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BTC and ETH Options: Term Structure, Skew, Flows, and Dealer Gamma

Article Amberdata research
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Summary

This midweek market recap reviews BTC and ETH options through realized volatility, implied volatility carry, term structure, skew, option flows, and dealer gamma positioning. It reports BTC realized volatility in the mid to high 40s and ETH in the low 50s, describes firmer longer-dated BTC volatility alongside pressure on ETH expiries, and notes call premiums in both assets. Flow examples include BTC put spread protection and calls rolled into later expiries, alongside mixed ETH call and put activity. The commentary also identifies dealer positioning around BTC and ETH price levels.

The author suggests that short-dated BTC options may offer relatively favorable theta carry and discusses relative value in ETH calls versus BTC. These are contemporaneous opinions tied to market levels and an anticipated ETF event, not tested rules or durable forecasts. The recap supplies observations and trade interpretations but no systematic data, methodology, or subsequent outcome, so its conclusions may not generalize beyond that week.

Key ideas

  • The recap compares BTC and ETH realized volatility, implied volatility, and carry.
  • BTC longer-dated expiries firmed while ETH term structure weakened during the reported week.
  • The report describes call skew in both assets and presents a relative value view favoring ETH calls against BTC.
  • Option flows included BTC downside protection and later-dated call activity, with varied ETH positioning.
  • Dealer gamma levels are discussed as possible influences on short-term price behavior.

Tags

CryptoOptionsVolatilityDerivatives pricing

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