Crypto Options Positioning, Term Structure, and Volatility in July 2023

Summary

This weekly market commentary links macro events, including US inflation data and Federal Reserve expectations, with Bitcoin and Ether price behavior and options positioning. It describes Bitcoin and Ether volatility and term structures, including a return to contango after quarterly expiry, and interprets call buying and block trades as evidence of demand for upside exposure. Examples include Bitcoin and Ether calls and call spreads across several expiries, plus put ratio spread activity. The report also notes long call positions in Lyra markets, vault exposures that are long gamma or options and short call skew, and the theta costs that can arise if prices remain range bound.

The commentary combines market observations, reported trades, and directional opinions; it does not provide a systematic trading rule or establish that the cited flows predict future returns. Its CPI outlook and interpretations are specific to the week covered, and the stated vault performance and market levels are historical snapshots. Treat the flow descriptions as contextual evidence about positioning, not as validated signals or trading advice.

Key ideas

• The commentary expects Bitcoin to respond more to spot ETF and regulatory developments than to a broadly anticipated rate decision.
• Reported options activity shows demand for out of the money calls and call spreads in Bitcoin and Ether.
• The report describes Bitcoin and Ether volatility term structures as being in contango after quarterly expiry, with a short term exception for Bitcoin.
• Long gamma positions incur theta costs, while sideways prices can also expose options market making vaults to decay.
• The analysis is a dated snapshot of market commentary and flows, not a tested forecasting strategy.

Tags

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