Crypto Options Positioning, Gamma Exposure, and Volatility Conditions in July 2023

Summary

This weekly market commentary reviews Bitcoin and Ether options activity around a large quarterly expiration in late June 2023. It describes negative gamma exposure rolling off, gamma returning toward neutral, and spot moves affecting the options term structure. The newsletter also summarizes reported upside call buying and call spreads, alongside differing exposures in options market-making vaults. These flows are presented as signs of directional interest, rather than as a systematic trading signal.

The commentary discusses implied and realized volatility, noting low volatility risk premium and subdued realized volatility as reasons some traders might consider long volatility. It also describes changing spot and volatility relationships and contrasting exposures across BTC and ETH products. The evidence consists of a contemporaneous snapshot of market prices, reported trades, open interest, and volatility observations; it does not test a strategy or establish predictive power. The conclusions are time-sensitive, and the publication itself frames the material as educational rather than investment advice.

Key ideas

• A major options expiration reduced negative gamma exposure and brought market-maker positioning closer to neutral.
• Reported BTC and ETH flows featured substantial upside call buying and call spreads.
• Low realized volatility and a historically low volatility risk premium were cited as potential support for long-volatility positioning.
• The reported exposures differed across market-making vaults and between Bitcoin and Ether.
• The commentary is a dated market snapshot and does not establish that observed options flows predict future returns.

Tags

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