August 31, 2023
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.
1. Crypto realized vol dropped 30 points last week as markets hugged the bottom of the range, but yesterday's Greyscale ETF news triggered a massive explosion higher and took realized back up to around 40% on both BTC and ETH.
2. BTC term structure steepening back into contango initially as markets went nowhere for a week, but the front end caught a bid on the 8% spike yesterday. ETH term structure shifting lower, led by the front end, but weekly vol saw some demand on yesterday's move.
3. Skew - Skew had been holding a put premium in the front end for BTC as markets threatened the lower end of the range, but yesterday's spike in prices triggered a huge repricing back into call premium of around 5 vols across the term structure. ETH skew had been in consistent put premium of around 4 vols, which has now dissipated to only 1 vol in 2-month and longer maturities after the spot rally.
4. BTC Option volumes were healthy in BTC as some two-way flow returned. ETH Option volumes were flat on the week.
5. BTC dealer gamma back towards neutral as 25AUG local short strikes rolled off. ETH dealer gamma has risen gradually as spot heads back up toward the 1900 area where there are big long strikes.
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