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BTC and ETH Options Recap: Volatility, Skew, Flows, and Gamma

Article Amberdata research
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Summary

This weekly recap describes conditions in BTC and ETH options around a major BTC expiry. It reports that BTC realized volatility had declined, with seven-day realized volatility returning to the 30s. The term structures changed little: front-end volatility eased slightly while medium-term volatility rose a little. BTC skew remained tilted toward calls, though the front of the curve was flatter than longer maturities.

The recap also notes that BTC options flows were returning toward normal after the large expiry, while buyers appeared in ETH upside options after Friday’s expiry. Dealer gamma moved back toward neutral in BTC after the expiry rolled off, and ETH gamma fell close to zero as specified strike positions expired. These are qualitative market observations, not a trading rule or a complete analysis. The document gives no underlying data series, measurement details, or performance evidence, so it cannot establish how the conditions predict prices or future volatility.

Key ideas

  • BTC realized volatility declined into expiry, with seven-day realized volatility returning to the 30s.
  • BTC and ETH term structures were little changed, with small opposing moves at the front and medium term.
  • BTC skew retained a call premium, though it was flatter at the front than farther out.
  • BTC flows normalized after expiry, while buyers entered ETH upside options after Friday’s expiry.
  • Dealer gamma shifted toward neutral in BTC and near zero in ETH as positions rolled off.

Tags

CryptoOptionsVolatilityDerivatives pricing

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