Crypto Options Flow, Volatility Distributions, and On-Chain Activity
Summary
This product update describes several analyses for crypto derivatives and blockchain activity. Its options material includes constant-maturity butterfly values across selected deltas and time windows, at-the-money implied volatility box plots, and dealer gamma profiles intended to show how gamma exposure changes as spot prices move. It also describes a Deribit flow notebook that uses proprietary rules to infer trade aggressors and summarize net volume and positioning.
The update explains that the volatility box plots show quartiles and 1.5-IQR fences, with the latest observation marked for comparison against historical values. Its on-chain examples examine bridge deposits around an airdrop announcement and cumulative Ether fees burned under EIP-1559. The bridge analysis reports increased unique depositors on other layer-two networks and interprets this as possible airdrop farming. These are feature descriptions and selected observations, not a full research paper: methods, data quality, statistical tests, and evidence for predictive value are not provided.
Key ideas
- Constant-maturity butterfly charts compare option structures across selected deltas and time windows.
- At-the-money implied volatility box plots use quartiles and 1.5-IQR fences to contextualize current readings.
- A flow notebook applies proprietary rules to infer Deribit aggressors and summarize net volume and positioning.
- Dealer gamma profiles illustrate how option exposure can shift as spot prices move across moneyness levels.
- The update links post-announcement bridge activity to possible airdrop farming but provides limited methodological detail.
- Cumulative Ether fee burns are presented as relevant to whether supply is inflationary or deflationary.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.