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

Article Amberdata research
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Summary

This market recap examines BTC and ETH options through realized volatility, volatility carry, expiry term structures, relative value, option flows, and dealer gamma. It describes rising BTC volatility after a spot advance, comparatively steady ETH volatility, and front-end term-structure inversions. The analysis also notes changes in call and put skew and compares ETH/BTC volatility and spot performance.

The flow discussion identifies BTC put buying at lower strikes and call buying at higher strikes, alongside ETH call demand and call spreads. Dealer positioning is presented as balanced in BTC and slightly positive in ETH, with strike-specific exposures that could change as prices move. The author favors maintaining upside exposure and expresses a positive view on the ETH/BTC spread. These are time-sensitive observations and opinions, not a tested trading system; the recap supplies no performance evidence, risk controls, or methodology for estimating positioning. Market levels and flow details describe the period covered and may quickly become outdated.

Key ideas

  • The recap compares BTC and ETH realized volatility, volatility carry, and expiry term structures.
  • BTC and ETH front-end volatility curves were inverted, with differing changes in skew and longer-dated pricing.
  • Reported option flows included BTC put protection and upside calls, as well as ETH calls and call spreads.
  • Dealer gamma estimates suggested balanced BTC positioning and slightly positive ETH positioning, subject to price changes.
  • The suggested upside and ETH/BTC spread views are market opinions without backtest evidence or defined risk controls.

Tags

CryptoOptionsVolatilityDerivatives pricingMomentum

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