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Crypto Options Recap: Volatility, Skew, Flows, and Dealer Gamma

Article Amberdata research
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Summary

This weekly market recap reviews BTC and ETH options through realized and implied volatility, term structure, skew, option flows, and dealer gamma. It reports falling realized and implied volatility, especially at the front end, alongside differences in carry and call skew between the two assets. The commentary connects these conditions to strategies including short-dated call overwriting against long exposure and a far out-of-the-money ETH-versus-BTC call switch.

The recap cites individual option trades and changing dealer positioning to describe market sentiment and potential exposures. It characterizes BTC gamma as nearer neutral and ETH gamma as positive, while noting that positioning can shift with spot prices and option flows. These are observations for the week covered, not tested strategy results or enduring signals. The proposed trades depend on future relative performance and volatility repricing, and the document does not provide a risk framework or performance evaluation.

Key ideas

  • Realized and implied volatility fell for both BTC and ETH, with the front end under greater pressure.
  • BTC and ETH differed in carry, call skew, and recent dealer gamma positioning.
  • The recap discusses call overwriting and an ETH-versus-BTC call switch as possible trades.
  • Reported option flows and gamma exposure describe a specific week and can change as markets move.

Tags

CryptoOptionsVolatilityDerivatives pricingRisk management

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