Crypto Options: ETH Volatility, Skew, and Positioning in September 2023
Summary
This weekly market note reviews macroeconomic events and crypto options conditions in the week of September 24, 2023. It links the Federal Reserve’s hawkish messaging and upcoming economic releases with weakness in technology shares, bonds, and Ether. The author interprets Ether’s low implied volatility and near-zero variance risk premium as potentially inexpensive volatility, while noting that downside risk-reversal skew and costly put wings make put spreads an attractive expression of that view. The note suggests spot exposure as a way to reduce the spread’s delta bias.
It also summarizes reported Bitcoin and Ether options flows, including call buying, put activity, upside rolling, and volatility falling after the Federal Reserve decision. A brief decentralized options section reports oSQTH price and volatility movement, pool volume, and a positive weekly result for the Crab strategy. These are dated observations and the author’s trade thesis, not controlled evidence that the positions would be profitable. The source is a market commentary, includes author holdings, and does not provide a systematic test or full risk analysis.
Key ideas
- The author viewed Ether’s low implied volatility and near-zero variance risk premium as potentially inexpensive volatility.
- Downside skew and expensive put wings shaped the proposed use of Ether put spreads.
- The note reports large options trades and volatility compression in Bitcoin and Ether around the Federal Reserve decision.
- It describes weekly price, volatility, volume, and strategy results for oSQTH, without offering a systematic performance test.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.