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Crypto Options Volatility, Skew, Flows, and Dealer Gamma During a BTC Rally

Article Amberdata research
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Summary

This market recap examines BTC and ETH options during a sharp rally tied to expectations of approval for a spot BTC ETF. It tracks realized and implied volatility, term structure, call skew, options activity, and dealer gamma. The reported moves include a sharp rise in BTC realized volatility and front-end implied volatility, increased options volumes, and changes in dealer gamma positioning. ETH’s call skew remained stronger, which the recap interprets as possible evidence of catch-up potential, while BTC skew easing despite elevated spot prices is presented as a possible sign of a pause or pullback.

The recap also describes specific call buying, profit-taking, short covering, and bearish positioning in both assets. These observations are a snapshot of market conditions and trader flows, not a tested trading strategy. The author’s interpretations depend on uncertain news and positioning; the document offers no systematic data, performance results, or method for validating its directional conclusions.

Key ideas

  • A rapid BTC rally coincided with a sharp increase in realized and implied volatility.
  • Front-end volatility rose more than longer-dated volatility in both BTC and ETH.
  • BTC call skew eased after the rally, while ETH call skew stayed relatively strong.
  • Reported options flows included call buying, profit-taking, and short covering.
  • Dealer gamma positioning changed as prices moved through key strikes, affecting exposure to further moves.

Tags

CryptoOptionsVolatilityDerivatives pricingMarket microstructure

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