Skip to content
All library documents

Crypto Options Volatility, Skew, and Gamma Positioning in BTC and ETH

Article Amberdata research
Read the original

Summary

This market recap reviews BTC and ETH options after a sharp spot recovery. It discusses realized and implied volatility, term structures, volatility carry, call and put skew, relative value between the assets, option flows, and dealer gamma. The commentary describes implied volatility as broadly steady while realized volatility rose, making carry negative, and argues that quieter conditions could bring realized volatility down. It also favors long calendar structures, especially in ETH, given the term-structure setup and view that a major near-term move is unlikely.

The evidence is a snapshot of market pricing and reported flows: front-end skew reversed as puts were monetized and calls bought, while ETH option activity included calendar spreads around a potential ETF decision. BTC dealer gamma remained modestly short, and ETH gamma returned positive. These are time-specific observations and trade opinions, not a tested strategy; outcomes depend on subsequent spot moves, volatility changes, and event timing.

Key ideas

  • The recap links higher realized volatility with negative volatility carry while implied volatility stayed broadly flat.
  • It presents long calendars as a relative value idea based on flat or inverted term structures.
  • BTC and ETH skew shifted as put demand eased and call buying returned, though ETH retained front-end put premium.
  • Reported flows and dealer gamma provide a dated positioning snapshot rather than a validated trading signal.

Tags

CryptoOptionsVolatilityDerivatives pricingMarket microstructure

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