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Crypto Options Positioning and Volatility Trends in June 2023

Article Amberdata research
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Summary

This weekly review interprets Bitcoin and Ethereum options conditions amid subdued spot markets and lower volatility. It discusses falling short-dated implied volatility, a steeper contango term structure, and the view that long-dated Ethereum volatility could offer an opportunity. It also summarizes reported options flows, including call buying and calendar rolls, and notes that open-interest changes can help distinguish rolls from other multi-leg trades.

The newsletter combines market commentary, trade observations, and decentralized options-market updates. It reports low weekly options volume, low Ethereum at-the-money implied volatility, and weak realized volatility as context for its views. These observations describe a particular week in 2023 and do not establish that the suggested volatility trades were profitable. The author frames the outlook as uncertain; the analysis is a snapshot, not a tested strategy or trading recommendation.

Key ideas

  • The review links lower realized volatility and subdued market activity with lower options demand and implied volatility.
  • Contango in Bitcoin and Ethereum volatility term structures is presented as a return to a more typical shape.
  • The author favors long-dated Ethereum volatility as a potential opportunity while acknowledging that low volatility is not automatically cheap.
  • Changes in open interest can help identify whether multi-leg options activity represents calendar rolls.
  • The observations and trade examples reflect one week and do not demonstrate future performance.

Tags

CryptoOptionsVolatilityDerivatives pricingMarket microstructure

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