Crypto Options Skew, Dealer Gamma, and FTX Asset Sale Concerns
Summary
The episode discusses crypto derivatives conditions in September 2023, focusing on changes in options skew, Ethereum and Bitcoin relative pricing, dealer gamma, and concern about planned FTX asset sales. The speakers describe a shift toward put demand after a spot market decline and suggest Ethereum puts or put spreads may merit attention where forward pricing appears elevated. They also explain how dealer gamma exposure can shape market behavior and discuss a Bitcoin heatmap as a view of positioning and trends.
The guests argue that initial concern about FTX sales may have exceeded the likely market impact, since sales could be gradual and supported by spot demand. They identify coin supply, spot behavior, and gamma positioning as possible catalysts for Q4. These are qualitative opinions from a discussion, not a documented trading system: the text provides no pricing data, backtest, quantified risk limits, or evidence validating the forecasts. Its observations are tied to the market context of the episode and may not generalize.
Key ideas
- The discussion says options skew shifted toward puts after a decline in spot prices.
- Ethereum put skew and potentially expensive forwards are presented as possible opportunities for put spreads.
- Dealer gamma exposure is discussed as a factor that can influence market dynamics.
- The guests expect gradual FTX asset sales to limit the initial market impact.
- Coin supply, spot behavior, and gamma positioning are described as possible catalysts, without quantified supporting tests.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.