Crypto Options Volatility, Term Structure, and Trading Flows in July 2023

Summary

This weekly review links the July 2023 macro backdrop to crypto options pricing and reported trading flows. It describes low realized volatility, steepening futures contango, and a sizable variance risk premium, arguing that low implied volatility alone did not make long volatility attractive because option carry and term-structure roll-down were costly. It also notes that market-maker gamma exposure had eased after the June quarterly expiry.

The flow discussion highlights reported BTC risk reversals, calls, and calendar spreads, alongside mixed ETH activity including call spreads, calendars, and outright calls. A separate section reports oSQTH volatility, trading volume, and a live vault’s historical return. These are snapshots and interpretations from one week, not a tested trading strategy. The authors identify macro releases and possible crypto catalysts as sources of changing volatility, while acknowledging that realized volatility can remain low and that flows may reflect different participants or objectives.

Key ideas

• Low realized volatility coincided with a positive variance risk premium, making long options costly to carry.
• The review describes rapid implied-volatility roll-down along the weekly term structure.
• Reported BTC flows included bullish risk reversals, call purchases, and calendar spreads.
• ETH activity included both directional call trades and calendar structures, with mixed positioning.
• Weekly flow observations and vault performance are descriptive snapshots rather than evidence of a repeatable strategy.

Tags

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