Crypto Volatility Commentary: ETH Calls and SOL Put Selling
Summary
This weekly commentary reviews crypto volatility after the FTX collapse, noting that realized volatility had eased while uncertainty around further credit deleveraging could still revive market swings. It compares BTC and ETH volatility, observes elevated SOL implied volatility, and discusses how implied and realized measures, relative volatility, and market headlines inform option positioning.
The proposed trades are long March ETH calls, framed as exposure to comparatively attractive volatility with upside if negative news clears, and short December SOL puts for holders willing to buy SOL at a specified strike while collecting premium. The notes cite contemporaneous volatility readings and contract terms as support for these views. They are snapshots of market conditions in November 2022, not a tested strategy or forecast; option losses, changing volatility, and the possibility of adverse crypto news remain material caveats.
Key ideas
- The commentary links calm short-term realized volatility with continuing uncertainty from crypto credit deleveraging.
- It compares BTC and ETH volatility levels and reports unusually elevated SOL implied volatility.
- Long March ETH calls are proposed to gain exposure to volatility and potential upside.
- Selling December SOL puts is presented for holders prepared to acquire the asset at the strike.
- The trade rationale depends on market conditions at the time and carries option and cryptoasset risk.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.