Crypto Options Positioning and a Lower-Volatility Outlook for BTC and ETH

Summary

This derivatives newsletter reviews Bitcoin and Ether market conditions, options positioning, and volatility in June 2024. For Ether, it describes dealers returning to neutral gamma after earlier volatility buying, with dealers holding at-the-money and nearby calls. It also reports notable buying and open-interest growth in September $4,000 calls, framing that strike as a potential threshold for a move toward new highs. The author expects volatility to ease and spot to retrace if Ether remains below that level.

For Bitcoin, the newsletter points to declining 30-day realized volatility, a lower and steeper contango term structure, and a relatively stable volatility risk premium. On that basis, the author favors selling options over owning them for the summer period. The discussion also mentions macroeconomic releases and weekly performance in crypto assets and an options-linked strategy. These are market commentary and directional opinions, not tested trading rules. The document offers no systematic backtest, and its outlook is tied to the conditions and dates discussed; it also notes the authors’ holdings and includes a financial-risk disclaimer.

Key ideas

• The newsletter describes Ether dealer gamma as having returned to neutral after a period of volatility buying.
• It reports increased open interest and buying in September Ether calls at the $4,000 strike.
• The author expects lower Ether volatility and possible spot retracement while price remains below that strike.
• Bitcoin’s realized volatility and options term structure are presented as declining, with contango steepening.
• The author favors selling optionality based on the observed volatility risk premium, while providing no backtest for the view.

Tags

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