BTC Volatility Surface Trends, Lyra Options, and 0DTE Selling Conditions
Summary
The report reviews BTC volatility surface behavior in the first quarter of 2023, covering at-the-money term structure, spot and implied volatility relationships, risk-reversal skew, options activity, futures basis, and perpetual contracts. It describes a shift from the negative spot-volatility relationship observed in 2022 toward a generally positive one during the quarter, with rallies associated with richer implied volatility and call-wing repricing. It relates these changes to major market events, including the banking turmoil, and notes increased BTC options activity and a changing BTC-to-ETH participation balance. The report also introduces the Lyra decentralized options protocol and compares it with centralized trading venues. A separate backtest discussion says that selling same-day-expiry options performed poorly during a volatile bull run, while BTC results favored choppy or bearish conditions; it flags liquidity and slippage as practical constraints. The source excerpt is incomplete, and the stated regime observations and backtest findings are period-specific, not evidence of persistent effects or a complete strategy specification.
Key ideas
- BTC spot and implied volatility moved together more often in Q1 2023 than in the negative regime described for 2022.
- The report tracks term structure, risk reversals, futures basis, and option flows to describe changing market conditions.
- Call-wing repricing and a return of BTC options activity are presented as notable features of the quarter.
- Lyra represents an automated market maker approach to decentralized options, with distinct design challenges from order books.
- The cited 0DTE selling backtest favors choppy or bearish BTC conditions, but liquidity and slippage may impair implementation.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.