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Crypto Options Positioning and Short Gamma Ahead of US CPI

Article Amberdata research
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Summary

This market recap reviews BTC and ETH options positioning before US CPI. It reports lower realized volatility as prices stayed in ranges, while implied volatility changed little and carry turned positive. The author sees short gamma as attractive, suggesting call calendars or short dated call condors for upside exposure, while also noting that long calendars may remain reasonable, especially in ETH.

The review compares term structures, skew, relative value, option flows, and dealer gamma. BTC’s curve was mostly steady, while ETH volatility declined; front end skew favored puts and longer maturities favored calls. ETH/BTC volatility spread and spot performance inform a tentative relative value view, but the author lacks conviction on the spot direction. Reported flows included BTC protection puts and rally calls, and ETH put demand. These are a snapshot of market conditions and proposed trades, not a tested strategy; CPI could trigger a downside break, and positioning can change quickly.

Key ideas

  • Lower realized volatility and positive carry led the author to favor short gamma exposure ahead of CPI.
  • Call calendars and short dated call condors were suggested to express a view on upside volatility.
  • BTC and ETH showed different term structure moves, with ETH volatility easing while BTC remained nearly unchanged.
  • Put demand appeared in both assets, while longer dated skew carried a call premium.
  • The relative value view favored owning ETH volatility over BTC at stated levels, but spot direction remained uncertain.

Tags

CryptoOptionsVolatilityCarryDerivatives pricing

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