Bitcoin and Ether Options Skew, Term Structure, and Flow Analysis
Summary
This market commentary examines Bitcoin and Ether options amid a retest of Bitcoin resistance and limited crypto trading activity. It links potential catalysts such as inflation data, regulation, and institutional inflows to volatility expectations, while noting that subdued volumes and uncertain liquidity constrain conclusions. The author describes falling implied volatility, especially at longer maturities, and attributes some of the decline to volatility sellers favoring vega exposure and liquidity providers’ reluctance to hold inventory.
The analysis compares the two assets’ volatility curves and skew: Bitcoin shows a call premium across maturities, while longer dated Ether options favor puts. Reported flows include long dated Bitcoin call buying, Ether call selling, and calendar trades; dealer gamma is described as near neutral for Bitcoin and positive for Ether. The author suggests short dated Bitcoin calls and longer dated Ether calls, but these are market opinions, not tested strategies. The commentary offers no performance study, and its conclusions depend on the dated market conditions and liquidity interpretation.
Key ideas
- The commentary associates low long dated implied volatility with reduced demand for vega inventory and ongoing volatility selling.
- Bitcoin options show a call skew, while longer dated Ether options retain a put skew.
- Reported flows include buying in long dated Bitcoin calls and selling in Ether calls and call calendars.
- Dealer gamma is described as near neutral for Bitcoin and positive for Ether.
- The suggested call positions are discretionary views without backtest evidence.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.