Crypto Options Positioning and Volatility Ahead of February CPI

Summary

This weekly market commentary reviews Bitcoin and Ether options positioning before a US inflation release in February 2023. It connects macro uncertainty and recent spot declines to implied volatility, realized volatility, term structure, and risk reversals. The author argues that implied volatility may be attractively priced ahead of the event, while noting that realized volatility could rise and that this outcome is uncertain. The commentary also favors selling longer-dated positive risk reversal skew and sees short-dated put skew as consistent with event risk.

Evidence is mainly descriptive: reported option flows, strike activity, changes in volatility and skew, and market moves across venues. The review notes put demand, call selling, calendars, and protection purchases, alongside a separate discussion of decentralized options trading and market-making vault exposures. These observations illustrate how traders interpret positioning and event risk; they are not a controlled test of a strategy. The views are specific to that week and market regime, and the document gives no systematic performance evidence for its trade ideas.

Key ideas

• The commentary links the upcoming inflation release to potential changes in crypto volatility and spot-volatility relationships.
• It views implied volatility as potentially inexpensive before the event while acknowledging that realized volatility might not increase.
• It interprets risk reversal skew differently across short and long maturities.
• Reported option flows include put demand, call sales, spreads, calendars, and volatility selling.
• The discussion is a time-specific market interpretation, not evidence from a systematic strategy test.

Tags

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