Bitcoin and Ether Options Positioning During an ATH Retracement

Summary

This weekly flow note reviews Bitcoin and Ether options as both assets pulled back from record highs in November 2021. It describes Bitcoin put-focused risk reversals funded by calls, alongside a buyer of near-dated call spreads, and reports opportunistic selling of high-implied-volatility Ether calls. The reported Bitcoin trades increased near-term put skew, though the author characterizes skew as remaining within a comfortable range.

The commentary compares implied and realized volatility, noting that Bitcoin realized volatility was below implied volatility and that Ether implied volatility exceeded Bitcoin’s across maturities. It presents selling elevated Ether calls, or comparing short Ether volatility with long Bitcoin volatility, as observed approaches. The author cautions that buying options when realized volatility is low can require a strong directional or volatility forecast. These are episode-specific observations and trade interpretations; the note provides no full data series, controlled performance analysis, or evidence that the cited relative-value trades would generalize.

Key ideas

• Bitcoin put risk reversals were reported as traders hedged during the retracement.
• Some put exposure was funded by selling calls, while near-dated call spreads were also bought.
• The trades increased near-term Bitcoin put skew, which the author described as moderate.
• The report identifies a large Ether-to-Bitcoin implied-volatility differential and discusses relative-value positioning.
• The author cautions that buying expensive implied volatility when realized volatility is subdued requires a sufficiently accurate view.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.