as the front-end drifts lower but the back-end shifts higher. Sept-Oct 23 vol was lower by 0.5 - 1.5 vol points. Long-end maturities from Dec 23 onwards were up 1 vol parallel.

ETH

• ETH term structure also steepens into further contango. Sept-Oct23 down 1-2 vol points. The mid curve was firm, Nov 23-Mar 24 up 0.5 - 1 vol point.

Skew

BTC

• As the market bounced strongly from key support levels, skew reversed quickly back towards call premium across the whole BTC curve except for the 1-week expiry. The front still holds a 1 vol put premium, but 1-3m maturities have 2 vol call premium and the long end has nearly 5 vol call premium.

ETH

• ETH Skew also reversed with call premium coming back from 2m and long maturities. 1-week to 1-month is flat to slight put premium still.

Option Flows

BTC

• Volumes slightly up this week as more call activity came in on the rebound. Large overwriter rolled shorts buy selling Sep/Oct 28k call calendar. Outright calls were bought in Oct-Dec23 across 30-33k strikes. Gamma was bought in Sept 22 strangles and Downside puts saw 2-way
  flows with Sept 23 outright buyers and Oct 23 put spread seller.

ETH

• ETH options volumes also slightly up this week as a large covering of short upside calls dominated volumes. Oct27 2000 calls and Dec29 2200 calls were the big clips of around 50k options each. Outside of that the major clips were call spreads and put spread bought in Sept 29.

Gamma Positioning

BTC

• BTC dealer gamma was short last week into expiry, then briefly switched to long as options expired, but then flipped shorter again on the rally as spot moved higher

ETH

• ETH dealer gamma has been moving up all week and dealers appear long 1650-1700 strikes in Sept 22 and Sept 29. This looks large enough to have some impact and will make it difficult for ETH do move much into the Sept 29 expiry, particularly on the upside.

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