Crypto Options: Flat Term Structure, Call Skew, and Weekly Flows
Summary
This weekly review combines a market outlook with BTC and ETH options observations. It links BTC’s consolidation to lower implied volatility and describes the term structure as flat, while noting that contango is the more common state. The author uses that historical pattern and easing equity volatility to support a short volatility bias, while acknowledging that a flat curve may be transitional. The review also sees elevated call skew as a possible opportunity to sell extended call wings, with a higher strike call described as protection against a sharp rally.
The document summarizes reported block trades, including put protection, call spreads, a call calendar, and large downside ETH put buying. It explains how dealer short gamma can amplify spot moves when hedging follows upside buying. These are weekly commentary and selected flow examples, not a systematic backtest or proof of predictive power. The outlook is sensitive to macro releases, liquidity, and sudden spot moves; the proposed structures carry options risks despite the stated hedge.
Key ideas
- A flat BTC volatility term structure is presented as a possible transition from the more common contango state.
- The author favors short volatility based on the curve shape and easing equity volatility, while recognizing the view may be temporary.
- Elevated call skew is framed as a potential opportunity to sell call wings, with an additional call intended to limit rally risk.
- Reported options flows include downside protection, bullish call spreads, and ETH calendar trades.
- Dealer short gamma may intensify spot moves when hedging activity follows directional options buying.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.